In recent weeks, CME SOFR futures trading volumes have accelerated to the highest levels since March. Following August’s average daily volume of 42K contracts, SOFR futures are averaging 60K contracts per day in the first two weeks of September.
Enter packs and bundles liquidity
A contributing catalyst to this growth has been the arrival of liquidity in packs and bundles, an efficient mechanism for trading strips of consecutive Three-Month SOFR futures contracts in a single transaction.
- In the last six weeks, 12% of SOFR futures have traded via pack or bundle.
- 15K contracts traded via pack and bundle on September 9, representing a record 30% of SOFR futures volume.
- Unlike Eurodollars, the price of a SOFR pack or bundle is quoted as the arithmetic average of the price levels of its constituent futures contracts.