• Record 2.07 million SOFR futures contracts traded
• Record SOFR futures open interest of 3.2 million contracts
• Record 130,200 SOFR options contracts traded
• Record SOFR options open interest of 656,977 contracts

CME Group, the world’s leading derivatives marketplace, announced that SOFR futures surpassed 2 million contracts for the first time, reaching a new, single-day trading volume record of 2,069,531 contracts and setting a new open interest (OI) record of 3,236,499 contracts on February 10. SOFR options also reached a record 130,200 contracts traded yesterday and set a new OI record of 656,977 contracts.

Fantastic to see #SOFR futures liquidity rise to the occasion of a big risk event.

With a record 2M contracts traded on Jan. 10, SOFR futures have become a leading liquidity pool for managing USD interest rate risk. pic.twitter.com/gdR4Hiavev

— CME Group (@CMEGroup) February 11, 2022

Additionally, SOFR futures packs and bundles achieved a record 259,992 contracts traded on February 10, surpassing the prior record of 172,840 contracts on January 27.

“Our SOFR futures and options have both grown exponentially since the start of the year, as clients are increasingly turning to our deep, liquid SOFR-based products to manage their risk,” said  Agha Mirza, Global Head of Rates and OTC Products, CME Group. “In particular, SOFR options are growing at an unprecedented pace for a nascent options market, averaging more than 65,000 contracts per day during the month of February.”

In February month-to-date, SOFR futures average daily volume (ADV) has grown to 946,794 contracts per day, compared to a record monthly ADV of 731,126 contracts per day in January. At the same time, SOFR futures ADV is now equivalent to more than 33% of all Eurodollar futures ADV. In addition, Eurodollar and SOFR futures and options ADV at CME Group has grown to more than 5.5 million contracts a day, with the majority of these futures contracts linked to each other through the ISDA spread.

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