SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
Trading in the secured overnight financing rate (SOFR) futures contracts hit record levels on September 17, the same day the benchmark overnight repo rate shot up to an unprecedented 5.25%.
The daily volume of CME Clearing's one-month SOFR futures trades increased to 129,525 lots yesterday (September 17), from 50,503 the day before, an increase of 156%. Average daily trading volume between August 15 and September 13 was just 14,796 lots.
There was a smaller surge in three-month SOFR futures
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