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SOFR Futures Update, Sep'23 and Dec'23 Volume Surge

STIR FUTURES
  • Sep'23 and Dec'23 SOFR futures seeing a surge in volume again today. At the moment, SFRU3 trades over 690,000, SFRZ3 over 750,000 (SFRH4 well behind pace but heavy nonetheless at over 380,000).
  • Volume surge in Sep'23 and Dec'23 quarterlies tied to calendar spreads/position rolls as accounts adjust to growing chances of more than one 25bp rate hike by year end.
  • Dec'23 SOFR volume outpacing Sep'23 after massive 67,200 Block this morning vs. 36,704 Sep'23 5Y Treasury futures (consensus opinion the massive spread was a flattener).
  • Additional factor driving volume: Still around but not considered lead quarterly, Jun'23 SOFR futures continue to be rolled to Sep'23, current SFRM3 volume over 145k.

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