November Rates Recap

Subscribe to Interest Rate Updates

24-Hour Interest Rate Options Liquidity

CME Globex is the source for Eurodollar and Treasury options liquidity across all time zones:

 

Eurodollar Options

Treasury Options

October Globex Daily Volume

200K

329K

Electronic % of Total Volume

25%

73%

Top of Book Size*

RTH: 7:00 a.m. to 4:00 p.m. CT

3,744

5,634

ETH: 12:00 a.m. to 7:00 a.m. CT

2,884

2,958

ATH: 5:00 p.m. to 12:00 a.m. CT

1,261

1,170

*Reflects At The Money (ATM) calls in the front-month Eurodollar and 10-Year Note options, measured during September 2016

Learn More


Efficient Pre-Ex Communications

CME Globex committed cross for futures and options

  • Efficient relationship-based execution of orders below block sizes, in addition to bilateral block trading
  • Allows customers to source liquidity in less liquid futures and options products and strategies

Learn More


Enhancements to Options on CME Globex

Treasury Options Inter-Commodity Spreads

  • Enables users to create strategies between different tenors reflecting relevant ratios without leg risk
  • For example, buying two 10-Year Dec 129.5 calls and selling three 5-Year Dec 120.5 calls as a spread

Strike Increment Changes in Treasury Options

We recently narrowed strike increments in weekly and front month expirations, as follows:

  • From ½ point to ¼ point in 10-Year and Ultra 10-Year Treasury options
  • From 1 point to ½ point in the Treasury Bond and Ultra Treasury Bond

Tradable Cabinet Price in Treasury Options

  • The CME Globex supported Cabinet (CAB) Pricing in Treasury options is CAB 4 for 5-year T-Note options and CAB 7 for all other Treasury options
  • Values represent approximately ½ the minimum tick increment

View Options Overview


*Data through Oct. 31, 2016

Ultra 10 Options Growing

Launched alongside the Ultra 10-Year Treasury futures in January 2016, Ultra 10 options on December futures have seen increased trading on CME Globex and in block trades, with:

  • Over 32K+ contracts traded in 2016
  • Open interest has reached above 16K
  • Ultra 10 option block fees are reduced to the same rate as the pit fees through March 31, 2017

More Info

Options Resources

Learn more about trading Interest rate options with these key resources:

Daily Interest Rate Options Reports: View a detailed snapshot of the Eurodollar and Treasury options activity from the previous day

Block Trades: View block trade reference guides and available market makers

CME Direct: Start trading today with CME Group's highly configurable trading front-end, with access to CME Globex and block entry

 

QuikStrike Tools:

Open Interest Heatmap: View volume and open interest at strike and expiration levels with the ability to compare changes over a time

This Week in Options: Compare ATM strikes and volatility as well as risk reversal volatility across a time series

Cross-Asset Correlation: Identify the degree to which two products are varying similarly over a period of time

View all QuikStrike tools

Keep Reading