CME Group Interest Rates

#FedWatch: Probability of a rate cut in 2026 plummets to 25%.

As the Middle East dominates headlines, a March Madness of central banks (featuring the Fed) looms large. 𝗠𝗼𝗻: Canada Inflation 𝗧𝘂𝗲: Australia Rate Decision 𝗪𝗲𝗱: PPI, Bank of Canada Rate Decision, FOMC 𝗧𝗵𝘂: Rate Decisions: BoJ, BoE, ECB 𝗙𝗿𝗶: Canada: PPI and Retail Sales

Yesterday was the most active day of 2026 for Interest Rate options, with 7.49M contracts traded, roughly +86% vs. the YTD average. This came as volatility spiked into the selloff, pushing 5-Yr CVOL skew from -35 in February to a multi-year high of over 21 on Thursday. The FV volume heatmap reflects this shift, showing exactly where activity has been concentrated for traders: near-expiry puts.

Market risk doesn't take the weekend off. With escalating geopolitical tensions, Sunday night's open could be volatile. Use our suite to hedge weekend events with precision.

As oil shocks stoke inflation fears, money markets dial back rate cut expectations.

CVOL Convexity = CVOL Index / ATM Vol Low Convexity: volatility is concentrated at the money. High Convexity: the "wings" (OTM calls and puts) are more expensive than the ATM options.

While 2-Year yield volatility has climbed to a 10-month high, it remains well below the more extreme levels of recent years. 2-Year convexity, on the other hand, has soared to multi-year highs, indicating traders are aggressively buying protection against extreme moves.

View 2-Year positioning by strike and expiry with the Open Interest Heatmap tool from @QuikStrike1. ▶️ spr.ly/6014B6y5Mo

2-Year activity has spiked both on an absolute basis and relative to the rest of the Treasury curve, illustrating a notable rotation toward front-end protection.

2-Year Treasury options see unprecedented inflows and record volumes, as traders shift focus to the front-end of the curve.

Funding and CPI lead the week before a big Friday that features several key economic releases. Mon: T-Bill Auctions ($166B) Tue: 3-Yr Auction ($58B) Wed: Inflation, 10-Yr Auction ($39B) Thu: 30-Yr Auction ($22B) Fri: PCE, JOLTS Report, GDP and Michigan Consumer Sentiment

2Y Treasury options hit new OI record as uncertainty grows around jobs, inflation and global conflicts.

Treasury volatility hits six month high; convexity highest since April 2025. #CVOL

Take a deep dive into the mechanics and learn how to determine the richness and cheapness of the roll. spr.ly/6017h452V

The Credit futures roll is LIVE. As liquidity shifts to June contracts, here’s what you need to know about navigating the roll: 1️⃣ Timing: Screen liquidity is typically best between 10:00 a.m. and 3:00 p.m. CT. 2️⃣ Pricing: Watch our Credit Analytics or Bloomberg FAIR to see implied financing rates. 3️⃣ Execution: Electronic rolls are available for the 10 days leading to LTD. Over the threshold? Look to blocks.

Interest Rates see highest ever monthly ADV. Trading volume surged to over 21.3M contracts/day in February, besting the prior monthly high by over 2M/day.

A highlight of the week ahead: the jobs report. CME Group prediction markets currently reflect a 23% chance of at least 100K jobs created. Mon: T-Bill Auctions ($166B), ISM Manufacturing Tue: EU Inflation Flash Wed: ISM Services Thu: ECB President Lagarde Speech Fri: Non-Farm Payrolls

Treasury futures open interest tops 27 million contracts.

BREAKING: Treasury futures and options open interest surpasses 36 million contracts. spr.ly/6017hUJ5t

#SOFR futures curve today vs. a month ago. What a difference a month makes. Traders are now pricing a deeper cutting cycle extending into 2027, with short-term rates bottoming at just over 3%.