March Rates Recap

Subscribe to Updates

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

Learn More

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.

Subscribe to Rates Recap

Keep Reading