November 2023 Rates Recap

Look forward to Mondays with new weekly options

Monday-expiring weekly Treasury options are now live, giving participants new ways to hedge weekend risks, an increasingly vital capability amid ongoing Treasury volatility and global uncertainty. 

Week one of trading saw volume and open interest grow each day leading into the weekend. 

Source: CME Group


Enhanced liquidity sparks surge in Ultra 10 options trading

Ultra 10 options had their best month ever in October as the arrival of enhanced liquidity met pent up demand for precise 10-Year options exposure:

  • Volume exceeded 31.8K contracts (ADV of ~1,450), a 299% increase compared to the first nine months of the year combined
  • Open interest reached a high of 17.8K contracts
  • Streaming and RFQ liquidity available across standard and weekly expiries
  • Underlying Ultra 10 futures eclipsed 2M in OI for the first time ever on Oct 31

Source: CME Group

Money market traders embrace T-Bill futures

13-Week U.S. Treasury Bill futures saw strong adoption in their first month trading, with a diverse range of participants leveraging this new way to hedge cash T-bill portfolios. Month one highlights include:  

  • Bid/ask spreads at 0.5 - 1.0 bp
  • As much as 1,500 contracts at top of book
  • ~850 ADV and OI of 3.7K contracts
  • SOFR vs. T-Bill spreads accounted for 41% of volume (see why

Want to learn more about the ins and outs of T-Bill futures? Watch our webinar with David Gibbs for key information: 

€STR at a million

In under one year on the market, €STR futures have become a go-to hedge for euro overnight rates, surpassing one million contracts traded and 23.9K in OI (on Oct 27). 

€STR futures capped off their first year with record ADV of 11.8K contracts in October, a third straight record month.

Source: CME Group

Given this success, more ways to trade €STR are coming soon, including the expansion of the order book into the greens. See more in the SER.

TBA futures: Building on a strong foundation

Spurred by greater efficiencies when compared to forwards and 70% margin offsets vs. Treasuries, TBA futures have become important tools for risk mitigation in the mortgage market. In just their first year, total volume approached 80,000 contracts while top of book activity continues to improve across the coupon stack. 

Source: CME Group

Learn more about TBAs as their second year of trading commences. 

Cleared swaps: RFR transitions

Although the USD LIBOR cessation is behind us, additional countries around the globe are planning similar transitions to risk-free rates.

CME Group is here to help make these transitions as smooth as possible, developing resources and conversion plans for each of the upcoming shifts. See our latest materials below or email with questions. 

Yield futures: One-year highs in ADV

With the 10-Year Treasury recently eclipsing the 5% yield mark, retail traders are increasingly paying attention to the bond market. Recent volumes in Yield futures reflect these trends with October ADV surpassing 9,350 contracts, a 38% increase MoM. It is easy to see why: 

  • Tight bid-ask spreads: 0.002% during U.S. hours
  • Efficiently sized for retail traders and yield quoted for simplicity  
  • Constant BPV of $10 for easier spread trading

Efficiently hedge risks with Eris SOFR

Those who borrow at floating rates and lend at fixed face risks from interest rate increases. Eris SOFR Swaps allow for efficient hedging of this risk thanks to a few key features: 

  • Contract lot sizes at just $100,000
  • No quarterly roll requirements
  • Visible and executable prices via central order book

Data as of Nov 1, 2023, unless otherwise specified