SOFR Options

Building on CME's rapidly growing SOFR futures and deep expertise in listed Interest Rate options, SOFR options give clients a holistic solution for managing SOFR price risk across futures, options, and cleared swaps.

As the first listed non-linear product on the SOFR benchmark, SOFR options further assist with the market’s adoption of SOFR as the alternative reference rate, and in its usefulness as a Treasury Repo Index.

CME Direct users: download the SOFR options grid

  1. Right click on the buttons below
  2. Save the files as an .XML on your computer
  3. In CME Direct, select import view in the main menu
  4. Import the grid into CME Direct

Outrights Strategies

SOFR options contract specifications

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Related Products

SOFR Resources

Quick Reference Guide

Trading SOFR options

FAQ

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Options Expirations

Monthly options

FAQ - Monthly options

  • Three-Month SOFR options listings and contract specifications closely mimic Eurodollar and Mid Curve options, including identical listing rules, strike increments and price increments
  • Options on One-Month SOFR futures offer additional flexibility for managing exposure to overnight repo markets
  • Capital efficiencies available via margin offsets 
  • Operational efficiencies and spreading opportunities available via Inter-Commodity Spreads (ICS) on CME Globex

View 3-Month SOFR options SER     View 1-Month SOFR options SER

 

  Standard Quarterly/Serial Options Mid-Curve Options Weekly Mid-Curve options Monthly options
Underlying One (1) CME Three-Month SOFR futures contract
Listed Sixteen quarterlies along with four nearest serials 1-Year, 2-Year, 3-Year, 4-Year, 5-Year Mid-Curves
Five quarterlies along with four nearest serials		 1-Year, 2-Year, 3-Year Mid-Curves
Two weekly expirations		 Three Nearby and three Deferred contracts
Minimum Price Fluctuation Nearest Quarterly: 0.0025 points ($6.25 per contract) if option is for nearest monthly option expiration date, else 0.0025 points ($6.25) if premium ≤ 0.05 points, and 0.005 points ($12.50) if premium > 0.05 points

Second-nearest Quarterly and all Serials: 0.0025 points ($6.25) if premium ≤ 0.05 points, and 0.005 points ($12.50) if premium > 0.05 points

All other Quarterly: 0.005 points ($12.50), with CAB = 0.0025 points ($6.25)		 0.005 points ($12.50 per contract), with CAB = 0.0025 points ($6.25 per contract) 0.005 points ($12.50 per contract), with CAB = 0.0025 points ($6.25 per contract)

1/4 of 0.01 IMM index points (0.0025 = $6.25) for option premium ≤ 0.05 IMM index points

1/2 of 0.01 IMM index points (0.005 = $12.50) for option premium > 0.05 IMM index points
Strike Increment

First 8 option (4 serial and 4 quarterly) months:

  • 6.25 basis points (0.0625) increments for 150 basis points from ATM
  • 25 basis points (0.25) increments for 550 basis points from ATM

All other options (back 12 quarterlies)

  • 12.5 basis points (0.125) increments for 150 basis points from ATM
  • 25 basis points (0.25) increments for 550 basis points from ATM

First 6 options (4 serial and 2 quarterly) months (for 1-Year and 2-Year Mid-Curves only):

  • 6.25 basis points (0.0625) increments for 150 basis points from ATM
  • 25 basis points (0.25) increments for 550 basis points from ATM

All other options (back 3 quarterlies):

