CME Group reports record-high SOFR open interest as markets hedge short-term interest rate risk

Rick Steves

“We are pleased with the ongoing growth of our SOFR complex, which now exceeds the highest annual ADV that Eurodollar futures and options reached in their four-decade history.”

CME Group

CME Group has announced a new record in its Secured Overnight Financing Rate (SOFR) complex. Open interest, which includes futures and options, reached a record of over 60 million contracts.

This figure comprises approximately 48.3 million options contracts and 12.1 million futures contracts. The average daily volume (ADV) of SOFR futures and options this year has also hit a record high of 5.1 million contracts.

SOFR contracts for hedging short-term interest rate risk

Agha Mirza, CME Group Global Head of Rates and OTC Products, noted the significant growth of the SOFR complex, surpassing the highest annual ADV of Eurodollar futures and options in their four-decade history. “As the world’s leading tools for hedging short-term interest rate risk, global market participants continue to turn to our SOFR futures and options to navigate uncertainty. We are pleased with the ongoing growth of our SOFR complex, which now exceeds the highest annual ADV that Eurodollar futures and options reached in their four-decade history.”

The SOFR futures and options have attracted a broad spectrum of global participants, including banks, hedge funds, asset managers, and principal trading firms. These contracts are also eligible for portfolio margining against other cleared interest rate swaps and futures, offering additional benefits to traders.

CME Group introduced SOFR futures in May 2018 and followed with the launch of SOFR options in January 2020. The products are listed with and subject to the rules of CME.

 

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