CME Group Adjusted Interest Rate Total Return Futures Reach Record Open Interest, Volume

Rhea-AI Summary

CME Group announced record performance in its Adjusted Interest Rate (AIR) Total Return futures, reaching 710,358 contracts in open interest ($224 billion notional) on November 20. The average daily volume stands at 11,600 contracts for 2024, marking a 152% increase year-over-year. Starting December 9, CME will introduce additional monthly expirations for AIR S&P 500 Total Return futures based on the Effective Federal Funds Rate. The AIR Total Return futures are available across major global indices including S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average, and FTSE 100.

Positive

• Record open interest of 710,358 contracts ($224 billion notional)
• 152% year-over-year increase in average daily volume
• Expansion of product offerings with additional monthly expirations

Negative

• None.

Insights

Financial Markets Expert

The record-breaking performance in CME's AIR Total Return futures signals a significant shift in institutional trading preferences. With $224 billion in notional open interest and a 152% year-over-year increase in average daily volume, these derivatives are gaining substantial traction. The expansion to include additional monthly expirations for EFFR-based S&P 500 contracts demonstrates strong market demand and potential revenue growth.

This product's success reflects broader market trends toward centrally cleared alternatives to OTC derivatives, driven by regulatory pressure and counterparty risk management. The extensive coverage across major global indices positions CME strategically in the growing total return futures market. The ability to trade calendar spreads along the equity financing curve provides institutions with enhanced flexibility in managing their equity exposure and financing costs.

CHICAGO, Nov. 21, 2024 /PRNewswire/ -- CME Group, the world's leading derivatives marketplace, today announced that its suite of Adjusted Interest Rate (AIR) Total Return futures reached an open interest (OI) record of 710,358 contracts (equivalent to $224 billion notional) on November 20.

In addition, AIR Total Return futures average daily volume (ADV) stands at a record 11,600 contracts for 2024, up 152% year-over-year.

"More institutional investors are turning to our AIR Total Return futures to access U.S. index returns while managing interest rate, balance sheet and counterparty risks," said Paul Woolman, Global Head of Equity Products at CME Group. "These products provide a cost-effective alternative to OTC total return swaps and allow clients to better manage their equity financing risk by trading calendar spreads along the entire equity financing curve."

To provide clients with further precision, effective December 9, additional monthly expirations will become available for AIR S&P 500 Total Return futures based on the Effective Federal Funds Rate (EFFR). These will complement existing quarterly and annual January contracts.

AIR Total Return futures, based on the EFFR, are available across a range of major global indices – S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average, and the FTSE 100. AIR Total Return futures based on the Secured Overnight Financing Rate (SOFR) are available on the S&P 500.

As the world's leading derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data – empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. The company offers futures and options on futures trading through the CME Globex platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform.  In addition, it operates one of the world's leading central counterparty clearing providers, CME Clearing. 

CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex, and E-mini are trademarks of Chicago Mercantile Exchange Inc.  CBOT and Chicago Board of Trade are trademarks of Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc. BrokerTec is a trademark of BrokerTec Americas LLC and EBS is a trademark of EBS Group LTD. The S&P 500 Index is a product of S&P Dow Jones Indices LLC ("S&P DJI"). "S&P®", "S&P 500®", "SPY®", "SPX®", US 500 and The 500 are trademarks of Standard & Poor's Financial Services LLC; Dow Jones®, DJIA® and Dow Jones Industrial Average are service and/or trademarks of Dow Jones Trademark Holdings LLC. These trademarks have been licensed for use by Chicago Mercantile Exchange Inc. Futures contracts based on the S&P 500 Index are not sponsored, endorsed, marketed, or promoted by S&P DJI, and S&P DJI makes no representation regarding the advisability of investing in such products. All other trademarks are the property of their respective owners. 

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SOURCE CME Group

FAQ

What is the current open interest record for CME Group's AIR Total Return futures?

CME Group's AIR Total Return futures reached a record open interest of 710,358 contracts, equivalent to $224 billion notional, on November 20, 2024.

What is the average daily volume growth for CME AIR Total Return futures in 2024?

The average daily volume for CME AIR Total Return futures stands at 11,600 contracts in 2024, representing a 152% increase year-over-year.

When will CME Group add new monthly expirations for AIR S&P 500 Total Return futures?

CME Group will add new monthly expirations for AIR S&P 500 Total Return futures based on the Effective Federal Funds Rate (EFFR) effective December 9, 2024.