Led by elevated activity in the 3-Month contract (SR3), open interest in CME SOFR futures hit a record 708K contracts on Dec. 1, representing 42% growth since Oct. 31.
CME Group has communicated a detailed plan for implementing improved, strengthened, and standardized SOFR-based fallback procedures for derivatives (Eurodollar futures and options and OTC swaps).
Introducing CME Group Volatility Indexes (CVOLTM), a cross-asset family of implied volatility indexes that will be published daily, starting with 10-Year Treasuries and G5 FX.
Data as of December 1, 2020, unless otherwise specified
*Source: November 24, 2020 CFTC Commitments of Traders Report