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CME Group SOFR Futures Open Interest Sets New Record, Surpasses One Million Contracts

Date 16/09/2021

CME Group, the world's leading and most diverse derivatives marketplace, today announced that its SOFR futures contracts reached a new record, surpassing one million contracts of open interest on September 15.


SOFR futures open interest reached 1,004,882 contracts yesterday, marking its seventh-consecutive record open interest day:

09/15/2021

1,004,882

09/14/2021

951,157

09/13/2021

932,009

09/10/2021

921,028

09/09/2021

911,495

09/08/2021

894,362

09/07/2021

883,105

"We are pleased with the significant progress the market has made in adopting CME SOFR futures since we introduced these contracts nearly three and a half years ago," said  Agha Mirza, CME Group Global Head of Rates and OTC Products. "This milestone is reflective of the strong growth we've seen throughout the SOFR ecosystem since CME implemented SOFR-based fallbacks on March 29 of this year. In August, SOFR futures volume increased 195% year over year to 125,000 contracts per day and our OTC SOFR swaps volume rose to $65 billion in notional volume cleared."

Additionally, SOFR-linked open interest, which includes open interest in SOFR futures and options plus any Eurodollar futures and options open interest beyond June 2023, has increased to 20.2 million contracts since the adoption of SOFR-based fallbacks. Total SOFR-linked open interest has increased to 38% of total short-term interest rate futures and options open interest at CME Group.

CME Group is the only entity to offer Eurodollar futures and options, a holistic SOFR solution that includes SOFR futures, options, cleared swaps and Term SOFR, as well as BSBY futures ensuring market participants have a choice of deeply liquid risk management tools. 

SOFR futures and cleared OTC swaps are listed with and subject to the rules of CME. For more information on SOFR futures, please visit www.cmegroup.com/sofr