SOFR Options Open Interest Surpasses 10 Million Contracts as Liquidity in SOFR Deepens

Rhea-AI Summary

CME Group reported record-breaking metrics for SOFR options, with open interest (OI) hitting 10.36 million contracts on August 9, 2022, and a single-day OI of 17.66 million contracts. August's average daily volume (ADV) for SOFR futures and options reached 2,456,246 contracts, while SOFR options ADV stood at 606,225 contracts, marking a significant increase from July. These achievements position SOFR options among the top three largest fixed income listed options markets, enhancing their liquidity and risk management capabilities for global clients.

Positive

• Record open interest of 10.36 million contracts in SOFR options as of August 9, 2022.
• Single-day open interest hit 17.66 million contracts.
• Average daily volume (ADV) of SOFR futures and options reached 2,456,246 in August.
• SOFR options ADV increased to 606,225 contracts per day, up from 386,018 in July.

Negative

• None.

• Record average daily volume (ADV) of 2,456,246 SOFR futures and options contracts traded in August
• Record ADV of 606,225 SOFR options contracts

CHICAGO, Aug. 10, 2022 /PRNewswire/ -- CME Group, the world's leading derivatives marketplace, today announced that open interest (OI) in SOFR options reached a record 10.36 million contracts for the first time on August 9. The single-day OI in SOFR futures and options hit a record 17.66 million contracts, as ADV for SOFR futures and options reached a record 2,456,246 in August.

"SOFR options open interest has grown at a record pace in 2022 for any listed options on a fixed income product," said Agha Mirza, CME Group Global Head of Rates and OTC Products. "With open interest of 10 million contracts, SOFR options have now joined the top three largest fixed income listed options markets, becoming a highly liquid and leading risk management tool for our clients."

To date in August 2022, SOFR options average daily volume (ADV) has grown to a record 606,225 contracts per day, up from 386,018 contracts per day on average during July 2022. SOFR futures ADV in August is equivalent to 150% of Eurodollar futures ADV and SOFR options ADV is equivalent to 138% of Eurodollar options ADV in August.

SOFR options are now among the world's deepest and most consistently liquid options markets, with broad participation from global banks, hedge funds, asset managers, principal trading firms and other types of traders.  

SOFR futures and options are listed with and subject to the rules of CME. For more information on SOFR futures and options, please visit www.cmegroup.com/sofr.    

About CME Group

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. 

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SOURCE CME Group

FAQ

What are the recent records set by CME Group for SOFR options as of August 2022?

CME Group set a record open interest of 10.36 million contracts in SOFR options on August 9, 2022, with average daily volume reaching 2,456,246 contracts in August.

How does the average daily volume of SOFR options compare to previous months?

SOFR options ADV increased to 606,225 contracts per day in August 2022, significantly up from 386,018 contracts in July 2022.

What is the significance of the recent open interest in SOFR options for CME Group?

The record open interest signifies that SOFR options have become one of the top three largest fixed income listed options markets, indicating increased liquidity and risk management capabilities.