#SOFR futures open interest surges above 14 million contracts for the first time.
CME Group Interest Rates
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CME Group Interest Rates
@Interest_Rates
- U.S. 2Y/10Y inversion now longest in history. The 2s10s spread (FRED T10Y2Y) has now been inverted for 424 days, surpassing the 1978-1980 inversion of 423 days for longest ever.
- #SOFR Z5Z6 spread making new lows ahead of FOMC.
- The largest ever Fed Funds futures block trade was executed this morning (84,000 contracts, equivalent to $3.5m per basis point), underscoring the significant risk transfer enabled by CME Group's deeply liquid markets.
- A few Weekly Treasury options traded on Friday... 922K Fridays (record) 337K Wednesdays (record) 39K Mondays (record) - launched Oct. 30
- For the first time ever, Treasury futures OI has surpassed 20 million contracts.
- #SOFR Dec25 vs. Dec26 (Z5Z6) spread again hitting new lows as markets push more rate cuts to 2026.
- CPI: 🥶 Market pricing: Hiking cycle done? Up to 100 bps of cuts by Dec. 2024.
- #SOFR futures curve today vs. a week ago, a month ago, a quarter ago.
- BREAKING: 2s10s Treasury spread moves positive for the first time in two years.
- Monday Weekly Treasury options activity ramping up in day four of trading...
- 🚨 Interest Rates see highest ever daily trading volume. Over 50 million Interest Rate contracts traded yesterday (+21% vs. prior high), propelling CME Group's total volume to an all-time high of 67 million. Press release: spr.ly/6014LXAnj
- The world's deepest futures market, visualized. #SOFR
