With 3-Month (SR3) liquidity deepening significantly in third-year (green) contract months, CME SOFR futures tallied new highs for volume, open interest, and large participants in February:
Eight months since launch, enhanced 3-Year Treasury futures continue to see increased adoption.
To provide a more complete view of volatility expectations across the Treasury curve, and expanding upon the previously launched 10-Year CVOL Index, we've begun publishing CVOL Indexes on 5-Year T-Note and Classic T-Bond futures.
Data as of February 26, 2021, unless otherwise specified
*Source: February 16, 2021 CFTC Commitments of Traders Report
**Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis point (DV01).