October 2023 Rates Recap

Improve your short game: T-Bill futures now live

T-Bill futures saw one of the strongest day 1 receptions of the last two decades with over 2,800 contracts traded, 1,200 in open interest, and robust top of book liquidity at 0.5-1.0 bps wide across the curve. Notably, SOFR vs. T-Bill inter-commodity spreads accounted for 56% of day 1 volume. Get to know T-Bill futures with the resources below:

Navigating higher yields: The role of Treasury futures in today's market

Read a new note from Agha Mirza, Global Head of Rates and OTC, addressing recent Treasury futures themes in the industry and media, and the vital risk management function that Treasury futures play in today's economy.

New products reach new milestones

€STR futures are increasingly attracting euro STIR traders looking for a hedge that accurately reflects changes in rate expectations.

  • Record ADV: 10.1K contracts in September, +43% MoM
  • Record OI: 16.8K contracts on Sep. 18

TBA futures have seen both on screen and block liquidity deepen, enabling growing activity across outrights, dollar rolls, and coupon swaps. 

  • Record ADV: 700 contracts, +40% MoM
  • Record OI: 3,800 on Sep. 27
  • Record 1-day volume: 2.4K on Sep. 15
  • First trades in 6.5% coupons. 

How to simplify duration hedging

Duration hedging is in focus for participants in today's market environment. And when every dollar counts more than ever, it may be time to pivot from OTC swaps to more nimble Eris SOFR swaps for a few key reasons:

  • More straightforward - Use traditional futures accounts
  • Trading simplicity - Execute electronically or via blocks
  • Capital efficient - Up to 65% less in initial margin requirements

See the article for an example of the key advantages Eris SOFR swaps have over OTC positions for many clients. 

Monday Weekly Treasury options coming Oct. 30

Building on the success of Wednesday and Friday Weekly Treasury options, CME Group will add Monday-expiring weeklies beginning Oct. 30*, offering greater precision to manage weekend gamma risk. 

Weekly options ADV has surged to 333K contracts YTD, accounting for a record 30% of total Treasury options volume. 

Ultra 10-Year Options

With Ultra 10-Year futures usage soaring, we're investing in improved liquidity in the corresponding options market.

Dedicated market makers are now streaming quotes and responding to RFQs in strategies across standard and weekly options.

Source: CME Group

Monitor the EUR/USD cross-currency (x-ccy) basis with ease

The latest addition to our suite of interest rate tools is the Cross-Currency Basis Watch. This uses SOFR, €STR, and quarterly FX futures to allow traders to quickly monitor the magnitude of the EUR/USD cross-currency basis.

See it in action and plug in your own inputs for potential trading ideas.

Webinar: Managing Treasury risk

Director of Education David Gibbs provides an in-depth guide to the global Treasury marketplace in his latest webinar. His focus is on several key topics, including:

  • Trading the slope of the yield curve
  • Examples using Micro Treasury Yield futures
  • How to use the CME Group Treasury Analytics suite

Data as of Oct 2, 2023, unless otherwise specified
*Pending regulatory review

View an archive of the Rates Recap online at cmegroup.com/ratesrecap.