SOFR Futures and Options Set Multiple Records on February 10 as SOFR-Based Liquidity Continues to Grow

Rhea-AI Summary

CME Group reported record trading volumes for SOFR futures and options on February 10, 2022. SOFR futures surpassed 2 million contracts, reaching 2,069,531 contracts in a single day, while open interest peaked at 3,236,499 contracts. SOFR options also set a record with 130,200 contracts traded. Month-to-date average daily volume for SOFR futures in February reached 946,794 contracts, up from January's record of 731,126 contracts. This surge indicates increasing reliance on SOFR-based products for risk management.

Positive

• SOFR futures set a record with 2,069,531 contracts traded in a single day.
• Open interest for SOFR futures reached 3,236,499 contracts.
• SOFR options traded a record 130,200 contracts.
• Month-to-date average daily volume for SOFR futures in February rose to 946,794 contracts.

Negative

• None.

CHICAGO, Feb. 11, 2022 /PRNewswire/ -- CME Group, the world's leading derivatives marketplace, today announced that SOFR futures surpassed 2 million contracts for the first time, reaching a new, single-day trading volume record of 2,069,531 contracts and setting a new open interest (OI) record of 3,236,499 contracts on February 10. SOFR options also reached a record 130,200 contracts traded yesterday and set a new OI record of 656,977 contracts.

Additionally, SOFR futures packs and bundles achieved a record 259,992 contracts traded on February 10, surpassing the prior record of 172,840 contracts on January 27.

"Our SOFR futures and options have both grown exponentially since the start of the year, as clients are increasingly turning to our deep, liquid SOFR-based products to manage their risk," said Agha Mirza, Global Head of Rates and OTC Products, CME Group. "In particular, SOFR options are growing at an unprecedented pace for a nascent options market, averaging more than 65,000 contracts per day during the month of February."

In February month-to-date, SOFR futures average daily volume (ADV) has grown to 946,794 contracts per day, compared to a record monthly ADV of 731,126 contracts per day in January. At the same time, SOFR futures ADV is now equivalent to more than 33% of all Eurodollar futures ADV. In addition, Eurodollar and SOFR futures and options ADV at CME Group has grown to more than 5.5 million contracts a day, with the majority of these futures contracts linked to each other through the ISDA spread.

SOFR futures are listed with and subject to the rules of CME. For more information on SOFR futures, 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 and EBS are trademarks of BrokerTec Europe LTD and EBS Group LTD, respectively. Dow Jones, Dow Jones Industrial Average, S&P 500 and S&P are service and/or trademarks of Dow Jones Trademark Holdings LLC, Standard & Poor's Financial Services LLC and S&P/Dow Jones Indices LLC, as the case may be, and have been licensed for use by Chicago Mercantile Exchange Inc.  All other trademarks are the property of their respective owners.

CME-G  

 

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SOURCE CME Group

FAQ

What records did CME Group's SOFR futures set on February 10, 2022?

CME Group's SOFR futures set a record of 2,069,531 contracts traded in a single day and an open interest record of 3,236,499 contracts.

How many SOFR options contracts were traded on February 10, 2022?

On February 10, 2022, SOFR options reached a record of 130,200 contracts traded.

What was the month-to-date average daily volume for SOFR futures in February 2022?

The month-to-date average daily volume for SOFR futures in February 2022 was 946,794 contracts.

How did the SOFR futures trading volume in February 2022 compare to January 2022?

In February 2022, SOFR futures average daily volume increased to 946,794 contracts, compared to a record 731,126 contracts per day in January 2022.

What percentage of Eurodollar futures average daily volume does SOFR futures represent?

SOFR futures now account for more than 33% of all Eurodollar futures average daily volume.