Interest rates saw its busiest October ever as volatility breaks out
Interest Rate futures and options posted their most active October on record, averaging 14.78M contracts a day, more than 2M higher than the prior October high.
October ADV breakdown and rank
The record activity comes amid a two-month rally in rates volatility that pushed the Treasury Volatility Index (TVL) from 87 on September 4 to a seven-month high of 140 on October 22. Higher vols were accompanied by a sharp reversal lower in skew and increased convexity, as hedging demand shifted to downside yield protection and traders bid up tail risk premiums.
Interest Rates Yield Volatility (BPS) as of Oct. 30
Asset managers shift risk to the belly, extend record TY net long
Asset Manager Net Long Change, Sept. 22 to Oct. 27
Credit futures: Time to shine
Credit futures saw surging adoption throughout October, driven by a wave of new market entrants spanning banks, hedge funds, asset managers and proprietary trading desks across the U.S., EMEA and APAC.
Liquidity in the block market broadened significantly, supported by additional dealers committing two-way pricing. Block trades accounted for 27% of total IG and HY volume in October, nearly double the 2026 baseline. In total, 11 block transactions cleared last month, with multiple prints executing outside standard credit trading hours. With global accessibility expanding, active screen pricing is now live across APAC hours.
Activity concentrated heavily around macro risk events with traders increasingly using Credit futures as an efficient liquidity bridge on Fed days when secondary cash markets tightened.
More in Interest Rates
Surging yields drive record demand for Treasury futures and options
Fueled by 76% growth YoY in cleared USD swap volumes at CME Group,savings from swaps-futures Portfolio Margining continue to rise to record levels amidst the industry’s demand for capital efficiencies.
Eris Swap futures momentum swells
In the more than three years since Eris SOFR Swap futures became eligible for portfolio margining with cleared IRS, average daily volume (ADV) and open interest (OI) have risen markedly.
Recent highlights:
- Record non-roll month ADV of 27K contracts in October
- Record OI of 900K contracts on Nov. 2
- 25 block trades in Oct. exceeding $200K DV01
The rapid rise of Ultra 10 options
Treasury traders are adding Ultra 10 (OTN) options to their strategy, capitalizing on strong liquidity to express precise 10-year options risk. OTN notched multiple records in October as a result, including:
- Open interest: 113K contracts
- Volume: 146K contracts (6.6K ADV)
- Bock trades: 10K contracts
ICYMI: Key product changes now live
Effective Nov. 1:
- TY calendar spreads trading in 1/8 ticks (more details)
- Final settlement granularity in SR1 and ZQ enhanced to 1/100 of a basis point (more details)
Buy-side taps CVOL for volatility expectations
Buy-side firms are increasingly using CVOL to capture full-curve volatility expectations, deeper sentiment insights and real-time execution clarity.
The CVOL advantage:
- Derived from liquid, exchange-traded options
- Measures the entire volatility curve, not just ATM
- Auxiliary indicators (skew, convexity, UpVar, DnVar) provide sentiment insights
- Intra-day streaming allows for algorithmic modeling, execution and risk monitoring
Data as of November 1, 2026, unless otherwise specified.
*Pending regulatory review
View an archive of the Rates Recap online at cmegroup.com/ratesrecap.
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