Interest rate derivatives

By: The WFE Research Team Sep 2021

In this article we analyse the trends in interest rate derivatives in H1 2021 compared to 2020. Interest rate derivatives include both future contracts and option contracts.

The data is taken from the WFE Statistics Portal.

The number of interest rate derivatives contracts traded in H1 2021 was 2.32 billion, which was a 38.2% increase on H2 2020 and a 0.9% increase on H1 2020. In H1 2021, futures accounted for 82% of all interest rate contracts traded, while options only for 18%. Quarter-on-quarter, Q2 2021 registered a 15.1% drop (to 1.07 billion contracts traded) compared to Q1 2021.

Figure 1: Number of interest rate derivatives contracts traded between Jan 2020 – Jul 2021

In H1 2021 both interest rate options and futures volumes went up 68.6% (to 423 million) and 32.9% (to 1.90 billion), respectively, when compared to H2 2020. Year-on-year, in H1 2021 both futures and options volumes went up 0.7% and 1.9%, respectively.

The increase in number of futures contracts traded in H1 2021 compared to H2 2020 was due to an increase across all regions: the Americas rose 41.1%, APAC 4.6% and EMEA 22%. The increase in the number of options contracts traded in H1 2021 relative to H2 2020 was due to increases in the Americas and EMEA of 72.7% and 52.4%, respectively, while APAC went down 26.8%.

In H1 2021, futures contracts were traded mostly in the Americas (67%), followed by EMEA (27%) and APAC (6%).

The futures contracts traded in H1 2021 compared to H1 2020 increased in the Americas by 0.3%, and EMEA by 4.3%, while in APAC they went down 9.9%. Exchanges with an excellent performance in H1 2021 compared to H2 2020 were the London Stock Exchange (136.9%), Nasdaq Nordic and Baltics (89.8%), CME Group (71.3%), Bourse de Montreal (62.4%), Korea Exchange (57.8%), B3 - Brasil Bolsa Balcão (40.2%), and Deutsche Boerse AG (38.9%).

Quarter-on-quarter, Q2 2021 futures volumes declined 14.6%, caused by a decline across all regions: the Americas declined 15.5%, APAC 8.9% and EMEA 13.4%.

Figure 2: Number of interest rate futures contracts traded between Jan 2020 – Jul 2021


The increase in number of options contracts traded in H1 2021 compared to H2 2020 was due to increases in the Americas and the EMEA region, which went up a significant 72.7% and 52.4%, respectively, while APAC region recorded a 26.8% decrease.

The Americas has the lion’s share of option contracts traded (82%), followed by EMEA which accounts for 18%, while APAC’s share is 0.03%.

Year on year, in H1 2021 the increase in options contracts traded was towed by the Americas region, which rose 5.3%. We notice the opposite in APAC and EMEA, regions which went down 85% and 10.6%, respectively. Exchanges with a notable performance in H1 2021 compared to H2 2020 were CME Group (121.7%), ICE Futures Europe (80.9%), B3 - Brasil Bolsa Balcão (62.2%) and Deutsche Boerse AG (60.3%).

Quarter-on-quarter, in Q2 2021 options volumes went down 17.2%, due to all regions declining: the Americas 16.2%, APAC 13.8% and EMEA 21.9%.

Figure 3: Number of interest rate options contracts traded between Jan 2020 – Jul 2021

The number of interest rate derivatives traded in each region is illustrated in Figures 4-6.

Figure 4: Number of interest rate derivatives contracts traded in the Americas between Jan 2020 – Jul 2021

Figure 5: Number of interest rate derivatives contracts traded in APAC between Jan 2020 – Jul 2021

Figure 6: Number of interest rate derivatives contracts traded in EMEA between Jan 2020 – Jul 2021