CME Group SOFR Futures Hit New Open Interest and Volume Records

Rhea-AI Summary

CME Group (CME) announced new records for its SOFR futures, with open interest reaching 12,701,232 contracts on August 28, 2024, and average daily volume (ADV) hitting 3.5 million contracts year-to-date. SOFR options also showed strong performance with an ADV of 1.6 million contracts and open interest exceeding 42 million contracts. Launched in May 2018, CME Group SOFR futures have gained broad participation from various global financial institutions. The contracts offer margin offsets and cross-margining benefits, enhancing their appeal to traders managing interest rate risk.

Positive

• Record open interest of 12,701,232 contracts for SOFR futures on August 28, 2024
• SOFR futures average daily volume (ADV) reached 3.5 million contracts year-to-date
• SOFR options ADV of 1.6 million contracts with open interest exceeding 42 million contracts
• Broad participation from global banks, hedge funds, asset managers, and other traders

Negative

• None.

Insights

Financial Analyst

The record-breaking open interest and volume in CME Group's SOFR futures highlight a significant shift in the derivatives market. With 12,701,232 contracts in open interest and a year-to-date ADV of 3.5 million contracts, these figures underscore the growing importance of SOFR as a benchmark rate. This surge in activity suggests increased hedging and risk management needs among market participants, potentially driven by anticipation of changes in monetary policy.

The 1.6% million daily volume in SOFR options further emphasizes the market's appetite for these instruments. The broad participation across various types of traders indicates a widespread adoption of SOFR-based products, which could accelerate the transition away from LIBOR. This trend is likely to benefit CME Group's revenue streams and solidify its position in the interest rate derivatives market.

Market Research Analyst

The record-breaking performance of CME Group's SOFR futures signifies a maturing market for SOFR-based products. This growth is particularly noteworthy given the relatively recent launch in 2018, indicating rapid adoption and integration into trading strategies. The diversity of participants, including global banks, hedge funds and asset managers, suggests a broad-based acceptance of SOFR as a reliable benchmark.

The eligibility for margin offsets and cross-margining with other products enhances the appeal of SOFR futures, potentially leading to increased liquidity and efficiency in the overall interest rate markets. This interconnectedness could have far-reaching implications for how financial institutions manage their interest rate exposure and could influence the pricing of various financial products tied to short-term interest rates.

CHICAGO, Sept. 3, 2024 /PRNewswire/ -- CME Group, the world's leading derivatives marketplace, today announced that open interest in its deeply liquid SOFR futures set a new record of 12,701,232 contracts on August 28, as the product's average daily volume (ADV) reached a record 3.5 million contracts year-to-date.

"As market participants navigate changing expectations around monetary policy, they are turning, in record numbers, to the deep liquidity of CME Group SOFR futures and options, which are the world's leading tools for managing interest rate risk with precision and efficiency," said Agha Mirza, CME Group Global Head of Rates and OTC Products. "Across our SOFR, U.S. Treasury and Fed Funds complexes, clients can hedge or gain exposure to the entire U.S. yield curve with unrivaled efficiency and liquidity."

CME Group SOFR options have an average daily volume of 1.6 million contracts year-to-date and open interest of more than 42 million contracts.

Launched in May 2018, CME Group SOFR futures have broad participation from global banks, hedge funds, asset managers, principal trading firms and other types of traders. The contracts are eligible for margin offsets versus adjacent futures and options, portfolio margining with cleared interest rate swaps, as well as cross-margining with FICC-cleared cash U.S. Treasury notes, bonds and certain Repo transactions.

For more information, please visit www.cmegroup.com/sofr.

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 new records did CME Group's SOFR futures hit in 2024?

CME Group's SOFR futures hit a new open interest record of 12,701,232 contracts on August 28, 2024, and reached a record average daily volume (ADV) of 3.5 million contracts year-to-date.

How are CME Group's SOFR options performing in 2024?

CME Group's SOFR options are performing strongly with an average daily volume of 1.6 million contracts year-to-date and open interest exceeding 42 million contracts.

When were CME Group's SOFR futures launched?

CME Group's SOFR futures were launched in May 2018.

What benefits do CME Group's SOFR futures offer to traders?

CME Group's SOFR futures offer margin offsets versus adjacent futures and options, portfolio margining with cleared interest rate swaps, and cross-margining with FICC-cleared cash U.S. Treasury notes, bonds, and certain Repo transactions.