Exchange Recap
CME Group: Interest Rates Recap - November 2018

November 2018

SOFR Futures Celebrate 6-Month Anniversary with Record Participation

Aggregate large open interest holders (LOIH) in CME SOFR futures reached a new high of 52 in the Oct 31 CFTC COT report, with both dealers and leveraged funds holding increasingly large positions.

Trading highlights through the first six months:

  • 80+ global participants comprised of 22% banks, 23% buyside, 37% prop/liquidity provider and 18% other
  • Open interest grew 50% in Oct and hit a new high of 51.5K contracts ($177 billion notional*) on Nov 1
  • ADV hit a record 8K contracts/day in Oct, +75% MoM
  • Single-day record of 25K contracts on Nov 2
  • Record block volume of 7K contracts during the week of Oct 22 (view block market markers)
  • Cumulative volume now stands at 590K contracts ($1.3 trillion notional*, $17.7 million DV01)
  • Markets regularly trading at 0.5 basis points wide (minimum tick) across the most active expiries, with price discovery extending three years out the curve.

The adoption of SOFR within the broader financial ecosystem continues to reach critical milestones

  • Oct 25: FASB officially added SOFR to the list of approved rates for hedge accounting
  • Oct 31: Fannie Mae issued 3 new floating-rate notes worth $5B, bringing total issuance to $17.2B

More on SOFR Futures

SONIA Futures Liquidity Facilitates Launch of the CME BoEWatch Tool

CME SONIA futures debuted on Oct 1. Markets traded between 0.5 and 1 basis points wide across the most active expiries, enabling month one volume of over 61,000 (ADV of 2.7K contracts).

Based on this liquidity, we've launched the CME BoEWatch tool which uses MPC SONIA futures prices to gauge market expectations of the future course of Bank of England monetary policy.

MPC SONIA futures listings will be extended on December 3, 2018 to include all Monetary Policy Committee meeting dates that have been confirmed by the Bank of England (SER).

More on SONIA Futures

Ultra 10 Hits New Liquidity, LOIH, ADV and OI Records

Rising rates are driving even greater demand for an off-balance-sheet, precise way to trade 10-year treasury exposure.

2018 YTD Growth:

  • 73 new participants in 2018 and 566 in total
  • ADV: 181K, +60% vs 2017
  • OI: Record 667K on Nov 2
  • LOIH: Record 111 on Aug 14
  • Avg top of book depth: 237 contracts, +73% vs 2017

Ultra 10 Product Details

Treasury Futures Open Interest Hits New Highs

Open interest in Treasury futures hit an all-time high of 14.2M contracts on Nov 1, nearly a full month ahead of typical quarterly highs before expiration.

This was fueled by records in 2-Year (2.5M), 5-Year (4.8M) and Ultra 10-Year (661K).

Also of Note in Treasuries:

  • Treasury futures ADV YTD: 4.1M, +26% YoY
  • Large OI holders reached a record 1,622 on Oct 23, led by new highs in the T-Bond (204), 2-Year (358) and 10-Year (466)
  • Wednesday weekly options averaged a record 40K contracts/day in Oct
  • Friday weeklies hit record OI of 931K on Nov 1, followed by record volume of 636K on Nov 2 as traders managed event risk around Nonfarm payroll and U.S. elections.

More on Treasury Futures



Data as of November 2, 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)

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