- 13 May 2025
- By CME Group
- Topics: Interest Rates
Ultra 10: A hidden gem within the $200B Treasury options market
Fresh off a second all-time monthly average daily volume (ADV) record this year (1.84M ADV in April), Treasury options have become an anchor risk management tool for money managers globally. Headlined by outsized growth of Weekly expiries (Mon, Wed, Fri) in recent years, the UST options market provides critical non-linear liquidity for managing short- and long-term hedging needs.
One to watch: Ultra 10 options. With Ultra 10 (TN) futures ADV now over 800K contracts, we’ve seen increased demand for TN options, which is now being met by consistent streaming and RFQ liquidity.
Source: CME Group
With markets uncertain and volatility spiking, traders turned to deeply liquid SOFR futures and options to manage risk when they needed it the most. Liquidity highlights from the month included:
- All-time high in monthly ADV for SOFR futures (5.99M), +16% vs. its prior high and +20% vs. Eurodollars' best month.
- For combined futures and options, four of the 10 highest volume days in SOFR history.
- For combined futures and options, an ADV of 7.73M contracts, highest in two years.
Source: CME Group
The latest development to the ecosystem is a recent expansion to the One-Month SOFR futures listing schedule, from 13 months to 25 months.
With sputtering GDP growth figures on one hand and the prospect of increased costs for a variety of imports, there is little consensus on the Fed's near term path for rates.
This backdrop increased the need for Fed Funds futures as a way to manage risks, leading to a new all-time high in open interest (OI) at 2.56M contracts on April 30.
Source: CME Group
Tap into our FedWatch API for a direct feed of our market data in real time.
As our Credit futures suite continues to blossom, our tools for analyzing this market have expanded as well.
This update includes historical charts of net basis for each contract and information about the Duration Hedged High Yield contracts in terms of risk analytics and how duration neutral exposure is achieved.
The Large Open Interest Holders (LOIH) report shows the breadth and depth of institutional participants in a market, and Eris SOFR has seen its figure soar by nearly 20% YTD (as of April 22, 2025).
Source: CME Group
Overall open interest also hit a fresh 2025 high in April, as OI crossed the 262,000 mark on April 21, underscoring the growing activity in the Eris SOFR Swap futures market.
Find out more about how Swap futures can fit into your hedging strategy in Derivative Path's recent webinar featuring experts from CME Group and Eris.
With the debut of Three-Month F-TIIE (BBG: TIPA Comdty) contracts late last month, participants now have choices in the Mexican interest rate market.
Use our One-Month F-TIIE (BBG: TEIA Comdty) contracts to manage short-term granular risk or our new Three-Month contracts to replicate longer-dated risk exposures with fewer instruments.
Data as of May 1, 2025, unless otherwise specified.
View an archive of the Rates Recap online at cmegroup.com/ratesrecap.
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