Another $7mm DV01 trading day pushes May volume to new record
- On May 29, for the second time in two weeks, Eris SOFR traded more than $7 mm DV01 of outright risk, including a single trade of $1.5mm DV01 (20,000-lot 10-year Eris SOFR), which printed ⅜ basis point from order book mid
- The 121,303 contracts traded ($12.1B notional) eclipsed the recent daily record for non-roll activity set on May 15 (118,473 contracts)
- Overall, May was a record volume non-roll month, with average daily volume of 16,190 contracts ($1.6B notional)
- In a notable display of risk transfer, May included 35 block trades of at least $200K DV01; 20 trades of at least $400K DV01; 4 trades of at least $800K DV01; and 1 trade of $1.5mm DV01
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