Driven by an influx of new participants and increased hedging of SOFR expectations further out the term structure, CME SOFR futures liquidity deepened considerably in October.
Source: CME Group
Gross Coupon Issuance ($B)
White = Projected, Yellow = Announced, Grey = Actual
Source: CME TreasuryWatch tool,
projections from CME Group Research and Product Development
Source: QuikStrike Open Interest Heatmap
With historically low interest rates driving demand for finer strike increments in STIR options, we are adding a 6.25 strike price interval to front Eurodollar and 3-Month SOFR options effective November 23*.
Read our primer to learn how this change will allow finer hedging in nearby rate movement.
Since relaunched on July 13, enhanced 3-Year futures (Z3N) have traded more than 375K contracts.
BrokerTec’s dealer-to-client RFQ platform, BrokerTec Quote, launched in the United States, providing a more intuitive and efficient means of trading US repo.
BrokerTec Quote offers buyside clients robust new technology to empower their existing repo relationships, developed by the market-leading execution venue for fixed income markets.
Data as of November 6, 2020, unless otherwise specified
*Source: November 3, 2020 CFTC Commitments of Traders Report
**Pending regulatory approval