March Rates Recap

SOFR, So Liquid

SOFR futures achieved numerous records in February, as deepening liquidity in this very young product continues to attract new users.

  • Record ADV: 31K contracts/day, +70% MoM
  • Record open interest: 134K contracts ($436B notional*) on Mar 1, +167% since Jan 3
  • Record single-day volume: 61K contracts on Feb 28
  • Record intercommodity spreads (ICS) ADV: 1.5K contracts/day, +289% MoM 
  • Record participation: 120+ global firms, with a balanced mix of buyside, banks and prop trading firms
  • Record large OI holders: 78 as reported in the CFTC COT report dated Feb 19
  • Cumulative volume: Over 2M contracts since May 7, 2018 launch ($4T notional, $61M DV01)

Reminder: Packs and bundles will be enabled in Three-Month SOFR futures on March 11, 2019 (Details)

More on SOFR


Hedging Repo Exposure in the Treasury Basis with SOFR

With bilateral Treasury overnight repo data accounting for ~55% of the trade activity on which the Secured Overnight Financing Rate (SOFR) benchmark is based, SOFR provides a fair proxy for Treasury overnight repo exposure.

Read how CME One-Month SOFR futures can be used as a cost-effective tool for hedging repo exposure.

Read


Trading Money Market Spreads with SOFR, FF and EDs

As SOFR's use as the underlying reference rate in cash market applications approaches $65B** and derivatives contracts use has grown, so too has demand for an efficient way to manage basis risk between SOFR and established benchmarks like EFFR and LIBOR.

Learn how Intercommodity Spreads (ICS) between SOFR, Fed Funds and Eurodollar futures offer an efficient tool for trading basis spreads between U.S. Money Market rates, with reduced leg risk and up to 85% margin offsets.

Read

CME SONIA Futures Continue to Grow

CME SONIA futures volume grew 23% to 8,600 contracts/day in February, bolstered by an increasingly diverse pool of market participants.

Open interest reached a new high of 14.3K contracts on Mar 1.

2-Yr Note Liquidity Remains Strong with 31% Growth

In the seven weeks since the minimum price increment was reduced to 1/8 of 1/32nd:

  • Average top of book depth of over 3,300 contracts
  • The average top of book spread has traded at the new minimum tick for more than 95% of the trading day
  • 2-Yr volume as a % of Treasury futures volume was 16.7% vs. 12.7% in 2018, growth of 31%
  • February ADV of 1.075M was an all-time record

2-Yr Note Quotes


Record Open Interest in Eurodollar Options

Open interest in Eurodollar options has grown 30% YTD, reaching a new high of 53.7M contracts on Feb 28. A record 35.8M is held in quarterly/serial contracts.

Track the concentration of put/call positions by expiration and strike with the OI Heatmap tool.

Open Interest Heatmap

Data as of February 28, 2019, unless otherwise specified
*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)

**Source: Bloomberg

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