- 8 Mar 2022
- By CME Group
- Topics: Interest Rates
With the user base broadening to over 1,000 global participants, SOFR futures trading continues to thrive.
Over the last two weeks:
- ADV of 1.8M contracts (53% of Eurodollars), including a daily high of 2.7M and three consecutive days over 2M
- OI of over 3.8M contracts (34% of Eurodollars)
- Packs and bundles ADV of 258K (15% of SR3 volume), and SR3-ED ICS ADV of 327K
Source: CME Group
SOFR options continue to grow at an unprecedented pace in 2022, with OI jumping to over 1.15M contracts in just two months, and ADV reaching 57K contracts in February.
Source: CME Group
Cleared SOFR swaps volume averaged a record 11.3B notional per day in February, with SOFR-indexed trades representing 50% of the USD trades cleared at CME, up from 37% in January.
Source: CME Group
- 30 participants
- Volume of 1,333 contracts
- 150 contracts traded via Exchange for Physical (EFP)
- Open interest of 1,041
Interest Rate futures and options continue to provide participants with deep and resilient liquidity to manage risk in volatile and uncertain markets:
- Feb ADV: 14.9M contracts (4th highest ever)
- Record ADV in Ultra 10Y (629K), Ultra Bond (414K), and 3Y futures (21K)
- Record ADV in SOFR futures (1.2M) and options (57K)
February 2022 ADV
|
|
ADV (000s) |
% YoY |
|---|---|---|---|
Total Rates |
Fut |
12,332 |
15% |
Opt |
2,602 |
4% |
|
STIR |
Fut |
4,671 |
42% |
Opt |
1,529 |
18% |
|
Treasury |
Fut |
7,647 |
3% |
Opt |
1,074 |
-11% |
|
Eris/MAC Swap |
Fut |
13 |
-17% |
Source: CME Group
CME Globex-listed Inter-Commodity Spreads (ICS) enable execution of curve trades in a single transaction with zero leg risk.
By reducing the noise and inefficiency of individual legs in volatile markets, ICS are a key tool for trading risk events.
Listed in 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, and 10Y tenors, the contracts replicate the cash flows of a vanilla OTC fixed versus floating 3-month BSBY swap.
Complimentary registration is now open for the first event in the series, a March 22 virtual conference exploring the steps participants need to take ahead of the end of USD LIBOR.
Data as of March 4, 2022, unless otherwise specified (20Y T-Bond data as of March 7)
*Subject to regulatory review
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