Trading volume in CME SOFR futures rose to 112K contracts ($232 billion in representative notional*) per day in Q1 2021, representing a 61% increase QoQ and a 98% increase YoY.
Read how the Treasury's planned ~$1 trillion TGA drawdown could impact short-end rates and repo.
Learn about CME Group's Treasury CVOL Indexes, which are offered in both yield and price volatility formats.
Methodology is shifting from Primary Dealer to TRACE data for analyzing the ratio of notional-weighted trade activity in futures compared to underlying cash market volumes.
Data as of March 31, 2021, unless otherwise specified
*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).
**Source: March 30, 2021 CFTC Commitments of Traders Report