May Rates Recap

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Buy-side Participation in CME Group Interest Rate Markets Grows Sharply

  • Since the beginning of 2013, when many financial reforms were implemented, the average number of Large Open Interest Holders has grown 33%, from 1,335 in 2013 to 1,779 in 2017 YTD
  • Over that same period, the buy-side has been the fastest growing segment in CME listed Interest Rate markets, with average daily volume up 84%
  • A Greenwich Associates survey of large institutional clients shows that on a Total Cost Analysis basis, Treasury and Eurodollar futures could potentially provide 40% to 70% savings to certain portfolios over the cost of trading OTC interest rate swaps

Use our free IR Total Cost Analysis tool


CME FedWatch Enhancements

With increased focus on Fed monetary policy, CME FedWatch has become the premier resource to gauge the probability of an upcoming rate hike, being cited in 370 media articles, 34 TV and radio shows and 134 social media posts in Q1 alone.

Building on that success, CME Group launched an upgraded version this May, with three new features:

  • Historical Fed rate probabilities by meeting date, available as a chart or as a downloadable Excel file
  • Integrated view of the FOMC Dot-Plot, with rate expectations over the next three years from the 17 FOMC members
  • Implied rate from the year-end futures price added to the Dot Plot, allowing for easy reference comparison of futures markets with FOMC member projections

View 2017 Rate Hike Probabilities



Data through April 28, 2017 unless otherwise specified. References to Q1 or April refer to 2017, unless otherwise specified.

Coming June 5: Wednesday Weekly Treasury Options

Building on the success of Friday Weeklies, Wednesday Weekly options allow you to further refine your trading strategies, particularly around FOMC meetings.

  • Initial expirations on June 14 and June 21 coincide with the June 14 FOMC meeting
  • Expire on Wednesdays at 2:00 pm CT
  • No contrary instructions will be allowed at expiration

Record Activity in Friday Weeklies

  • 2017 ADV of 140K through April, +64% YoY
  • Record monthly ADV of 174K in April, +161% YoY
  • Record open interest of 685K contracts on April 27
  • ADV of 303K on Fridays of Non-Farm Payroll, +117% vs 2017 avg
  • 367K traded on March 15 around FOMC rate hike, +162% vs 2017 avg

Learn more about Wednesday Weekly options


French Election Showcases 24-Hour Liquidity

Before U.S. markets opened on Monday (Apr. 24) following the French Election first round results...

  • 1.43M Eurodollar futures traded, more than double the 2017 average
  • 767K 10-Year Note futures and options traded, +75% vs the 2017 average

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