News File

Volume of Calendar Spreads on Three-Month Euroyen Futures hit new daily volume high on September 1st

(September 1,2000)

On September 1st, TIFFE*s Calendar spreads on Three-month Euroyen futures traded 6,353 contracts. This figure is the largest daily volume of Calendar Spreads on Three-month Euroyen futures since its launch in July 1998. 6,353 contracts of Calendar spreads equals to 12,706 contracts of Euroyen futures, because spreads positions are transformed to individual Euroyen futures positions. The former record was 5,100 contracts, set on May 9th, 2000.

Monthly trading volume of Calendar spreads recorded the second highest number in August, which was 13,289(equals 26,578 Euroyen futures).

Reasons of recent active trading on Calendar spreads are as follows:

1) After the abolition of so called Zero interest rate policy on 11th of August, movement of yield curve on Euroyen futures becomes active, which attracts trading on spreads.
2) RFQ(Request for Quote), which was introduced on 7th of August, contributes substantially to find out counter party on spreads trading.

Trading volume of Euroyen futures from January to August 2000 is 12,384,678 contracts, which is +26.6% increase of the same period last year.