CME SOFR Futures and SOFR Volatility
June 7, 2019
CME One-Month SOFR futures can be used to evaluate and manage day-to-day volatility in Treasury general collateral repurchase agreement (GC repo) rates, particularly around month-end dates. In what follows, we examine a couple of recent episodes to show how.
***Click the banner below to access the full content***
More from CME Group
The most important insight of the day
Get the Harvest Daily Digest newsletter.