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