Rate Traders Are Trading SOFR Futures: Volume and Open Interest Robust

November 4, 2019 11:07 AM
SOFR Futures Volume and Open Interest

SOFR Futures Volume and Open Interest

SOFR futures OI tops 500K contracts

CME Group reports, open interest in SOFR futures grew to 508K contracts ($1.9T notional*) in October on average daily volume of 44K contracts aided by an influx of new participants and continued usage in repo market applications.  

Key SOFR Futures Takeaways:

  • Participation deepened to 300+ global participants
  • Large open interest holders hit a new high of 138 in the Oct. 29 CFTC COT report
  • Relative value trading vs. Fed Funds and Eurodollars accounted for 30% of SOFR volume
  • Now available: Monthly expiries (SR1) out 13 months, quarterly expiries (SR3) out ten years

SOFR Futures Volume and Open Interest

Source: CME Group

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