Volatility in the US Treasury market has prompted heightened trading on CME Group’s BrokerTecRV Curve, the firm has reported.
BrokerTecRV Curve, which facilitates the trading of US Treasury benchmarks for curve spread strategies, saw some of its highest-ever trading volumes in August, CME Group stated.
John Edwards, global head of BrokerTec, commented: “These complex strategies involve trading different maturities of treasury notes and bonds against each other, allowing traders to bet on how interest rates change over different time horizons.
“Having experienced a period of heightened volatility in Treasury markets at the beginning of the month, traders sidestepped potential losses by eliminating the risk that only one leg of a two-legged spread trade gets executed. When prices are moving as quickly as they did around August 5th, it is imperative that both legs of the trade are executed simultaneously.”
Disappointing non-farm payroll data and inflation figures caused a sudden change in the US Treasury curve, CME Group explained. In turn, the firm recorded an all-time high for butterfly trades in August with an average daily notional value (ADNV) of US$736 million. Curve spreads on 10-year/30-year and 3-year/5-year treasuries reached US3.5 billion ADNV.
CME Group attributes the platform’s success at this time to its handling of implied orders, range of products and cost-saving pricing.
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