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Russian Supply Disruption Increasing Costs and Decreasing Liquidity


High market uncertainty driven by Russian supply disruptions have increased volatility and are impacting on trading costs and liquidity.

  • ICE increased the front month margin for European gas contracts the second time last week by 10% to 78.638€/MWh. The latest change will take effect from close of business Monday 5th September 2022 and will be reflected in margin calls made on Tuesday 6th September 2022.
  • The market volatility has pushed margin calls up 10-fold over the past year, increasing trading costs and significantly reducing open interest and liquidity.
  • TTF aggregate open interest has nearly halved over the past year and fell further last week to 1.04m after the change to the margin requirements.

Source: Bloomberg

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