CME Group, the world’s leading and most diverse derivatives marketplace, announced that SOFR futures volume surpassed 1 million contracts for the first time, reaching a new, single-day trading volume record of 1,308,621 contracts and setting a new open interest (OI) record of 2,804,640 contracts on January 26.

Liquidity continues to shift to #SOFR.

Yesterday's record volume of 1.3M contracts was 31% of Eurodollars, while OI reached 25%. pic.twitter.com/5RrihOpaxS

— CME Group (@CMEGroup) January 27, 2022

“These trading milestones reflect that market participants are increasingly turning to CME Group’s deeply liquid SOFR futures and options to manage their risk,” said  Agha Mirza, CME Group Global Head of Rates and OTC Products. “Since the start of 2022, liquidity has continued to shift to our SOFR-based derivatives at an accelerated pace, with SOFR futures open interest now equivalent to nearly 25% of all Eurodollar futures open interest.”

To date in January 2022, SOFR futures average daily volume (ADV) has grown to 664,603 contracts per day, up from nearly 290,000 contracts per day on average during December 2021. At the same time, Eurodollar and SOFR futures and options ADV at CME Group has grown to more than 4.6 million contracts a day, with the majority of these futures contracts linked to each other through the ISDA spread.

The prior records for SOFR futures daily volume and OI were 888,370 contracts traded on January 24 and 2,721,395 contracts OI on January 25 respectively.

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