CME Group’s SOFR futures reached a record average daily volume (ADV) of 5.4 million contracts in September and an open interest record of 13,159,646 contracts on 17 September.
Additionally, SOFR futures now have a record 1,144 large open interest holders (LOIH), based on the CFTC’s latest Commitments of Traders report.
Agha Mirza, CME Group global head of rates and OTC products, said, “Our SOFR futures are the world’s most actively traded futures contracts, providing clients with the deepest liquidity and strongest efficiencies for managing short-term interest rate risk. These new records in ADV, open interest and LOIH reflect the growing liquidity we are seeing across the SOFR curve and our unrivalled SOFR complex.”
Month-to-date in September, CME Group SOFR options ADV reached 2.5 million contracts, the second-highest ever, with open interest of more than 44.5 million contracts.
Launched in May 2018, CME Group SOFR futures have broad participation from global banks, hedge funds, asset managers, principal trading firms and other types of traders.
The contracts are eligible for margin offsets versus adjacent futures and options, portfolio margining with cleared interest rate swaps, as well as cross-margining with FICC-cleared cash US Treasury notes, bonds and certain repo transactions.
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