CME Group, the leading global derivatives marketplace, has reported that its SOFR futures achieved an unprecedented average daily volume (ADV) of 5.4 million contracts in September. Additionally, open interest reached a record high of 13,159,646 contracts on September 17.
The latest data from the Commodity Futures Trading Commission (CFTC) reveals that SOFR futures now boast a record 1,144 large open interest holders (LOIH).
“Our SOFR futures are the most actively traded futures contracts worldwide, offering clients unmatched liquidity and efficiency in managing short-term interest rate risk,” stated Agha Mirza, CME Group’s Global Head of Rates and OTC Products. “These new records in ADV, open interest, and LOIH highlight the increasing liquidity across the SOFR curve and the strength of our SOFR complex.”
In September alone, CME Group’s SOFR options recorded an ADV of 2.5 million contracts, marking the second-highest level ever, with open interest exceeding 44.5 million contracts.
Launched in May 2018, CME Group’s SOFR futures attract a diverse range of participants, including global banks, hedge funds, asset managers, and trading firms. The contracts offer various advantages, such as margin offsets with adjacent futures and options, portfolio margining with cleared interest rate swaps, and cross-margining with FICC-cleared cash U.S. Treasury notes, bonds, and certain repo transactions.
