In Q1 2026, Interest Rate products traded an average daily volume (ADV) of over 18 million contracts, driven by the increased use of listed derivatives for their deep liquidity and capital efficiency. Average daily open interest (ADOI) – a key liquidity measure that represents the total size of open positions held by market participants – reached 84 million contracts, equivalent to about $69 trillion in notional value.

U.S. Treasury and SOFR futures and options are the main products of the Interest Rate product suite, making up 57% and 40% of the product suite ADV, respectively. Newer products on other sectors of the fixed income markets, including corporate bonds and agency MBS, are growing steadily with end-user adoption.

In Interest Rate futures, the number of large open interest holders (LOIH), a proxy for the breadth of market participants holding significant positions, reached an all-time high of 3,616 on January 20, 2026.

• All-to-all, executable and transparent markets for nearly 24-hours a day
• Diverse ecosystem of market participants globally
• Tight bid-ask spreads and robust market depths around the clock

• Central limit order book (CLOB) where participants can make or take prices electronically
• Request for Quote (RFQ) for execution of complex, multi-legged strategies
• Negotiated bilateral “block” or “Exchange for Related Positions” trades

• Margin offsets between listed CME Group products across asset classes
• Portfolio margining between CME Group listed futures and CME Group cleared swaps
• CME-FICC cross-margining between listed futures and FICC cleared cash Treasuries

SOFR futures and options, based on the SOFR benchmark underpinned by the U.S. Treasury overnight repurchase market, are the leading linear and non-linear instruments for hedging USD short-term interest rates. Since the transition from LIBOR, SOFR futures have surpassed the legacy LIBOR-based Eurodollar futures in terms of average daily volume, trading at over 5.4 million contracts a day in Q1 2026.

• With expansive consecutive listings and deep liquidity along the forward curve, SOFR futures are a source of price discovery and an indicator of market expectations out 10 years.
• Provides hedging precision and flexibility with the more granular 1-month contracts and an array of listed futures strategies, including calendar spreads, butterflies, packs and bundles, and inter-commodity spreads vs. Fed Funds futures and T-Bill futures.
  • Packs and bundles are an execution strategy to transact a strip of consecutive 3-month contracts in a single order, quoted as the average prices of the constituent legs.
  • A pack consists of four consecutive quarterly contracts covering a year of risk.
  • A bundle consists of multiples of four quarterly contracts covering more than a year of risk.
• A diverse and extensive suite of options types (standard and mid-curve), expiries and strategies facilitate non-linear and precise trading strategies across the forward curve:
  • Mid-curve options are short-dated options on forward-dated underlying SOFR futures that expire up to 5 years away.

SR3 futures are economically similar to a single-period 3-month OIS, where the futures price corresponds to the market-implied swap rate for a 3-month period.

Long SR3 futures = Receiving fixed rate in OIS

Short SR3 futures = Paying fixed rate in OIS

To hedge an OIS position, one can enter an offsetting position in futures. 

Packs and Bundles can be used to execute a strip of consecutive SR3 futures to replicate or hedge longer-period swaps.

SOFR options are an effective exchange-listed instrument to replicate interest rate protections. 

A cap pays out when interest rate rises above a certain level, while a floor pays out when interest rate drops below a certain level. 

SOFR options strike prices correspond to the cap or floor rates. A strip of consecutive quarterly options can be used to replicate a longer-period cap or floor.

Long SOFR options calls = Long interest rate floors

Long SOFR options puts = Long interest rate caps

Treasury futures are the most liquid centralized market for U.S. Treasuries, trading at an ADV of 8.6 million contracts in Q1-2026, equivalent to almost $1 trillion in notional value. 

Treasury futures are physically deliverable and contain a range of underlying deliverable cash Treasury securities, defined by their terms to maturity. Treasury futures tend to track the cheapest-to-deliver (CTD) security - the issue that is the most cost-effective for making delivery.

Treasury futures are used for various risk management and trading applications, including adjusting fixed income portfolio duration to increase or decrease portfolio sensitivity to interest rate risk, relative value trading against cash Treasuries and OTC swaps, hedging long-dated swaps, executing flattener/steepener trades on the Treasury yield curve, and taking directional views.

Treasury options are deliverable options on Treasury futures. With 102 expiries listed at any given time, including daily expiries from Monday to Friday, they offer flexibility and precision in managing risk or expressing views on market-moving events and key economic releases.

