SOFR futures and options
Explore the largest and most efficient marketplace for SOFR trading and risk management.
Deep and resilient liquidity
Trade with the confidence of a $6T per day market that is underpinned by a vast participant pool globally.
Risk management versatility
Execute linear and non-linear strategies across the curve, and source liquidity via the CLOB, blocks, or open outcry.
Unrivaled efficiency
Access unrivaled margin offsets by trading futures, options and swaps under a single clearing house.
Three-Month SOFR
As the most actively traded futures contract in the world, Three-Month SOFR futures offer liquidity across the forward curve, supporting an array of trading strategies.
One-Month SOFR
A popular tool for off-balance-sheet hedging of U.S. repo exposure, One-Month SOFR futures offer finer granularity for framing SOFR expectations over the nearest 13 calendar months and a liquid basis market vs. Fed Funds.
SOFR options
Fine-tune risk exposures with the flexibility of 83 options expiries listed at any given time, and the ability to execute complex, multi-legged strategies electronically, bilaterally, or via the trading floor.
| Product Name | Clearing | Globex | Exch | Volume | Open Interest |
|---|---|---|---|---|---|
| Product Name | Clearing | Globex | Exch | Volume | Open Interest |
| Options on Three-Month SOFR Futures | SR3 | SR3 | CME | 893,461 | 30,052,719 |
| One-Year Mid-Curve Options on Three-Month SOFR Futures | S0 | S0 | CME | 400,621 | 7,102,301 |
| Two-Year Mid-Curve Options on Three-Month SOFR Futures | S2 | S2 | CME | 64,526 | 2,112,470 |
| Three-Year Mid-Curve Options on Three-Month SOFR Futures | S3 | S3 | CME | 9,980 | 969,815 |
Cleared SOFR swaps
Unlock unparalleled margin efficiencies by offsetting cleared SOFR swaps vs. futures and options exposures through Portfolio Margining.
- Swap types: OIS, Basis
- Floating rate index: USD-SOFR-COMPOUND
- Maximum maturity: 51 years
- Settlement convention: T+1
- Forecasting and discounting curve: USD SOFR curve
- Price alignment rate: USD SOFR
- Reset calendar: U.S. Gov Securities
- Payment calendar: USNY
Term SOFR
SOFR futures underpin the calculation of CME Term SOFR, the leading global benchmark for USD lending that now supports trillions of dollars in loans and revolving credit facilities.
- Endorsed by the ARRC
- BMR compliant
- Aligned with the IOSCO principles
Efficiency at every stage
Gain the exposure you need, with the efficiency that only the home for SOFR risk management can provide.
Access leading liquidity, three ways
Tap into best-in-class electronic order book liquidity, trade bilaterally via relationship-based protocols, or benefit from the largest pool of SOFR options liquidity via the trading floor.
Trade wherever your risks lie
Efficiently pinpoint interest rate risks anywhere on the curve with highly liquid intra- and inter-market spreads.
SOFR intra-commodity spreads
Express your view on the SOFR curve with a near-bottomless selection of exchange-listed spreads.
SOFR inter-commodity spreads
Spread SOFR versus other rates to manage basis risk, capture relative-value opportunities and unlock cross-margin savings.
Optimize your margin requirements
Get more from your capital with best-in-class cross-margining opportunities.
Unlock unparalleled efficiencies by offsetting cleared swaps vs. futures and options exposures through Portfolio Margining.
$7.7 billion
100%
97%
Access margin efficiencies between U.S. Treasury securities and Interest Rate futures.
80%
Gain margin efficiencies with automatic offsets between Interest Rate futures and options positions.
90%
*Data as of year-end 2023, margin offsets subject to change
CME Direct users: Download the SOFR grid
Access SOFR futures and options grids to facilitate fast spread and outright trading with block ticker displays and customizable real-time block trade data.
- Right click on the buttons below
- Save the files as an .XML on your computer
- In CME Direct, select import view in the main menu
- Import the grid into CME Direct
PRODUCTS
Term SOFR Reference Rates
Anchor your USD lending with the transparency and reliability of Term SOFR, the leading benchmark that now supports trillions of dollars in loans and revolving credit facilities.
Analyze SOFR markets
Build and refine your trading strategies with free pricing and analytic tools for short-term interest rate products.
Quick links
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Learn about SOFR basics
Explore foundational readings covering the ins and outs of STIR futures and options.
Take self-guided courses on SOFR futures and options
These courses can help you quickly understand the SOFR markets and start trading.
Contact a SOFR expert
Connect with a member of our expert SOFR team to get more information about our products, find a broker or to contact a market maker.
