Record 1.3 Million SOFR Futures Contracts Traded on January 26 as Liquidity Continues to Shift to SOFR

CHICAGO, Jan. 27, 2022 /PRNewswire/ — CME Group, the world’s leading and most diverse derivatives marketplace, today announced that SOFR futures volume surpassed 1 million contracts for the first time, reaching a new, single-day trading volume record of 1,308,621 contracts and setting a new open interest (OI) record of 2,804,640 contracts on January 26.

“These trading milestones reflect that market participants are increasingly turning to CME Group’s deeply liquid SOFR futures and options to manage their risk,” said Agha Mirza, CME Group Global Head of Rates and OTC Products. “Since the start of 2022, liquidity has continued to shift to our SOFR-based derivatives at an accelerated pace, with SOFR futures open interest now equivalent to nearly 25% of all Eurodollar futures open interest.”  

To date in January 2022, SOFR futures average daily volume (ADV) has grown to 664,603 contracts per day, up from nearly 290,000 contracts per day on average during December 2021. At the same time, Eurodollar and SOFR futures and options ADV at CME Group has grown to more than 4.6 million contracts a day, with the majority of these futures contracts linked to each other through the ISDA spread.

The prior records for SOFR futures daily volume and OI were 888,370 contracts traded on January 24 and 2,721,395 contracts OI on January 25 respectively.

SOFR futures are listed with and subject to the rules of CME. For more information on SOFR futures, please visit www.cmegroup.com/sofr.  

As the world’s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data – empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals.  The company offers futures and options on futures trading through the CME Globex® platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform.  In addition, it operates one of the world’s leading central counterparty clearing providers, CME Clearing.

CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex, and, E-mini are trademarks of Chicago Mercantile Exchange Inc.  CBOT and Chicago Board of Trade are trademarks of Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc. BrokerTec and EBS are trademarks of BrokerTec Europe LTD and EBS Group LTD, respectively. Dow Jones, Dow Jones Industrial Average, S&P 500 and S&P are service and/or trademarks of Dow Jones Trademark Holdings LLC, Standard & Poor’s Financial Services LLC and S&P/Dow Jones Indices LLC, as the case may be, and have been licensed for use by Chicago Mercantile Exchange Inc.  All other trademarks are the property of their respective owners. 

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SOURCE CME Group