At just over three years old, the SOFR futures market has developed rapidly into a sizeable ecosystem with over 550 participants, YTD ADV of 114K contracts (+154% YoY), and open interest of over 841K contracts (+87% YoY).
SOFR-linked derivatives exposure is actually significantly larger than these numbers suggest...
Exhibit 1: More than one in every three contracts of Eurodollar futures and options activity is tied to futures expiring after June 2023. For example, Mid-Curve options with a Sep 2023 or later futures expiry account for 39% of Eurodollar options ADV.
Source: CME Group
Exhibit 2: Eurodollar futures open interest held in Sep 2023 and beyond has grown 123% YTD to over 4.5M contracts. Together with SOFR futures open interest of 841K, there is now over 5M contracts of futures open interest tied explicitly or via fallbacks to SOFR.
Source: CME Group
Exhibit 3: SOFR-ED basis spreads U3 and beyond trade in a tight range around the 26.161 bps ISDA spread.
Source: QuikStrike STIR Analytics tool
Launching August 16*, Micro Treasury Yield futures will be cash-settled to BrokerTec UST benchmarks, offering direct exposure to the most recently auctioned Treasury securities at four key tenor points on the curve.
A year ago, 3-Year Treasury futures were relaunched with a reduced tick size (1/8), a new matching algo (FIFO), and a broader delivery basket (includes old 7-yrs) to meet client demand for more curve granularity.
Available to trade in Q3*, futures on the Bloomberg Short-Term Bank Yield Index (BSBY) will offer:
Please see the SER below for more details.
Data as of June 30, 2021, unless otherwise specified
*Subject to regulatory review