On April 14, 2023, CME Group will convert all eligible Eurodollar futures and options that have a U23 underlying or later to equivalent SOFR contracts ("affected contracts").
The vast majority of trading activity in short-term interest rates has already migrated to SOFR futures and options.
If you have questions about the process, please reach out to our team:
Chicago: (312) 207 2525
London: (44) 203 379 3198
Singapore: (65) 6593 5591
The €STR First program is underway to deepen liquidity and adoption of European Short-Term Rate futures. This market-wide initiative invests in building additional liquidity and features no exchange trading fees between now and the end of June.
With confidence and liquidity continuing to build, TBA futures open interest climbed to new high of 840 contracts in March.
Source: CME Group, data as of March 30
Banking concerns and shifting perceptions about the Fed's near term rate path led traders to manage a record amount of risk in March.
Market prospects for rates underwent a seismic shift last month, from more rate hikes to expectations of a rate cuts as early as this summer. Watch the CME FedWatch Tool to stay up-to-date as more data hits the market.
March may prove to be a turning point for the Federal Reserve. Shocks to the financial system are threatening to derail the Fed's plans to bring down inflation with more rate hikes. Chief Economist Blu Putnam discusses what participants should watch in the months ahead for clues on the Fed's near-term path.
Micro Treasury Yield futures are experiencing a surge in trading this year as participants are using the yield-based futures to trade the volatile rates environment.
ADV in 2023 has increased dramatically month to month, with an ADV of 7K contracts in March.
Traders are once again turning to 2-Year Treasury options to manage extreme volatility at the front-end of the curve.
ADV in 2-Year options climbed to a multi-year high of nearly 25K contracts per day in March as the 2-Year CVOL Index (TUVY) surged to a new all-time high.
Source: CME Group
Data as of March 31, 2023, unless otherwise specified
*Source: Refinitiv Deals Screener
View an archive of the Rates Recap online at cmegroup.com/ratesrecap.