Exchange Recap
CME Group: Interest Rates Recap - January 2019

January 2019

Increase in Buyside Participation and Liquidity Result in Third Consecutive Record Year

Interest Rate futures saw a third consecutive record year in 2018, with annual growth of 22% as investors increasingly turn to futures for liquid, capital-efficient, and off-balance-sheet interest rate exposure.

The Central Limit Order Book grew deeper and more resilient. For all Treasury futures, book depth improved across the board while trading at the minimum tick for over 99% of the trading day.

Avg. Book Size at Best Bid/Offer Level
  2018 % Growth vs. 2017 % Growth vs. 2013
2-Year 99,471 156% 283%
5-Year 1,319 52% 64%
10-Year 2,507 52% 109%
Ultra 10-Year 246 78% Launched in 2016
T-Bond 377 49% N/A#
Ultra T-Bond 110 57% 104%

Outright front-month only, during regular trading hours (7:00 a.m. to 4:00 p.m. CT)
#CTD, CF and DV01 changed significantly due to jump across the five year gap during roll activity in February 2015

CFTC Study Showcases Treasury Futures Liquidity*
In December 2018, the CFTC published a study of U.S. Treasury market liquidity. Among the study's findings, the 10-Year Note futures contract has the largest share of risk transfer (DV01) among the instruments studied, and its share grows during times of higher volatility. During non-U.S. hours, Treasury futures' share of volume increases relative to cash instruments. Read more

Large open interest holders, a fair proxy for overall market participation among firms holding significant positions, reached a record high of 2,199 per the CFTC’s weekly COT report dated November 20, 2018.

Avg. Weekly Large Open Interest Holders
  2018 % Growth vs. 2017 % Growth vs. 2013
Treasury Futures 1,536 17% 59%
STIR Futures 481 5% 55%

Open interest grew 20% in 2018, reaching a record 90M contracts on March 15 and again on November 21.

Average Daily Open Interest (000s)
  2018 % Growth vs. 2017 % Growth vs. 2013
Treasury Futures 12,409 27% 113%
Treasury Options 6,635 24% 63%
Eurodollar Futures 14,940 14% 60%
Eurodollar Options 44,285 9% 164%
Fed Fund Futures 1,984 30% 518%

Average daily volume reached a record 9.95M contracts/day, +22% vs the previous record set in 2017.

Average Daily Volume (000s)
  2018 % Growth vs. 2017 % Growth vs. 2013
Treasury Futures 4,234 27% 57%
Treasury Options 995 33% 85%
Eurodollar Futures 3,036 19% 48%
Eurodollar Options 1,415 3% 138%
Fed Fund Futures 259 36% 1305%

Read our 2018 Liquidity Report

SOFR Futures Trade 1 Million Contracts in Eight Months

Since launching on May 7, 2018, CME SOFR futures have traded 1.1M contracts, representing $2.2T notional, and $32M in DV01 risk transfer.

While it took 120 trading days to reach the first 500K contracts, it took just 38 days for the second 500K as deepening liquidity attracted greater institutional flow into the market:

  • Open interest jumped 32% in December, reaching a new high of 80K contracts ($233B notional) on December 18
  • Average daily volume surged to a record 15.5K contracts/day in December
  • Blocks/EFRP trades represented 7.4% of volume
  • Global participation surpassed 90 firms
  • Bid/ask spreads increasingly trade at the minimum tick, and the order book is deepening
  • Open interest extends out to Mar 2021, while the SOFR term structure extends out over three years
  • Seamless spread trading against Eurodollar and Fed Fund futures via CME Globex intercommodity spreads
  • Margin savings of up to 80% vs. Eurodollars, 75% vs. Treasuries, and 65% vs. Fed Funds.

View SOFR Growth Chart

MPC SONIA Futures Liquidity Drives New CME BoEWatch Tool

The innovative MPC-dated SONIA futures will drive the BoEWatch tool, which uses the design of the widely cited and industry standard FedWatch tool.

CME SONIA futures have traded over 298K contracts since launching in October 2018. MPC SONIA futures are listed through 2019, offering precise hedging for every confirmed BoE MPC meeting in 2019.


CME BoEWatch Tool

CME FedWatch Tool



Data as of December 31, 2018, unless otherwise specified
All dates and months referenced are for 2018, unless otherwise specified
Large Open Interest Holders sourced from CFTC's Traders in Financial Futures Report
Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01)
*Baker, McPhail, and Tuckman (2018), "The Liquidity Hierarchy in the U.S. Treasury Market: Summary Statistics from CBOT Futures and TRACE Bond Data", Office of the Chief Economist, Commodity Futures Trading Commission.

View the current version and an archive of the Rates Recap online at

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