CME Group Posts Highest-Ever Single-Day Volume of SOFR Futures and Options Contracts

CME Group, the world's leading derivatives marketplace, announced new milestones in the growth of its SOFR derivatives contracts, with a single-day record of 7,558,467 SOFR futures and options traded and record open interest (OI) of 35,698,298 contracts on January 12.

Individually, SOFR futures reached a record of 4,513,725 contracts traded on the same day. SOFR options traded a record 3,044,742 contracts and reached record OI of 26,258,989 contracts on January 12.  

"Our SOFR futures and options complex continues to grow, and yesterday's records in volume and open interest validate that SOFR is the most robust and well-designed U.S. dollar interest rate index available," said Agha Mirza, CME Group Global Head of Rates and OTC Products. "Looking ahead, we will continue to work with our clients worldwide in advancing SOFR futures and options among the world's deepest and most reliable interest rate liquidity pools for risk management."

In the first two weeks of January 2023, the average daily volume (ADV) of SOFR futures and options traded reached 4,674,007 contracts. Month-to-date January 2023 SOFR futures ADV is equivalent to 572% of Eurodollar futures ADV and SOFR options ADV is equivalent to 1,334% of Eurodollar options ADV.

Globally, SOFR futures and options markets include broad participation from global banks, hedge funds, asset managers, principal trading firms and other types of traders.