Interest Rate Futures Liquidity Report

Product Updates and Resources

This report provides a snapshot of liquidity in our CME Group Interest Rate contracts like Eurodollars, Treasuries, Fed Funds and Deliverable Swap Futures. Data includes:

  • Average size of best bid/asks
  • Calendar trading month averages in notional terms
  • Top of the book liquidity
  • Volume and open interest by contract month

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