interest rates chart book - cmegroup.com€¦ · • interest rates complex - volume and average...

© 2020 CME Group. All rights reserved. CME GROUP PUBLIC

INTEREST RATES CHART BOOK

2019

https://www.cmegroup.com


• Interest Rates complex- Volume and average daily open interest- Historical open interest- Large open interest holders (LOIH)

• US Treasuries- UST futures and options volume and open interest- Top 20 volume days- Historical open interest- Ultra 10-Year Treasury Note futures- 2-Year note post-tick cut- Treasury inter-commodity spreads- Weekly Treasury options- Invoice swap spreads

• STIRs- Eurodollars- Fed Funds- SOFR- STIR inter-commodity spreads

• Swap futures

Table of contents


Interest Rate complex

© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 4

2019 a fourth consecutive record year

-

10,000,000

20,000,000

30,000,000

40,000,000

50,000,000

60,000,000

70,000,000

80,000,000

90,000,000

100,000,000

-

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

12,000,000

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Aver

age

Dai

ly O

pen

Inte

rest

Aver

age

Dai

ly V

olum

e

Interest Rates volume and open interest

Futures ADV Options ADV Open Interest

www.cmegroup.com/rates

http://www.cmegroup.com/rates


Open interest climbed to an all-time high of 110M contracts in June 2019

110,729,389

0

20,000,000

40,000,000

60,000,000

80,000,000

100,000,000

120,000,000

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Interest Rate futures and options open interest


Large open interest holders remain near all-time highs

800

1,000

1,200

1,400

1,600

1,800

2,000

2,200

2,400

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

CME Group Interest Rate FuturesAggregate Number of Large Open Interest Holders*

*Source: CFTC


US Treasuries


Treasury futures achieved a fourth consecutive record year in 2019

-

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

12,000,000

14,000,000

16,000,000

-

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

4,000,000

4,500,000

5,000,000

Yea-

end

Ope

n In

tere

st

Aver

age

Dai

ly V

olum

e

Treasury futures volume and open interest

2-Yr 5-Yr 10-Yr Ultra 10-Yr T-Bond Ultra T-Bond Open Interest

www.cmegroup.com/treasury

http://www.cmegroup.com/treasury


Treasury options volume grew to third consecutive record in 2019

-

1,000,000

2,000,000

3,000,000

4,000,000

5,000,000

6,000,000

7,000,000

-

200,000

400,000

600,000

800,000

1,000,000

1,200,000

Year

-end

Ope

n In

tere

st

Aver

age

Dai

ly V

olum

e

Treasury options volume and open interest

2-Yr 5-Yr 10-Yr Ultra 10-Yr T-Bond Ultra T-Bond Options OI


Half of the top 20 all-time volume days occurred in 2019

0

2,500,000

5,000,000

7,500,000

10,000,000

12,500,000

15,000,000

17,500,000

20,000,000

22,500,000

25,000,000

29-M

ay-1

8

28-M

ay-1

9

27-A

ug-1

9

25-N

ov-1

9

27-N

ov-1

8

29-M

ay-1

9

25-F

eb-1

9

26-F

eb-1

9

28-N

ov-1

8

28-A

ug-1

8

26-F

eb-1

8

26-N

ov-1

9

26-A

ug-1

9

27-N

ov-1

7

23-F

eb-1

7

24-M

ay-1

8

23-M

ay-1

9

28-N

ov-1

7

28-A

ug-1

9

29-M

ay-1

3

1234567891011121314151617181920

Con

tract

s tra

ded

Treasury futures top 20 volume days


Treasury futures open interest climbed to a record 16.6M contracts

16,649,226

0

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

12,000,000

14,000,000

16,000,000

18,000,000

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

Con

tract

s

Treasury futures historical open interest


Treasury futures composition of open interest

0

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

12,000,000

14,000,000

16,000,000

18,000,000

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Con

tract

s

Treasury futures open interest

ZT ZF ZN TN ZB UB


Ultra 10-Year Note futures (TN) continue to play a larger role in portfolios

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

2016 2017 2018 2019

TN % of Treasury futures open interest

-

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

1,000,000

-

50,000

100,000

150,000

200,000

250,000

2016 2017 2018 2019

Year

-end

Ope

n In

tere

st

Aver

age

Dai

ly V

olum

e

TN volume and open interest

Average Daily Volume Open Interest

www.cmegroup.com/ultra10

http://www.cmegroup.com/ultra10


Outsized growth in 2-Year Note futures (ZT) following tick reduction

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

4,000,000

4,500,000

5,000,000

Jan-17 Jan-18 Jan-19

2-Year Note futures open interest

01/14/19 – ZT minimum tick reduced by half to 1/8 of 1/32

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

-

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

2013 2014 2015 2016 2017 2018 2019

2-Yr

as

a %

of t

otal

UST

futu

res

volu

me

Aver

age

Dai

ly V

olum

e

2-Year Note futures average daily volume

2-Yr 2-Yr % of Treasury futures ADV


Treasury futures yield curve trading continues to grow

0

20,000

40,000

60,000

80,000

100,000

120,000

140,000

2015 2016 2017 2018 2019

Treasury futures Inter-Commodity Spreads (ICS)

