Exchange Recap
CME Group: Interest Rates Recap - February 2018

February 2018

Options Achieve Record Electronic Participation

Electronic Interest Rate options ADV reached a record 1.43M in January, including a single-day record on January 18th in which 1.3M Eurodollar options traded on CME Globex, surpassing the daily pit volume.

January 2018 Highlights
  Eurodollar Options Treasury Options
Average Daily Volume 1.79M 943K
CME Globex Daily Volume 661K 773K
Electronic % of Total Volume 37% 82%
Multi-legged Strategies % of Globex Volume 89% 71%

Explore opportunities in options

Options liquidity around the clock

Take advantage of around-the-clock liquidity on CME Globex with market makers responding to RFQ’s, consistent book depth and tight bid/ask spreads. Plus, we've increased max order quantities to 49,999 in Treasury options and 99,999 in Eurodollar options.

June 2018 1-Year Mid Curve (~22 Delta Strike)
  Avg. Quantity Avg. Spread
9 AM GMT 5,290 1.015
10 AM EST 24,319 0.948
March 2018 10-Year Note (~35 Delta Strike)
  Avg. Quantity Avg. Spread
9 AM GMT 160,636 1.24
10 AM EST 269,000 1.1

Avg quantity and avg spread measured at top of book during January 2018

Read the latest options update

Manage Event Risk With Weekly Wednesday Options

Wednesdays options offer liquidity and precision for trading and hedging events like FOMC meetings and Unemployment reports.

  • Over 2.6 million contracts traded in under 7 months (ADV of 15.7K since launch)
  • On FOMC Wednesdays and Unemployment report Fridays in 2017, trading volume spiked 112% and 109% respectively vs ADV
  • Offer tighter strike increments than longer-dated options with 1/4 point increments in 5- and 10-year Notes and 1/2 point in T-Bonds.

2017 data since launched June 5, 2017

Product details

Data through January 31, 2018, unless otherwise specified.

Ultra 10 Open Interest Surges to New Record

Futures (TN): Record OI of 582K, record 90 large open interest holders, ADV of 143K contracts/day over the last 4 months.

Options (OTN): Market makers streaming electronic liquidity; block fees reduced to match pit fees through Jan 31, 2019

Learn more

2018 Options Expiration Calendars

View and download the next 12 months of listing and expiration dates for quarterly, serial and weekly options.

Treasury options calendar

STIR options calendar

Tools and Resources

Daily Interest Rate Options Reports: Sign up to receive a detailed snapshot of the Eurodollar and Treasury options activity from the previous day.

Open Interest Heatmap: Track the concentration of put and call positions across expirations and strikes. View how each has changed over the last day, week or month.

NEW Block Trade Browser: View intra-day and one-week historical block trade data including type, quantity, price and more.

View all QuikStrike tools

Further information:

If you would like further information, please contact CME Group