CME Sees Record SOFR Volume and OI
Posted by Colin Lambert. Last updated: October 21, 2021
CME Group has announced record volume and open interest for its SOFR futures, highlighting, the Merc says, the increasing adoption of the contracts by the market.
CME says 396,421 SOFR futures contracts were traded on October 18, 2021, surpassing the previous record of 341,922 contracts set on June 18, 2021, by a healthy 16%.
SOFR futures open interest continues to grow as well, reaching a record 1,166,016 contracts on October 19, 2021, up 170% and growing 16% in one month, having surpassed one million contracts of open interest on September 15.
“As the market continues to manage their interest rate risk ahead of key transition deadlines, clients are increasingly adopting SOFR futures,” says Agha Mirza, CME Group global head of rates and OTC products. “Average daily volumes in SOFR futures have grown 171% versus 2020, and we are pleased to see new milestones this week with records in both volume traded and open interest.”
Month-to-date, CME says SOFR futures have averaged more than 212,000 contracts per day, compared to a record 137,000 contracts on average per day in September.