Exchange Recap
CME Group: Interest Rates Recap - March 2018

March 2018

Record Book Depth and Liquidity Amidst Rising Volatility

Treasury Futures Top of Book

  Q1-18 Q4-17 Q3-17 Q2-17
ZT 146,651 90,855 36,237 19,697
ZF 1,137 1,075 834 881
ZN 2,142 1,949 1,699 1,690
TN 183 170 153 135
ZB 261 263 261 282
UB 74 76 72 73

Q1-18 as of 2/28

The New Treasury Market Paradigm

Probability of Four 2018 Rate Hikes Grows to 33%

Use CME Group rates liquidity to manage risk ahead of a Fed rate hike. CME FedWatch currently shows an 87% rate hike probability on March 21, 2018.

CME Fedwatch Tool

Best Two-Month Period for Rates Futures and Options

Driven by deep liquidity and outsized growth in buy-side participation, rates volume has surged to 12.6M contracts/day YTD, +54% vs. 2017.

Volume records:

  • Interest Rate complex ADV: 15.8M in Feb
  • Options ADV: 4M in Feb
  • Invoice Spreads ADV: 114K YTD
  • Ultra 10 ADV: 310K in Feb
  • Treasury futures ADV: 6.7M in Feb
  • *Treasury futures notional volume as a % of underlying cash: 97.6%

February Open Interest and Large OI Holder Records

  • Total OI: 87M contracts, +36% YTD
  • Futures OI: Eurodollars (17M), Fed Funds (2.2M), 2-Yr (2.1M), 5-Yr (3.9M),10-Yr (4M), Ultra 10-Yr (628K) and Ultra Bond (1M)
  • Options OI: EDs (49M), 5-Yr (2.3M), 10-Yr (5.3M)
  • Futures LOIH: Total (2,086), 2-Yr (345), 5-Yr (355), 10-Yr (444), Ultra 10-Yr (94) and Ultra Bond (129)

TCA Tool

Commitment of Traders

Data through February 28, 2018, unless otherwise specified. *Reported as a 52-week moving average as of 2/14/18 with cash volumes sourced from NY FRB data.

Eurodollar vs. Fed Fund Futures Intercommodity Spreads on CME Globex

CME Globex-based Intercommodity Spreads (ICS) between Eurodollar futures and Fed Fund futures launch March 12.

  • Offers simple execution of a common trading strategy, reducing leg risk on executions and enabling formation of spread liquidity
  • Design maintains DV01 neutrality on the package, pairing 10 Eurodollar (quarterly) futures with six Fed Fund futures, spread across the next two Fed Fund contract months
  • P&L on the futures spread has generally closely tracked the comparable FRA vs. OIS trade done using OTC instruments (as illustrated by the chart on page 5 in product overview link below
  • New STIR spread analytics tool

Product Overview

SOFR Futures Launch May 7

On February 28, the FRBNY announced that daily publication of the Secured Overnight Financing Rate (SOFR) will begin April 3, 2018.

Subsequently, on March 1, CME Group announced intentions to launch monthly and quarterly SOFR futures on May 7, 2018, pending regulatory review.

View SOFR Futures Specs

Further information:

If you would like to find out more about this, please contact