May 2016 Rates Recap

Enhanced Invoice Swap Spread Capabilities on June 6

CME Group will offer new functionality for CBOT-listed invoice spreads to facilitate execution of calendar rolls and tenor switches and to further support relationship-based execution.

CBOT-listed invoice spreads now offer:

  • Calendar roll trading between sequential months
  • Tenor switches between invoice spreads (e.g. 2-Yr vs. 30-Yr)
  • Flexible execution including blocks and pre-execution communication on CME Globex
  • Capital efficient and off-balance-sheet swap spread exposure

Learn more about invoice spreads.

FT Highlights Success of Ultra 10

A recent article published in the Financial Times highlights the success of Ultra 10 futures as the most efficient, off-balance-sheet proxy for 10-year Treasury exposure.

  • 3.2M futures contracts traded since launch
  • Over 115K in open interest (OI), record high OI in a new product
  • Over 250 global market participants

Bloomberg Features Investor Shift to Treasury Futures

View article discussing the deep liquidity and capital efficiency of Treasury futures.

Upcoming Political Events

FOMC dates can be important: June 15, July 27, Sept. 21, Nov. 2, and Dec. 14. In 2016, however, political dates may be even greater market drivers. Weekly, monthly and quarterly expirations are available in Treasury and Eurodollar options to more precisely target specific dates.

  • June 7: California primary
  • June 23: UK 'Brexit' vote
  • July 18-21: Republican convention
  • July 25-28: Democratic convention
  • Nov. 8: U.S. Presidential vote

View Treasury and Eurodollar options expiration calendars.

Eurodollar Options

  • 27% electronic in April, setting record for the 2nd consecutive month
  • Open interest over 36M contracts
  • June and December 2016 Eurodollar 98.875 puts each have over 1M contracts of open interest

View or subscribe to weekly Eurodollar options heatmaps.

Subscribe to daily Interest Rate options reports.

Read More Reports

View Rates Recap for previous months over the last year.

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