SOFR: New Products – New Patterns

As CME SOFR futures become increasingly active, we look at how the daily volume profiles evolve for the 1M and 3M CME SOFR contracts. It would be natural to assume they will be statistically similar. However, APAC and EU market hours have a clear stronger interest in the 3M contract than the 1M contract. The 1M contract then picks up activity after the European close / Chicago lunchtime. This has important implications for SOFR contract liquidity. To achieve best execution in these new CME SOFR contracts, it is essential to model each contract independently.

Please contact us at sales@itarle.com to see how Itarle use this approach to reduce execution impact costs to deliver superior execution prices.