Rate Traders Are Trading SOFR Futures: Volume and Open Interest Robust

SOFR Futures Volume and Open Interest

SOFR Futures Volume and Open Interest

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

SOFR Futures Volume and Open Interest

Source: CME Group

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