10.22.2021

CME Has Record SOFR Futures Volume and Open Interest

10.22.2021
Banks

CME Group, the world’s leading and most diverse derivatives marketplace, announced that a record 396,421 SOFR futures contracts were traded on October 18, 2021, surpassing the previous record of 341,922 contracts set on June 18, 2021.

SOFR futures open interest continues to grow as well, reaching a record 1,166,016 contracts on October 19, 2021, up 170% and growing 16% in one month, having surpassed one million contracts of open interest on September 15, 2021.

“As the market continues to manage their interest rate risk ahead of key transition deadlines, clients are increasingly adopting SOFR futures,” said Agha Mirza, CME Group Global Head of Rates and OTC Products. “Average daily volumes in SOFR futures have grown 171% versus 2020, and we are pleased to see new milestones this week with records in both volume traded and open interest.”

Month-to-date, SOFR futures have averaged more than 212,000 contracts per day, compared to a record 137,000 contracts on average per day in September.

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

Source: CME Group

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