Hi All,

You’ve probably heard more than you would like to about COVID-19, so I’ll keep it short. Please focus on the health and well-being of the people around you. Like most people, we’re working from home, but busier than ever, so keeping a balanced perspective can be challenging. You can make a difference.

Perspective is important for us all to bear in mind, not just in terms of our personal lives. At CurveGlobal, we see our mission as being fully supportive of the industry, looking to make changes for the good of all participants. This is in contrast to others who are simply seeking to maintain the status quo.

This being said, we understand that during volatile periods, many people look for the sense of security in dealing with venues that they have become accustomed to. It makes sense – in the short term. That’s why we saw a drop-off in volumes at CurveGlobal during the height of the market volatility (in March). Fortunately, recent volumes and depth of market have improved sharply.

In many ways, it’s your support that is the fuel that powers our mission to change the markets. After all, without a broader acceptance of the need for change – and the need to manage the unacceptable execution risk of relying on a single venue – we will not succeed in embedding the transformation that the industry is crying out for. So thank you for your encouragement, and your active participation in CurveGlobal. Choice and competition will bring its rewards over time.

Over the last few weeks, we’ve been busy. Will Mitting and his team at Acuiti conducted a survey for us on the market’s views on competition. We are also hosting a webinar on Monday where we will discuss the results further (register here). What was super exciting was that people felt that resilience and competition were needed more than ever. This is clearly topical given the disruption experienced as a result of technical outages at a competitor this year.

In some ways, I believe COVID-19 has been a turning point for CurveGlobal and we remain excited about our plans. While neither we nor our clients had any issues with breaks or give-ups – or indeed with margin – this wasn’t the case for all markets and all participants.

I’m ever impressed with the FIA and Walt’s leadership, as they have a series of operational workshops on this topic. I believe that the listed derivatives market has much to learn and some of its best practice, especially around resilience, may need rethinking. This isn’t an overnight task, but it is essential to get moving on it.

Lastly – I wanted to thank you for joining our Future of Derivatives series of webinars. We’ve had thousands of views and playbacks as well as many live questions. If you have a topic you’d like us to cover or revisit, please let me know.

Keep well, stay safe, wash your hands!


Acuiti Whitepaper

How did the recent market volatility change attitudes to clearing, margining and exchange competition? In Execution, clearing and competition in the post-Covid world, a report commissioned by CurveGlobal Markets, Acuiti found that there was a significant increase in demand for margin efficiencies and a strengthened desire for greater competition in derivatives markets.

To find out more, download your copy of Acuiti’s findings.


Trade Concept

New Trading Strategy Launch – Butterfly Differential 

By Ian Murphy

CurveGlobal will launch a new trading strategy, Butterfly Differential, on Monday, 20 July 2020.

The Butterfly Differential is the difference in price between sequential butterfly strategies.

This popular trading strategy is employed by traders looking for relative changes in shape to sections of yield curves.

This trading strategy will be available for the CurveGlobal STIR futures:

  • Three month Euribor
  • Three month Sterling
  • Three month SONIA

As an exchange-supported strategy, it eliminates the legging risk by the simultaneous execution of the legs.

CurveGlobal is launching the Butterfly Differential to support price discovery in the market. The benefits of an exchange-supported strategy, together with the opportunity of fractional pricing created by block trades, will offer alternatives to participants during this time of low rates and low volatility.

What is a Butterfly?
Moving back one level, a butterfly strategy is:

  1. Buy front
  2. Sell middle twice
  3. Buy back

Pricing is an algebraic sum of the legs. 

Example Three month Sterling:

  1. Buy Dec20 at 99.90
  2. Sell 2*Mar21 at 99.95
  3. Buy Jun21 at 99.97

Pricing + 99.90 – 2*99.95 + 99.97 = -0.030

The next Butterfly in the sequence:

  1. Buy Mar21 at 99.95
  2. Sell 2*Jun21 at 99.97
  3. Buy Sep21 at 99.99

Pricing + 99.95 - 2*99.97 + 99.99 = 0.000

What is a Butterfly Differential?
The Butterfly Differential strategy is buying a butterfly and selling the next sequential quarterly butterfly:

  1. Buy first month
  2. Sell second month three times
  3. Buy third month three times
  4. Sell back month

Pricing is an algebraic sum of the legs.

Using levels from the above mentioned butterfly strategies:

Pricing is + 99.90 – 3*99.95 + 3*99.97 – 99.99 = 0.000

Benefits of Using the CurveGlobal Butterfly Differential

Currently, market participants trading these strategies employ various execution techniques using butterfly strategies or 1x3 ratio calendar spreads. All have associated legging risk.

The new CurveGlobal Butterfly Differential strategy is exchange-supported and therefore eliminates the legging risk by the simultaneous execution of all the legs.

Participants can create Adaptive Pricing by using block trades to create a fractional price for the whole trade.

Adaptive Price Block Trades offer:

  • Greater choice on price granularity
  • Fractional pricing created using multiple block trades
  • Fractional priced blocks provided by bank and liquidity providers
  • No fee surcharge for block trades on CurveGlobal
  • Competitive exchange fees and clearing house fees
  • Compliant with CurveGlobal Markets exchange rules, MiFID II and best execution

CurveGlobal Markets Document Library

The Finer Price Tick and improved implied pricing are shown in this video


Monthly Volumes and Open Interest


“The Future of Derivatives” Webinar Series

Since April, we have hosted a series of webinars with industry experts participating alongside us. Our next one is on Monday, 20 July. We are also creating a series of videos that will go live on our site in August. You can register and watch replays of the webinars at the links below.

Execution, Clearing and Competition in the Post-COVID world – 20 July

Add Value to How You Trade - Trading the Block Market – 8 June

Margin Optimisation – 13 May

LIBOR Transition – 23 April


Press Articles of Note (includes subscription content)






To find out more about CurveGlobal or to offer suggestions on improving this newsletter, contact us at +44 20 7797 1055​ or info@curveglobal.com.