News and insights from @CMEGroup's leading interest rate derivatives marketplace.
Chicago, IL
Joined May 2023
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CME Group Interest Rates retweeted
#SOFR futures implied rate expectations peaked on September 28. Since then, markets have priced ~45 bps of tightening out of the reds.
CME Group Interest Rates retweeted
Asset managers shift risk to the belly, extend record net long in TY.
From 9/22 to 10/27, asset managers extended their net long position in Treasury futures by $21.6m DV01, shifting risk from the long end to the belly, where they have built a substantial record net long in TY.
CME Group Interest Rates retweeted
CME Group Interest Rates retweeted
#SOFR volatility hits highest since March, steadily rising in 16 of 24 sessions since the mid-September low.
CME Group Interest Rates retweeted
JUST IN: Open interest in #Ultra10 options tops 100,000 for the first time.
CME Group Interest Rates retweeted
Asset managers shift risk from the wings to the belly of the curve.
From 9/22 to 10/6, asset managers moved $30m DV01 from the wings (TU/US/WN) to the belly (FV/TY/UXY), reducing duration while maintaining net long positioning across Treasury futures above flat.
CME Group Interest Rates retweeted
The momentum in Eris SOFR Swap futures is real!
* Record volume in September and Q3
* Record open interest driven by asset manager inflows
* Record 45K lot block ($820K DV01) on Sep 28, as covered by @EddBolingbroke
* 15 blocks exceeding $200K DV01 during the month
CME Group Interest Rates retweeted
The 10-year Treasury yield went from 3.98% in early March to 5.32% by early October. @jimiuorio breaks down the four forces behind the move and the one counterforce that could reverse it.
CME Group Interest Rates retweeted
Asset managers extend long position in #10Y futures, adding 187K contracts, the 3rd highest increased in the last 5 years based on the latest weekly data from the CFTC (9/30/2026).
CME Group Interest Rates retweeted
Treasury put/call skew signals rising demand for downside yield protection.
The shift has been most pronounced at the front of the curve with 2Y (TUX26) 25-delta calls now trading at a higher premium than puts.
10Y (TYX26) skew has converged significantly, but a small put premium remains.
30Y (USX26) skew has converged slightly, but a healthy put premium remains.
CME Group Interest Rates retweeted
Huge build up in Treasury futures open interest as yields have propelled. Yesterday $9m/01 of 10-year notes added 😲
Bond bears still feasting 🐻🍔 @Interest_Rates
CME Group Interest Rates retweeted
Ultra 10 options open interest tops 90K contracts, +5X YTD.
Treasury traders looking for precise 10-year options exposure are increasingly turning to Ultra 10, where vastly improved liquidity is enabling institutional flow.
CME Group Interest Rates retweeted
🇺🇸 #SOFR futures curve today vs. a week/month/quarter ago.
Nearly 100bp of tightening priced into SR3U7.
CME Group Interest Rates retweeted
Asset managers extend record short position in #SOFR futures, adding 136K contracts in the latest weekly data from the CFTC (9/1/2026).
CME Group Interest Rates retweeted
CME Group and DTCC have received SEC and CFTC approvals to expand their cross-margining arrangement. Starting April 30, end-user clients can benefit from increased capital efficiencies and reduced margin when trading U.S. Treasury securities and CME interest rate futures. Read more: spr.ly/6018B6fJti
CME Group Interest Rates retweeted
I am excited about the launch of options on Eris swap futures on June 16! Congratulations @ErisFutures on the dramatic growth in volume and open interest of the futures, which has laid the groundwork for the launch of options. Thank you for the support from @CMEGroup!
