In June, amidst a dramatic repricing in USD bond markets, global participants turned to CME Group's deeply liquid Eurodollar and Fed Funds futures to both manage risk and gain insight into the likelihood of a Fed rate cut. Probabilities as of July 8, 2019 at 8:00 a.m. CT CME FedWatch Tool Daily volume in Interest Rate options doubled in June to a record 4.2M contracts as the market’s risk management needs were met through CME’s highly diversified global participant pool, robust CLOB (composed of both streaming and RFQ liquidity), and a client-driven optimized market structure. Record Eurodollar Options: 78 concurrent listings, from weekly to over 3 years, enable traders to focus on specific areas of the curve Treasury Options: 2 expirations every week (Wed and Fri) allow traders to pinpoint event risk around economic numbers Ready for expanded UMR Rules? With the majority of Swaptions uncleared, listed options can provide significant margin, capital, and operational efficiencies to clients impacted by the expanding Uncleared Margin Rules (UMR) in September of 2019 and 2020, with inclusion based on gross notional thresholds of $750B and $8B, respectively. Learn More About UMR
Activity in CME SOFR futures reached a new high in June, with more than 10 new firms commencing trade in the contracts. Daily volume averaged 28,000, with 11% executed as Inter Commodity Spreads and open interest reaching 168,000, both of which were new records. The CME also reported that $750B notional in OTC-cleared SOFR-LIBOR basis swaps were transacted during the month.