Eris SOFR Sets Volume Record With First $100B Notional Month; Cut Swap Spread Margin By 83%

Hottest June on record:

24.5K volume sets quarterly record

June capped a record quarter for Eris SOFR and Eris Options, with quarterly volume reaching 24,466 contracts, up 9% from the previous record (Q1 2026), and up 29% from Q2 last year
Monthly ADV of 49,888 contracts also set a new record, besting the previous record (March, 44,863) by 11%, with total volume surpassing one million contracts ($100 billion notional) for the first time in history
Eris Options made a confident debut June 15, with total volume of 1,707 contracts across 2-, 5-, and 10-year tenors since launch
July 8 featured the first ever Eris SOFR “royal flush,” with trades recorded in every actively-quoted tenor on the swap curve from 1-year to 30-years (1, 2, 3, 4, 5, 7, 10, 15, 30)
30-year trades: July has also seen multiple trades in 30-year Eris SOFR, including 210 contracts ($21mm notional) the morning of July 16, as hedgers seek the margin savings of swap futures at longer tenors

Open interest more than doubles, surging to record 734K contracts

Eris open interest reached 733,522 contracts ($73.4B notional) to end Q2, a 47% increase in Eris SOFR OI from December 2025 and 123% year-over-year
Eris SOFR OI growth was most pronounced in the benchmark tenors: 2-year rose 152% (71,653 contracts), 5-year gained 88% (82,609 contracts), and 10-year climbed 106% (145,042 contracts) year-over-year
Eris Options added 1,222 contracts of OI in the first weeks of trading, concentrated in 2-year July, 2-year October, and 5-year August expiries

Trade Spotlight:
Cut swap spread margin by 83%

Trade Spotlight is a periodic feature on trades that solve real problems and create meaningful value for market participants.

Asset managers looking to express views on swap spread widening or tightening have long relied on the Headline Spread, which combines a spot-starting swap and an on-the-run cash Treasury. It’s an effective strategy, but carries a steep capital cost.

Baseline: Headline Spreads are capital-intensive, with the swap leg alone requiring 4.5–5% of notional as initial margin (IM) for 10-year risk. For a $1mm DV01 swap spread position, the total IM outlay is ~$60mm.
Better: Trading Headline Spreads with Eris SOFR Swap futures instead of cleared swaps reduces the IM by 67% due to the capital efficiency of futures margin
Best: For even greater capital efficiency, using Eris/Treasury Swap Spreads (Eris SOFR versus CME Treasury futures, tradeable as guaranteed spreads on CME Globex) provides margin reduction of approximately 83% due to CME cross-margining