Liffe is delighted with the success of its new market-making schemes for ‘packs’ and ‘bundles’ of euro and sterling short term interest rate futures.
Futures and Options Intelligence reported on March 13 that the exchange had recruited six market makers to promote liquidity in packs – sets of four consecutive quarterly interest rate futures – and in bundles, which are multi-year groups of packs. The underlying contracts involved are the three month Euribor future and three month Libor, known as ‘short sterling’.
A separate market making scheme covered an inter-contract spread strategy between futures on three month Euribor and the three month Eonia swap index.
The scheme began running on March 19 and in the first five business days of trading, 36,000 lots were traded – more activity than ever before. Each lot may include from four to 12 futures contracts.
“This has...