ADV (Spreads) ADV (Contract Legs)

www.cmegroup.com/ics

http://www.cmegroup.com/ics


Record year for Weekly UST options, especially around economic events

0%

5%

10%

15%

20%

25%

-

50,000

100,000

150,000

200,000

250,000

2011 2012 2013 2014 2015 2016 2017 2018 2019

Wee

klie

s %

of T

otal

UST

opt

ions

vol

ume

Aver

age

Dai

ly V

olum

e

Weekly Treasury options

Friday Weekly Wednesday Weekly Weeklies % of Treasury options

www.cmegroup.com/wto

http://www.cmegroup.com/wto


Invoice swaps (packaged trades between swaps and UST futures) +27%

$2B

$5.7B

$7.3B

$6B $6.5B

$9.2B

$12B

$16.2B notional

0

20,000

40,000

60,000

80,000

100,000

120,000

2012 2013 2014 2015 2016 2017 2018 2019

Con

tract

s pe

r day

Invoice Swap Spreads average daily volume

www.cmegroup.com/invoicespreads

http://www.cmegroup.com/invoicespreads


STIRs


Eurodollars surpass 1 billion contracts traded for second consecutive year

0

200,000,000

400,000,000

600,000,000

800,000,000

1,000,000,000

1,200,000,000

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

Annu

al v

olum

e (C

ontra

cts)

Eurodollar futures and options annual volume

Futures Options

www.cmegroup.com/eurodollars

http://www.cmegroup.com/eurodollars


Open interest climbed to an all-time high of 84M contracts in June 2019

84,560,455

0

10,000,000

20,000,000

30,000,000

40,000,000

50,000,000

60,000,000

70,000,000

80,000,000

90,000,00019

8219

8319

8419

8519

8619

8719

8819

8919

9019

9119

9219

9319

9419

9519

9619

9719

9819

9920

0020

0120

0220

0320

0420

0520

0620

0720

0820

0920

1020

1120

1220

1320

1420

1520

1620

1720

1820

19

Eurodollar futures and options historical open interest


Record trading in Eurodollar options across three venues

0%

5%

10%

15%

20%

25%

30%

35%

40%

-

200,000

400,000

600,000

800,000

1,000,000

1,200,000

1,400,000

1,600,000

1,800,000

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Eurodollar options annual ADV by venue

CME Globex Pit Blocks % Electronic


Record trading in Fed Funds futures amidst rate uncertainty and cuts

-

500,000

1,000,000

1,500,000

2,000,000

2,500,000

-

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

30-Day Fed Funds futures volume and open interest

Average Daily Volume Average Daily Open Interest

www.cmegroup.com/ff

http://www.cmegroup.com/ff


SOFR futures gaining momentum as participation broadens

-

100,000

200,000

300,000

400,000

500,000

600,000

700,000

-

10,000

20,000

30,000

40,000

50,000

60,000

70,000M

ay-1

8Ju

n-18

Jul '

18Au

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8Se

p '1

8O

ct '1

8N

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8D

ec '1

8Ja

n '1

9Fe

b '1

9M

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9Ap

r '19

May

'19

Jun

'19

Jul '

19Au

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9Se

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9O

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9D

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9

SOFR futures volume and open interest

Average Daily Volume Month-End Open Interest

0

20

40

60

80

100

120

140

160

180

SOFR futures large open interest holders

Source: CFTC

www.cmegroup.com/sofr

http://www.cmegroup.com/sofr


SOFR adds exciting new money market spreading opportunities

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

0

5,000

10,000

15,000

20,000

25,000

30,000

Jan '19 Feb '19 Mar '19 Apr '19 May '19 Jun '19 Jul '19 Aug '19 Sep '19 Oct '19 Nov '19 Dec '19

Spre

ad %

of T

otal

SO

FR v

olum

e

Aver

age

daily

vol

ume

SOFR spreads vs. Eurodollars and Fed Funds

Globex ADV Block ADV Spread % of Total

www.cmegroup.com/ics

http://www.cmegroup.com/ics


Swap futures


Eris Swap futures thriving on CME Globex

0

50,000

100,000

150,000

200,000

250,000

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

2017 2018 2019

Aver

age

Dai

ly O

pen

Inte

rest

Aver

age

Dai

ly V

olum

e

Eris Swap Futures volume and open interest

Average Daily Volume Average Daily Open Interest

Eris Swap Futures transitioned to CME Group in Dec. 2018


Disclaimer

All data sourced from CME Group, unless otherwise specified.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade.

CME Group, the Globe Logo, CME, Globex, E-Mini, CME Direct, CME DataMine and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is a trademark of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners.

The information within this communication has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this communication are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Copyright © 2020 CME Group Inc. All rights reserved.

interest rates chart book - cmegroup.com€¦ · • interest rates complex - volume and average...

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