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CME reports record SOFR futures volume and open interest

  • October 21, 2021

Agha Mirza, CME.

Market operator and infrastructure provider, CME Group, has reported that a record 396,421 SOFR futures contracts were traded on 18 October 2021, surpassing the previous record of 341,922 contracts set on 18 June 2021.

SOFR futures open interest continues to grow as well, reaching a record 1,166,016 contracts on 19 October 2021, up 170% and growing 16% in one month, according to the CME Group, having surpassed one million contracts of open interest on 15 September 2021.

"As the market continues to manage their interest rate risk ahead of key transition deadlines, clients are increasingly adopting SOFR futures," said Agha Mirza, CME Group's global head of rates and OTC products. "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."

The firm noted that month-to-date, SOFR futures have averaged more than 212,000 contracts per day, compared to a record 137,000 contracts on average per day in September.

©Markets Media Europe, 2021