Fed Fund Futures Trading Surges to New Records

With the CME Group FedWatch tool showing sharp increases in probabilities of a rate hike in March, the market is turning to Fed Fund futures to hedge interest rate risks.

  • Feb 22 single-day volume record of 658K contracts
  • February ADV of 334K, far exceeding the previous ADV record of 178K in September 2016
  • Over 1.58M in open interest as of Feb 28, up 90% from the same period in 2016

View Rate Hike Probabilities on CME Group FedWatch


Record Ultra 10-Year Participation

  • Open interest reached 347K contracts on Feb 23
  • Feb 23 single-day volume record of 333K contracts

Product Details


Treasury Futures OI Tops 10M Contracts Ahead of the Roll

  • Open interest reached 10.5M contracts ($1.25T notional) across the 6 tenors
  • Treasury futures notional volume now 80.6% of cash market volume, up 5 percentage points in the last 12 months

More on U.S. Treasuries


Invoice Swap Spreads hit record volume for second consecutive month

  • Invoice Swap Spreads using CBOT Treasury futures provide off-balance-sheet, capital-efficient swap spread exposure, with up to 80% margin offsets
  • Last October, CME Group made changes to Rule 538, allowing many new invoice spread combinations via EFRP, including calendar rolls and tenor switches
  • February 2017 Invoice Spread ADV reached 103K contracts ($14.2B), the highest single-month in its history

Product Details


Data through February 28, 2017 unless otherwise specified.

Interest Rate Options

Eurodollar Options: A record 474K contracts traded daily on CME Globex (28% of volume), driven by:

  • Strong overnight liquidity with ADV of 100K
  • Increased spreading capabilities -- multi-legged strategies account for over 88% of ED options volume on Globex
  • RFQ response rates of over 95% in less than 5 seconds

Treasury Options: 760K contracts traded daily, with 76% traded on CME Globex, driven by:

  • Weekly Treasury options averaged 129K contracts daily, up 41% YoY
  • Strong overnight liquidity with ADV of over 95K

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Open Interest Heatmap

Track the concentration of put and call positions across expirations and strikes, and view how each has changed over the last day, week, or month.

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