Exchange Recap
CME Group: Interest Rates Recap - September 2019

September 2019

SOFR options coming January 6, 2020

CME Group will launch options on Three-Month SOFR futures for first trade date January 6, 2020, pending regulatory review.

Building on CME's rapidly growing SOFR futures and deep expertise in listed Interest Rate options, the launch of SOFR options will give clients a holistic solution for managing SOFR price risk across futures, options and cleared swaps.

More on SOFR Options

Press release

Record trading in SOFR futures as OI surpasses $960 billion notional

Open interest in CME SOFR futures surged to a record 283K contracts ($960B notional) in August, on record ADV of 40K contracts:

  • More than 15 new firms began trading in August, pushing total participation to 195+ firms since launch
  • Inter-commodity spreading (ICS) vs. Eurodollars and Fed Funds continues to grow, with record Globex ADV of 8.2K contracts in August (1.9K vs. ED, 6.3K vs. FF)
  • $141B notional in block/EFRP volume, driven by block ICS
  • Large OI holders hit a record 120 in the August 27 CFTC COT report
  • In the cash market, issuance of SOFR-linked floating-rate notes hit a record $55B notional in August*.

Expanded futures listings coming September 30:

  • Three-Month SOFR futures (SR3) listings will be expanded to 10 years (39 quarters)
  • One-Month SOFR futures (SR1) listings will be expanded to 13 months.

View SOFR futures growth chart

Introducing CME SOFR Strip Rates

Based on client demand, we’ve launched SOFR Strip Rates, a futures-derived indicative view into forward-looking expectations for overnight Treasury Repo rates as reflected by SOFR.

View SOFR Strip Rates

A busy August for rates markets

Rates volumes spiked to near record levels in August as economic and geopolitical concerns sent volatility higher and global bond yields plummeting:

  • Treasury futures ADV was an all-time record of 6.88M
  • Treasury options open interest hit a record 11.2M
  • Ultra 10 OI hit a new high of 882K contracts
August ADV (000s)
    ADV %YoY
Total Rates Fut 10,673 +58%
  Opt 3,073 +64%
Eurodollars Fut 3,322 +75%
  Opt 1,835 +80%
Treasury Fut 6,882 +46%
  Opt 1,237 +46%
Fed Funds Fut 407 +156%

YoY compares Aug 2019 to Aug 2018

CME USD IRS Clearing +51% YTD

More on IRS

CME Updates Proposal on SOFR Price Alignment and Discounting

View the latest



Data as of August 30, 2019, unless otherwise specified
Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01).
*Source: Bloomberg

View the current version and an archive of the Rates Recap online at

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