January Rates Recap

Interest Rate futures and options achieve fourth consecutive record year

In a year marked by rate uncertainty in H1, three rate cuts in H2, ongoing global trade tensions, and stress in the repo market, participants turned to CME Group’s deeply liquid and capital efficient futures and options to manage their interest rate exposure.

The story of liquidity as measured by volume, open interest, order book strength, and participation:

  • Average daily volume reached 10.35M contracts, a fourth consecutive record year
  • Open interest averaged a record 93M contracts, +17% YoY, including an all-time high of 110M contracts in June
  • Strength of order book liquidity: 2-Year Note futures remained at the newly reduced minimum tick (1/8 of 1/32nd) for 97% of RTH, reducing total cost of trading by up to 32%
  • Large open interest holders remained near all-time highs, averaging 2,119 in the CFTC’s weekly COT report
  • Short-term interest rate products averaged a record 4.8M contracts/day, led by record ADV in Eurodollar options (1.68M), Fed Fund futures (356K), and SOFR futures (36K)
  • Treasury products averaged a record 5.5M contracts/day, with records in Treasury futures (4.4M), Treasury options (1.1M), 5-Yr Note futures (1.16M), 2-Yr Note futures (725K), Ultra 10-Yr Note futures (230K), and Ultra T-Bond futures (190K)
  • Swap futures averaged a record 11K contracts/day, with outsized growth in Eris products

SOFR options now live

Monday’s launch of SOFR options saw active quoting on both CME Globex and Open Outcry, and the first trade – a Dec 98.625 straddle in the pit.

Three-Month SOFR options offer greater flexibility for managing SOFR price risk and exciting new spreading opportunities versus Eurodollar options.

More on SOFR options

Amendments to block threshold for STIR Inter-Commodity Spreads (ICS)

Effective on Jan 13, 2020, CME and CBOT will permit ICS transactions in short-term Interest Rate futures and options to be executed as block trades provided that each leg of the ICS meets the smaller of the threshold requirements for the underlying products.

For example, during RTH, an ICS in the 1-Month SOFR vs. Fed Funds spread may be executed via block provided that the size of each leg is at least 500 contracts, the block minimum for 1-Month SOFR futures.

View the SER

SOFR futures surpass 10M contracts traded

SOFR futures 2019 in review:

  • Participation deepened to 350+ global participants
  • ADV grew to 47K contracts over the final four months of 2019 (full-year ADV of 36K)
  • Open interest reached 578K contracts
  • Large open interest holders reached 161 in the CFTC COT report
  • Over 10.2M contracts have traded since launched on May 7, 2018

SOFR swaps 2019 in review:

  • Record $21B cleared in December
  • 14 banks and 13 clients have cleared $44.5B at CME

More on SOFR futures

More on SOFR swaps

Data as of December 31,2019, unless otherwise specified
*Large Open Interest Holders sourced from CFTC’s Traders in Financial Futures Report