SOFR futures OI tops 500K contracts
CME Group reports, open interest in SOFR futures grew to 508K contracts ($1.9T notional*) in October on average daily volume of 44K contracts aided by an influx of new participants and continued usage in repo market applications.
Key SOFR Futures Takeaways:
- Participation deepened to 300+ global participants
- Large open interest holders hit a new high of 138 in the Oct. 29 CFTC COT report
- Relative value trading vs. Fed Funds and Eurodollars accounted for 30% of SOFR volume
- Now available: Monthly expiries (SR1) out 13 months, quarterly expiries (SR3) out ten years
Source: CME Group