October mega blocks fuel record 918K open interest

• Swap rates tumbled in October, pushing Eris open interest (OI) to a new record 917,546 contracts ($91.8B notional) on Nov 9, after crossing 900K for the first time on Nov 2
• Strong October trading volume, including significant activity from Asset Managers, pushed the rolling quarterly average daily volume over 35,000 contracts for the first time
• “Mega block” trades again featured prominently, with 27 outright block trades exceeding $200K DV01 in October, the most of any month this year
• That brings the 2026 total for mega blocks to 131, surpassing the 109 traded in 2025

Eris Options surpass 25,000 contracts traded  

• In October, Eris Options crossed 25,000 contracts traded since their June launch, and set a new record with open interest of 7,851 contracts
• Eris Options for Hedging Mortgage Convexity, a new article from CME Group, explains how a long Eris Options straddle can hedge risks from negative convexity around key-rate points
• It shows an example where Eris Options allow holders of long straddle positions to post 60% less capital at trade time compared with upfront-premium alternatives like OTC swaptions
• Live markets for Eris Options are visible on Bloomberg:
• 2Y: YITA Comdty OMON ‹GO›
• 5Y: YIWA Comdty OMON ‹GO›
• 10Y: YIYA Comdty OMON ‹GO›

What’s the story behind 
Eris SOFR growth? CME explains.

• Since CME enabled margin netting with cleared OTC swaps in 2023, Eris SOFR volume is up more than 4x and average open interest more than 3x
• A recent article from CME Group traces how margin efficiency expanded market maker capacity, enabling larger block trades, attracting additional dealers, and increasing asset manager participation
• Using market data and examples from recent trading activity, the article documents the development of deeper block markets, growing off-the-run activity, longer-tenor adoption, and the launch of Eris Options

Important: Changes to erisfutures.com, public FTP

• Per this notice, Eris is making important changes to erisfutures.com and Eris public FTP effective January 1, 2027. Here’s what you should know: 
• Eris’ public FTP site will be decommissioned Jan 1, 2027, and is being replaced by a new SFTP site, which goes live Nov 11. Registration is required.
• Erisfutures.com will cease displaying live market data Jan 1, 2027. Users can access the New Eris MarketView website for 10-minute delayed market data (including trade recap, volume & open interest, and settlement prices). Registration is required.
• Need to register? Read the notice and register today.

Eris Essentials

CME Group Articles

• Liquidity Unconstrained by Open Interest (New)

• Trade Swaption Risk On-Exchange with Eris Options

• Unlocking Capital by Transitioning to Eris Swap Futures

• Trading swap spreads with futures: A primer for Eris/Treasury Swap Spreads

• CME Group paper: Hedge accounting for the masses: How futures and FASB changed hedging forever

• REITs are Switching to Swap Futures to Free Up Cash

• Mortgage Servicing Rights (MSR) Owners turn to Futures to Hedge Interest Rate Moves

Hedger Introductions

• Eris Options for hedging Mortgage Convexity (New)

• Eris SOFR for Hedging Loan Commitments

• Eris SOFR for Bank ALM

• Eris SOFR for Private Lenders

• Eris SOFR for MSR hedgers

• Eris SOFR for REIT’s

Other Eris Resources

• Four Methods for Hedging Non-QM

• Eris Options Fact Card

• Eris Options Analytics Guide

• Block Market Maker List

• Product Details: Eris SOFR

• Product Details: Eris/Treasury Swap Spreads

• Live Eris markets

• Eris SOFR Daily Cash Flows page

• Margin savings vs. swaps

• Eris SOFR FCM & Broker List

• Historical Open Interest

• Trade Log

• Par Rate / Yield Calculator

Eris Innovations is an intellectual property licensing company that partners with CME Group to develop futures based on its patented product design, the Eris Methodology. CME Group lists Eris SOFR Swap futures for trading on the CBOT exchange.

info@erisfutures.com | www.erisfutures.com | 646-961-4489

Disclaimer: The information contained herein does not constitute a prospectus, nor is it a recommendation to buy, sell or retain any specific financial instrument or security. Futures, options, and other derivatives involve risk and are not suitable for all investors. The information has been provided to you for informational purposes only and is intended as a broad overview of certain aspects Eris SOFR swap futures and Eris Options products, and should not be considered as investment advice, legal advice, or tax advice. Although all effort has been made to provide accurate information Eris Innovations assumes no responsibility for any errors or omissions. Trademarks of Eris Innovations and/or its affiliates include Eris, Eris Innovations, Eris PAI, Eris Methodology, Eris Pricing Engine and the Eris Logo. All other trademarks, service marks, trade names, product names and logos are the property of their respective owners. Certain elements of the contract design and pricing construct are covered by U.S. Patent No. 9,747,641. Other patents-pending. All Rights Reserved.