January Rates Recap

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Ultra 10 Celebrates 1st Anniversary with 17.5 Million Contracts Traded

  • Open interest (OI) reached 325K; Q4 2016 ADV reached 99.4K
  • Over 300 global institutional market participants
  • EFR, EFP, ICS and options all active
  • Most successful launch in CME Group's 168-year history, based on first-year volume
  • Winner: FOW 2016 Most Innovative Launch

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Liquidity Measures Reach Record Highs for Interest Rate Products

Around-the-clock liquidity is the most important attribute of our interest rate futures and options marketplace. Our latest paper covers volume, OI and participation highs reached in 2016, and consistently tight bid-ask spreads.

Read our latest paper

Options Reach New Highs, Driven By Electronic Trading

Eurodollar and Treasury options have each hit new milestones, building off of deep, electronic liquidity.

  • Open Interest: Eurodollar options reached 45M contracts, ahead of the December expiration, with year-end OI up 30% vs. 2015
  • CME Globex volume percentage: Treasury options reached 73% in 2016 vs. 64% in 2015. Eurodollar options reached 25% in 2016 vs. 19% in 2015.

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FedWatch Tool Becomes the Financial Barometer for Markets

With analytics that were enhanced in 2016, the CME Group FedWatch Tool was cited in nearly 600 media articles and 300 TV and radio shows last year as the marketplace sought to predict Fed action.

View 2017 Rate Hike Probabilities

Data through January 10, 2017 unless otherwise specified.

MAC Swap Futures

  • OI reached 105K in December, a 2016 high. On-the-run OI is more than 4x more than the nearest comparable product
  • ADV reached 5.8K in 2016, more than 3x any other U.S. Dollar Swap Future
  • Only Swap future in CFTC COT report, with 46 OI holders in the 10-year tenor and 33 in the 5-year tenor

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