  • 12.5 basis points (0.125) increments for 150 basis points from ATM
  • 25 basis points (0.25) increments for 550 basis points from ATM
  • 6.25 basis points (0.0625) increments for 150 basis points from ATM
  • 25 basis points (0.25) increments for 550 basis points from ATM
6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract and of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.
Last Trading Day All options (excluding Weekly Mid-Curves): Trading terminates at close of CME Globex trading on the Friday before 3rd Wednesday of contract month Weekly Mid-Curves: Last Trading Day is any Friday not scheduled for expiration of any Standard Quarterly/Serial option
Exercise American Style. Option may be exercised by purchaser on any day that option is traded. 
Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m. CT, Monday through Friday
CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday through Friday
Block minimum 1,250 contracts in Asian Trading Hours (4:00 p.m. – 12:00 a.m. CT, Mon-Fri on Business Days and at all weekend times)
2,500 contracts in European Trading Hours (12:00 a.m. – 7:00 a.m. CT, Mon-Fri on Business Days)
5,000 contracts in Regular Trading Hours (7:00 a.m. – 4:00 p.m. CT, Mon-Fri on Business Days)
Symbols SR3 S0, S2, S3, S4, S5 S01-S05, S21-S25, S31-S35 1YH, 1YM, 1YU, 1YZ, 2YH, 2YM, 2YU, 2YZ

Vendor codes

  CME Globex / Open Outcry Bloomberg CQG Reuters Globex RIC Reuters Composite RIC TT
Options on Three-Month SOFR futures            
Standard Quarterly/Serial options SR3 SFR SOFRSR3 1SRA SRA SR3
1-Year Mid-Curve options S0 0Q SOFRS0 1SN SN S0
2-Year Mid-Curve options S2 2Q SOFRS2 1SL SL S2
3-Year Mid-Curve options S3 3Q SOFRS3 1SQ SQ S3
4-Year Mid-Curve options S4 4Q SOFRS4 1SH SH S4
5-Year Mid-Curve options S5 5Q SOFRS5 1SE SE S5
Weekly 1-Year Mid-Curve options S01 - S05 SOE SOFRS01 - SOFRS05 1SN1W - 1SN5W SN1W - SN5W S01 - S05
Weekly 2-Year Mid-Curve options S21 - S25 SOT SOFRS21 - SOFRS25 1SL1W - 1SL5W SL1W - SL5W S21 - S25
Weekly 3-Year Mid-Curve options S31 - S35 SSO SOFRS31 - SOFRS35 1SQ1W - 1SQ5W SQ1W - SQ5W S31 - S35
Options on One-Month SOFR futures            
One-Month SOFR options SR1 / S10 SERKOC  ELEC Comdty* SOFRSR1* 1S1R S1R SR1

DTN: @SR1*
Fidessa, FIS Global, ION (Pats & FFastFill), and Itiviti (Orc & Tbricks): SR1
*Globex only

Expiration date examples: 3M SOFR vs. Eurodollars

  Option Product Underlying Future
  Product Contract Month Symbol Option Expiry Date Contract Month Expiry Date Underlying Term
Serial SOFR Feb-2022 SR3G2 Friday, Feb 11, 2022 Mar-2022 Tuesday, Jun 14, 2022 March-June 2022
Eurodollar Feb-2022 EDG2 Friday, Feb 11, 2022 Mar-2022 Monday, Mar 14, 2022 March-June 2022
Quarterly SOFR Mar-2022 SR3H2 Friday, Mar 11, 2022 Mar-2022 Tuesday, Jun 14, 2022 March-June 2022
Eurodollar Mar-2022 EDH2 Monday, Mar 14, 2022 Mar-2022 Monday, Mar 14, 2022 March-June 2022
1-Yr Mid-Curve SOFR Mar-2022 S0H2 Friday, Mar 11, 2022 Mar-2023 Tuesday, Jun 20, 2023 March-June 2023
Eurodollar Mar-2022 E0H2 Friday, Mar 11, 2022 Mar-2023 Monday, Mar 13, 2023 March-June 2023
2-Yr Mid-Curve SOFR Mar-2022 S2H2 Friday, Mar 11, 2022 Mar-2024 Tuesday, Jun 18, 2024 March-June 2024
Eurodollar Mar-2022 E2H2 Friday, Mar 11, 2022 Mar-2024 Monday, Mar 18, 2024 March-June 2024

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