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6 dni temu · Track forward-looking risk expectations on short-term interest rates with the CME Group Volatility Index (CVOLTM), a robust measure of 90-day implied volatility derived from deeply liquid options on SOFR futures.
17 kwi 2024 · The CME Term SOFR Reference Rates benchmark is a daily set of forward-looking interest rate estimates, calculated and published for 1-month, 3-month, 6-month and 12-month tenors. CME Term SOFR Reference Rates are: Endorsed by the ARRC; Designed to adhere to the IOSCO Principles for Financial Benchmarks; Compliant with Benchmark Regulations
18 wrz 2024 · Additionally, SOFR futures now have a record 1,144 large open interest holders (LOIH), based on the CFTC's latest Commitments of Traders report.
SOFR Averages and Index Data. As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Averages are compounded averages of the SOFR over rolling 30-, 90-, and 180-calendar day periods.
2 gru 2021 · SOFR-linked open interest, which includes open interest in SOFR futures and options plus any Eurodollar futures and options open interest in expirations beyond June 2023, has increased to 18.1 million contracts since the adoption of SOFR-based fallbacks.
9 wrz 2021 · Total SOFR-linked open interest has increased to 38% of total short-term interest rate futures and options open interest at CME Group.
2 dni temu · Graph and download economic data for SOFR Index (SOFRINDEX) from 2018-04-02 to 2024-11-04 about financing, overnight, securities, indexes, and USA.
