SOFR OPEN INTEREST IS RELATIVELY LOW
September 2, 2024
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Anyone have a good reason for this??
Sept 2, 2024
In 2018 the Fed was gently hiking rates. Peak FF level was 2.25 to 2.5%.
At the time, PEAK OPEN INTEREST in eurodollar futures (aggregate) reached over 18 million as the chart below shows.
(blue line is aggregate open interest. ED1 is rolling first quarterly Eurodollar contract)
Eurodollars are now long gone, replaced by SOFR contracts. SOFR futures aggregate open interest is near a record, but it’s only 11.276 million in total. As the chart below shows, that’s with the Public Debt increasing 16% in two years.
I’m assuming 2y, 5y and 10y treasury futures have siphoned off a lot of open interest that might have otherwise gone into SOFR. All have recently hit record highs, TU 4.49m contracts, FV 6.95m and TY 5.516m. In fact, in 2018 when ED open interest surged, FV OI peaked at 5.076m. Last month’s FV peak OI was 37% higher. Perhaps ERIS SOFR swaps have taken a share.
One of the trades that has been lost is ED contracts vs Treasuries, as the credit aspect of STIRS was eliminated with SOFR.
I’m not drawing any big conclusions, just posting for interest.
(white line is 3rd contract slot, currently SFRZ4. Blue line is aggregate open interest. Purple in lower panel is public debt).
