December Rates Recap

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Manage Risk on FOMC Outcomes with Fed Fund Futures and Options

Fed Fund futures, the most liquid way to hedge short-term interest rate risk, provide a direct reflection of market insight of the Fed's monetary policy.

  • Nov 2016 ADV of 161K, up 143% vs. Nov 2015
  • Open Interest of 1.03M, up 23% YoY
  • Activity spread across 36 listed contract months, with 1/3 of volume in expirations past March 2017

Learn more about Fed Funds


FedWatch Tool Shows Probability for Rate Hikes Through 2017

Assess the market’s outlook on Fed policy with CME Group FedWatch. The tool uses 30-Day Fed Fund futures prices to gauge the probability of a rate hike at the next eight FOMC meetings.

With the tool currently projecting a probability of over 90% for a rate hike at the December 14 meeting, the market is focused on the potential path of additional hikes throughout 2017. 

Probabilities of Target Ranges for 2017 Fed Meetings

 

25 to 50 bps

50 to 75 bps

75 to 100bps

100 to 125 bps

1 Feb

5%

92%

4%

0%

15 Mar

4%

81%

14%

0%

3 May

4%

72%

22%

2%

14 Jun

2%

46%

41%

10%

26 Jul

2%

41%

42%

14%

20 Sep

2%

31%

42%

21%

1 Nov

1%

28%

40%

23%

Check the probabilities specific to 2017 FOMC meetings


Data through Dec 5, 2016

Eurodollar Options: Find Liquidity Across the Curve

Access 66 listed expirations across quarterly, serial and mid-curve Eurodollar options, from weekly to over 3.5 years:

November highlights:

  • Record total open interest of 42.5M
  • OI increased by more than 22% since the U.S. election
  • 1.7M ADV with over 469K contracts trading daily on CME Globex
  • Over 578K ADV in 2- and 3-year mid-curve options
  • 20K ADV and over 900K open interest in options with over two years to expiration

Learn more about Eurodollars


Ultra 10 Sets Records as Liquidity Builds

Our newest Ultra 10 Treasury contracts provide a more efficient, off-balance sheet, and precise way to trade 10-year Treasury exposure:

  • Record monthly ADV:148K for Nov
  • Record single-day volume: 309K on Nov 28
  • Record OI: 316K contracts on Nov 30
  • Record 15.4M contracts traded since Jan 11, 2016 launch

The New Treasury Market Paradigm whitepaper uses data from external source to explain why capital-efficient Treasury futures are growing relative to cash Treasuries.

Read the paper

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