Market commentators have observed that liquidity in Treasury futures has become comparable, if not superior, to liquidity in the cash Treasury securities market as demand for off-balance-sheet Treasury exposure continues to increase.
This paper applies external sources to examine the evolution of liquidity in both cash and futures markets as well as other important factors such as settlement fails in cash Treasuries.
Use CME Group's quantitative tool to quickly analyze all-in costs (liquidity impacts, transaction fees and capital implications) of futures vs. cleared OTC instruments for:
Based on conversations with over 40 market participants and the use of quantitative modeling, Greenwich Associates believes that, over the medium and long term, futures products will gain traction at the expense of more standardized cleared swaps.
Effective Sunday, July 10, CME Globex will support creation of options strategies in select options tenors, allowing customers to improve execution of these relative value trades. For example, buying an FV straddle and selling equivalent TY straddles.
The CME Group FedWatch Tool, which shows the implied probability of a rate hike based on prices of 30-Day Fed Fund futures, is now projecting a 17% likelihood of a rate hike in June.
Ultra 10 Futures Performance:
Growing Customer Base: 275+ global trading participants
Ultra 10 Options: Open interest is above 1,000, with trading in July and August expirations, across nine different strikes
Bloomberg Terminal users now have the ability to calculate CME-Specific Swap Rates on the Swap Manager (SWPM) and Invoice Spread Analysis (IVSP) pages.
View Rates Recap for previous months over the last year.