- 8 Aug 2025
- By CME Group
- Topics: Interest Rates
A recent Crisil Coalition Greenwich survey examined how a variety of market participants utilize Treasury volatility in their strategies. Their findings showed that ~95% of those surveyed monitor Treasury volatility at least weekly, but looked at a variety of metrics overall, which revealed key insights, such as:
91% use at-the-money volatility levels in day-to-day decisions.
89% use CME Group Treasury/SOFR options for trading Treasury volatility.
81% cited real-time updates as the "most important" aspect of a volatility metric.
See the study for more on how Treasury market volatility is viewed by participants or visit our full CVOL suite to visualize key metrics (such as at-the-money volatility) across the curve in real-time.
Source: Coalition Greenwich 2025 Treasury Volatility Study
With an active July, Credit futures open interest (OI) crossed $350M notional, which represented sizable growth since the end of June.
Source: CME Group
Average bid-asks improved month-over-month for all four members of the suite, including going below one Index Point for Investment Grade (IQB) contracts.
As the Credit futures ecosystem continues to deepen, explore other ways for scaling into positions in this market.
The Treasury roll is always one of the most active periods of the quarter. And with large open interest holders (LOIH) numbers at new all-time highs, participants are ready to meet the needs of the market and support this risk transfer as positions are rolled into December contracts.
Later this month, use our tools to stay apprised of the progress in the Treasury roll for your position management needs.
In their first full month on the market, Tuesday and Thursday Weekly Treasury options have already become key tools for participants looking to manage granular risk.
In July, a new one-day volume high of over 158K contracts was set, while OI also eclipsed the 119K mark in the month as well.
Overall, Weeklies saw average daily volume (ADV) approach half a million contracts for the month, and OI hit 1.33M, underscoring the deep liquidity and activity in this corner of the Treasury options space.
Market participants are increasingly using Globex Request for Quote (RFQ) messages to request liquidity in nascent, growing futures markets.
New RFQ alerts are now available for select Interest Rate futures products, enabling real-time email alerts when an RFQ is sent for your selected set of products. Don’t miss out on the action.
The CME-FICC arrangement, which is already bringing market leading efficiencies to clearing members, looks to expand to end-users and dually registered BDs by the end of the year.*
To find out more about which products will be eligible, how margin savings will be applied and other key details, read our recently updated FAQ for insights
Though the Fed held steady on rates to close out July, there is uncertainty on the path ahead. Currently, FedWatch shows a 91% chance of a cut in September, though upcoming data releases will likely weigh heavily on these figures.
For more on the interplay between inflation expectations, FedWatch and ways to manage risk with options, see our latest research article for details.
Two of our newest global rate solutions saw OI highs in July as participants continue to get familiar with these contracts for their hedging needs.
Cross-Currency Basis futures: These contracts allow participants to manage the EUR/USD basis with ease. This marks the third consecutive month of rising OI, with a new high of 400 set in July as well.
F-TIIE: With both One-Month and Three-Month contracts now available, participants can manage Mexican rate risk in granular ways. A new OI high was set in the suite to close out the month, coming in at 566.
Data as of August 1, 2025, unless otherwise specified.
FedWatch data as of August 7, 2025.
*Subject to regulatory approval.
View an archive of the Rates Recap online at cmegroup.com/ratesrecap.
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