Trading Treasury futures is economically similar to trading the CTD cash security. Compared to cash Treasuries, Treasury futures are a more cost-effective and flexible instrument for duration adjustment. 

When rates are rising, portfolio managers with long bond portfolios can reduce their portfolio duration by selling Treasury futures. 

When rates are falling, portfolio managers can buy Treasury futures to increase duration for yield enhancement purposes.

A steepener trade involves buying a shorter tenor futures and selling a longer tenor futures.

A flattener trade involves selling a shorter tenor futures and buying a longer tenor futures.

Treasury futures inter-commodity spreads (ICS) are a listed spread type that executes a spread trade on Treasury futures in pre-defined DV01 neutral ratios, eliminating price slippage for more efficient execution.

Buy Treasury futures ICS = steepener trade

Sell Treasury futures ICS = flattener trade

Fed Funds futures are the leading tools for hedging risks around the Fed's monetary policy. Listed monthly out to five years, Fed Funds futures represent the collective market expectations about the Fed's future policy path. Owing to their deep liquidity, Fed Funds futures are used to compute probabilities of rate hikes/cuts at upcoming FOMC meetings on CME FedWatch tool.

Credit futures are a suite of index futures tracking eight Bloomberg fixed income indices on U.S. corporate bonds, including investment grade and high yield bonds, and emerging market sovereign USD bonds. In addition to index total return contracts, we offer duration-hedged contracts on investment grade and high yield corporate bonds for precise management of credit risk and maturity-bucketed contracts on investment grade corporate bonds.

Since launch in June 2024, over 1 million Credit futures contracts have traded. Driven by product adoption, Credit futures open interest grew beyond $1 billion in notional value in March 2026. The use cases of Credit futures include hedging credit and interest rate risks, cash management in fixed income portfolios, expressing directional views on the credit market and relative value trading against other related instruments.

Eris SOFR Swap futures are listed futures contracts designed to replicate the cash flows of equivalent SOFR OIS. Compared to OTC swaps, Swap futures have lower margin requirements and require no ISDA documents for market access. Swap futures also provide capital efficiency benefits through margin offsets against CMEGroup listed futures and CME Group cleared swaps.

Yield futures are smaller-sized, cash-settled contracts traded in yield terms and tracking on-the-run 2-, 5-, 10- and 30-year Treasury securities. With an intuitive design and a constant DV01 of $10 across all the four tenors, Yield futures are an approachable and precise instrument widely used by active individual investors to gain exposure to the U.S. Treasury market.

€STR futures, based on the Euro Short Term Rate, are a leading STIR instrument designed for hedging overnight market market and repo rates in Europe. With €STR being the preferred benchmark rate in cross-currency EUR pricing, market participants can seamlessly trade ICS between €STR and SOFR futures to manage cross-currency basis and price interest rate differentials, while benefitting from margin offsets between CME Group listed €STR and SOFR futures.

Data sources: CFTC, CME Group as of 3/31/2026
For any inquiry, please contact interestrates@cmegroup.com.

Exchange traded derivatives and cleared over-the-counter (“OTC”) derivatives are not suitable for all investors and involve the risk of loss. Exchange traded and OTC derivatives are leveraged instruments and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money initially deposited. This communication does not (within the meaning of any applicable legislation) constitute a Prospectus or a public offering of securities; nor is it a recommendation, offer, invitation or solicitation to buy, sell or retain any specific investment or service.

The content in this communication has been compiled by CME Group for general purposes only and is not intended to provide, and should not be construed as advice. It does not take into account your objectives, financial situation or needs, and you should obtain appropriate professional advice before acting on or relying on the information set out in this communication. Although every attempt has been made to ensure the accuracy of the information within this communication as of the date of publication, CME Group assumes no responsibility for any errors or omissions and will not update it. Additionally, all examples and information in this communication are used for explanation purposes only and should not be considered, investment advice, the results of actual market experience, or the promotion of any particular products or services.  All matters pertaining to rules and specifications herein are made subject to and superseded by official Chicago Mercantile Exchange Inc. (“CME”), the Chicago Board of Trade, Inc. (“CBOT”), the New York Mercantile Exchange, Inc. (“NYMEX”), and the Commodity Exchange, Inc. (“COMEX”) rulebooks or, as applicable, the respective Rulebooks of CME Group’s certain other subsidiary trading facilities. Current rules should be consulted in all cases including matters relevant to contract specifications.