New volume records for Eris SOFR
- Eris SOFR Swap futures set a new quarterly volume record in Q2, averaging 18,945 contracts traded daily ($1.9B notional), up 142% from Q2 2024
- June itself was a record volume month, with 33,440 contracts of average daily volume (ADV), up 95% year-on-year, driven by a combination of quarterly roll volume and two “mega block" days described below
- Markets in Eris/Treasury Swap Spreads (tradable spreads of Eris SOFR vs. Treasury futures) tightened notably in June, with 10-year ETSS (YIYU25 vs. UXYU5) 3 ticks (0.36 bp) or tighter 67% of regular trading hours, up from 35% in May
- Eris/Treasury Swap Spreads average daily volume increased to 1,170 contracts in Q2, with 5-year ETSS (YIW vs FV) the most actively-traded tenor
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