CME Group Announces Record SOFR Futures Volume in October

CME Group, which operates one of the largest derivatives exchanges in the United States, announced that the SOFR futures contracts volume on October 18 hit a record of 396,421, surpassing the previous record of 341,922 contracts set on June 18, 2021.

In terms of open interest in SOFR futures, it reached 1,166,016 contracts on October 19, 2021, up 170% and growing 16% in one month, having surpassed one million contracts of open interest on September 15, 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 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."

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.

As Fazzaco reported earlier, CME Group’s international average daily volume (ADV) reached 5 million contracts in Q3 2021​, up 13% year on year.