CME Reports Record Volume in SOFR Futures

The world’s prominent derivatives marketplace, CME Group announced yesterday that the platform saw a sharp rise in activity across SOFR futures and SOFR options. On 10 February, SOFR futures surpassed 2 million contracts, which is the highest single-day trading volume on record.

The 10th of February remained a landmark day for CME as volumes in SOFR options touched a record high of 130,200 contracts. SOFR options open interest reached a record of 656,977 contracts. In terms of SOFR futures open interest, the number crossed 3.2 million contracts.

"Our SOFR futures and options have both grown exponentially since the start of the year, as clients are increasingly turning to our deep, liquid SOFR-based products to manage their risk," said Agha Mirza, the Global Head of Rates and OTC Products at CME Group. "In particular, SOFR options are growing at an unprecedented pace for a nascent options market, averaging more than 65,000 contracts per day during the month of February."

The overall volumes related to SOFR futures grew consistently in 2021. CME started 2022 with strong growth in equity index ADV.

SOFR Futures ADV

The recent record volumes across SOFR futures and options were the result of a consistent rise in ADV throughout February.

“In February month-to-date, SOFR futures average daily volume (ADV) has grown to 946,794 contracts per day, compared to a record monthly ADV of 731,126 contracts per day in January. At the same time, SOFR futures ADV is now equivalent to more than 33% of all Eurodollar futures ADV. In addition, Eurodollar and SOFR futures and options ADV at CME Group have grown to more than 5.5 million contracts a day, with the majority of these futures contracts linked to each other through the ISDA spread,” CME added.

CME Group, which operates a major US derivatives exchange, reported $1.1 billion in revenue for Q4 of 2021.