Trading unleashed by last week’s Federal Reserve action helped advance the Libor transition as daily volume in replacement options exceeded 1 million contracts for the first time.
With eurodollar futures and options at risk of losing liquidity as the mid-2023 cessation date for three-month US dollar Libor approaches, alternatives tied to the Secured Overnight Financing Rate have been gaining ground. In last week’s frenzied trading, SOFR options volume was more than half of eurodollar options volume on three days. According to data from CME Group Inc., which lists both sets of products, daily SOFR options volume reached back-to-back records of ...
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