For all Treasury futures products:
On the heels of 15% growth in 2016, average daily open interest (ADOI) in Interest Rate products increased 13% in Q1, hitting numerous single-day records along the way.
In Q1 2017, the notional value of futures volume reached a record 82% of volume in cash Treasury notes and bonds, up from 75% at the end of 2015 and 56% at the end of 2012.
Data through March 31, 2017 unless otherwise specified. References to Q1 or March refer to 2017, unless otherwise specified.
The CFTC Commitment of Traders report provides a breakdown of OI in markets with 20 or more positions of a reportable size. In Treasury futures, the reportable size threshold is as high as 2,000 contracts.
The continued expansion of Large Open Interest Holders (LOIH) shows the diversity of participation in Interest Rate futures.
MAC Swap Futures offer...