CME Group SOFR Futures Reach New Volume and Open Interest Records

Rhea-AI Summary

CME Group, the world's leading derivatives marketplace, has announced new records for its SOFR futures contracts. In September, SOFR futures reached an all-time record average daily volume (ADV) of 5.4 million contracts and an open interest record of 13,159,646 contracts on September 17. The contracts now have a record 1,144 large open interest holders (LOIH).

SOFR options also performed strongly, with a month-to-date ADV of 2.5 million contracts in September, the second-highest ever, and open interest exceeding 44.5 million contracts. Launched in May 2018, CME Group SOFR futures have broad participation from various global financial institutions and traders.

Positive

• Record average daily volume (ADV) of 5.4 million contracts for SOFR futures in September
• New open interest record of 13,159,646 contracts for SOFR futures on September 17
• Record 1,144 large open interest holders (LOIH) for SOFR futures
• SOFR options reached second-highest ever ADV of 2.5 million contracts in September
• SOFR options open interest exceeded 44.5 million contracts

Negative

• None.

CHICAGO, Sept. 18, 2024 /PRNewswire/ -- CME Group, the world's leading derivatives marketplace, today announced that its deeply liquid SOFR futures reached a new, all-time record average daily volume (ADV) of 5.4 million contracts in September and an open interest record of 13,159,646 contracts on September 17.

Additionally, SOFR futures now have a record 1,144 large open interest holders (LOIH), based on the CFTC's latest Commitments of Traders report.

"Our SOFR futures are the world's most actively traded futures contracts, providing clients with the deepest liquidity and strongest efficiencies for managing short-term interest rate risk," said Agha Mirza, CME Group Global Head of Rates and OTC Products. "These new records in ADV, open interest and LOIH reflect the growing liquidity we are seeing across the SOFR curve and our unrivaled SOFR complex."

Month-to-date in September, CME Group SOFR options ADV reached 2.5 million contracts, the second-highest ever, with open interest of more than 44.5 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. 

CME-G

 

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SOURCE CME Group

FAQ

What new records did CME Group's SOFR futures reach in September 2024?

CME Group's SOFR futures reached a new all-time record average daily volume (ADV) of 5.4 million contracts in September 2024, and an open interest record of 13,159,646 contracts on September 17, 2024.

How many large open interest holders (LOIH) does CME Group's SOFR futures have as of September 2024?

CME Group's SOFR futures have a record 1,144 large open interest holders (LOIH) as of September 2024, based on the CFTC's latest Commitments of Traders report.

What was the average daily volume (ADV) for CME Group's SOFR options in September 2024?

CME Group's SOFR options reached an average daily volume (ADV) of 2.5 million contracts in September 2024, which is the second-highest ever for these options.

When were CME Group's SOFR futures launched?

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