January Rates Recap

Ultra 10 Celebrates 2 Years with 47M Contracts Traded

Ultra 10 futures (TN) continue to grow, with 450 total participants now benefiting from a more efficient, off-balance-sheet, and precise way to trade 10-year Treasury exposure.

  • Record ADV of 141K in Q4
  • Record OI of 530K ($53B notional) on 12/5
  • Record 86 large OI holders as of 12/19, +65% YTD
  • Avg top of book depth of 170 contracts in Q4, from 94 in Q1

Product Details

Treasury Futures Volume Hits 94% of the Underlying Cash Market

The trends identified in our 2016 whitepaper, The New Treasury Market Paradigm, gained significant momentum in 2017 as investors increasingly turned to futures for liquid, capital-efficient, off-balance-sheet Treasury exposure.

  • Daily notional volume of $371B, accounting for a record 94% of volume in cash Treasury notes and bonds, up from 56% 5 years ago
  • Record OI of 11.37M contracts on 11/22
  • Record large OI holders of 1,406 as of 11/21
  • Book depth increased dramatically at both the best bid/offer level and at the top three bid/offer levels in aggregate for all Treasury futures products - view details in the link below. 

Read 2017 Liquidity Whitepaper

Liquidity Pools Deepen to New Records in Eurodollar and Fed Fund Futures

Eurodollar futures

  • ADV of 2.55M ($2.55T notional)
  • Record OI of 14.4M ($14T notional) on 12/13
  • Record 345 large OI holders as of 9/5

Fed Fund futures

  • Record ADV of 191K, +45% YoY
  • Record OI of 1.8M ($9T notional) on 9/1
  • Record 172 large OI holders as of 9/12

Eurodollars | Fed Funds

Data through December 29, 2017, unless otherwise specified.
Large OI holders sourced from CFTC’s Traders in Financial Futures Report
Cash data sourced from NY FRB. 2017 reported as a 52-wk moving average through 12/20/17.

Record 2017 for Options

Eurodollar Options: Record ADV of 1.37M, with a record 456K contracts traded daily on CME Globex (33% of volume), driven by:

  • 43% increase in overnight trading with ADV of 115K
  • Increased spreading capabilities -- multi-legged strategies accounted for over 86% of ED options volume on CME Globex
  • RFQ response rates of over 95% in less than 5 seconds

Treasury Options: Record ADV of 747K, with a record 79% traded on CME Globex, driven by:

  • Friday Weekly Treasury options ADV of 131K, up 43% YoY
  • Over 2.25M Wednesday Treasury options traded in less than 6 months
  • 29% increase in overnight trading with ADV of 116K

Learn More

CME FedWatch Goes Global, Media References +80%

CME FedWatch has become the premier resource for gauging rate hike probabilities, being cited in +1,100 media articles, 100 TV and radio shows and 663 social media posts in 2017.

Plus, of the ~1M visits to the tool in 2017, 65% came from outside of the US, further evidence of increasing global interest in CME’s liquidity pool.

View 2018 Rate Hike Probabilities

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