December Rates Recap

SOFR Futures Accelerate, ADV Jumps to Nearly 12K in November

Liquidity continues to deepen in CME SOFR futures, boosted by increased participation from the buyside in November.

  • ADV hit a record 12K contracts/day, +48% MoM
  • Open interest grew to a new high of 56K contracts, extending out to Mar 2021
  • Global participation rose to nearly 90 firms
  • Large open interest holders hit a new high of 64 in the CFTC's Nov 20 COT report
  • Total volume since launch surpassed 800K contracts, representing $23.5M in DV01 risk transfer ($1.65T notional*)
  • Cash issuance has reached $26B from 16 institutions, including a 3-year, $1B FRN from European Investment Bank – the longest-dated issuance to date

COMING IN Q1 2019: Packs & Bundles

Packs and Bundles for SOFR futures will launch in Q1 2019, pending regulatory review. They will use an average price methodology based on client feedback - Learn More

More on SOFR Futures


Liquidity Enhancements for Ultra 10 Options

With liquidity at an all-time high in Ultra 10 futures (TN), we've rolled out enhancements to build liquidity in Ultra 10 options (OTN).

  • Top market makers are now focused on providing liquidity in Ultra 10 options during all trading hours across weeklies, monthlies and quarterlies
  • Reduced Block Thresholds: 1,400 contracts during RTH, 750 during ETH, 350 during ATH
  • Block fee reduced to match the all-in rate for pit transactions
  • Ultra 10 futures: ADV of 187K, OI reached 740K

Vendor codes, block market markers, and more


Traders Embrace Added Expiration Flexibility in Options

With expiries every week and options listed from one week to four years, options ADV has surged to a record 2.4M in 2018.

  • Weekly Treasury options averaged a record 332K contracts/day in Nov, including a record 293K in Friday Weeklies, and 38K in Wednesday Weeklies
  • Long Green Eurodollars (with up to 3-yrs to expiry) have grown to 4M+ in OI
  • Term Mid-Curves (3-,6-,9-month Mid-Curves on Whites) have traded 95K contracts since launch
  • Treasury options OI hit a record 10.5M on Nov 21, while EDs are at a near record 49.5M

November Volume and OI Report


CFTC Publishes Study of U.S. Treasury Market Liquidity**

Among the study’s findings:

  • The 10-Year Note future has the largest share of risk transfer (DV01 volume) among the instruments in the study
  • When the market experiences high price volatility, 10-Year Note futures' share of trading increases relative to other instruments
  • During non-U.S. trading hours, the share of volume transacted in futures increases relative to cash instruments

Read the Full Study

SONIA Futures Volume Doubles in November

In just their second month of trading, SONIA futures averaged over 6K contracts/day, more than double their debut month.

  • Open interest hit a high of 9K contracts on Nov 28, extending out to Mar 2021
  • Markets continue to trade between 0.5 and 1 basis points wide
  • MPC SONIA futures are now listed through 2019, offering precise hedging for every confirmed BoE MPC meeting in 2019
  • View MPC rate hike probabilities with the CME BoEWatch tool

More on SONIA Futures

Eris Swap Futures Now Live on CME Globex

Eris Swap futures are now trading alongside MAC Swap futures on CME Globex, providing market participants with new trading opportunities and greater capital efficiencies.

View Details, Download Eris Grid for CME Direct

Data as of November 30, 2018, unless otherwise specified
All dates and months referenced are for 2018, unless otherwise specified
Large Open Interest Holders sourced from CFTC’s Traders in Financial Futures Report dated November 20, 2018
*Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01)
**Baker, McPhail, and Tuckman (2018), “The Liquidity Hierarchy in the U.S. Treasury Market: Summary Statistics from CBOT Futures and TRACE Bond Data,” Office of the Chief Economist, Commodity Futures Trading Commission.

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