CME Group registers record SOFR futures volume

CME Group has reported record SOFR futures contract, traded on 18 October 2021.

The derivatives marketplace registered 396,421 SOFR futures contracts, which surpassed the previous record of 341,922 contracts set on 18 June 2021.

SOFR futures averaged over 212,000 contracts per day, compared to the 137,000 contracts on average per day in September.

CME Group

SOFR futures open interest has continued on a growth path as well. On 19 October 2021, it reached record 1,166,016, which up 170% and increased 16% in one month, having surpassed one million contracts of open interest on 15 September 2021.

Agha Mirza, CME Group Global Head of Rates and OTC Products, said:

Agha Mirza, CME Group

Agha Mirza
Source: LinkedIn

As the market continues to manage their interest rate risk ahead of key transition deadlines, clients are increasingly adopting SOFR futures. 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.

In September, CME group registered Forex ADV at 975,000 contracts, representing a 3% decline from the same period in 2020,

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