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Three-Month SOFR
Futures and Options
Options on Three-Month SOFR Futures - Contract Specs
| Contract Unit | 1 3-Month SOFR Futures contract |
|---|---|
| Minimum Price Fluctuation | Nearest quarterly contract: If nearest to expiry: 1/4 of 0.01 IMM index points (0.0025 = $6.25) If not nearest to expiry: 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 Second-nearest quarterly 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 All other quarterly contracts: 1/2 of 0.01 IMM index points (0.005 = $12.50) CAB: 1/4 of 0.01 IMM index points (0.0025 = $6.25) Serial months: 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 |
| Trading Hours | CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET) CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. - 6:00 p.m. CT Open Outcry: MON - FRI: 7:20 a.m. - 2:00 p.m. |
| Product Code | CME Globex: SR3 CME ClearPort: SR3 Open Outcry: S3O Clearing: SR3 |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 16 consecutive quarters and the 4 nearest serial month contracts |
| Termination of Trading | Trading terminates on the Friday prior to the 3rd Wednesday of the contract month. |
| Position Limits | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes | |
| Strike Prices Strike Price Interval | Strike prices for the first 8 option (4 serial and 4 quarterly) months will be listed in intervals of 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. Strike prices will be listed in intervals 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. All other options ( Back 12 quarterlies) will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. |
| Exercise Style | Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. |
| Settlement Method | Deliverable |
| Underlying | Three-Month SOFR Futures |
About Three-Month SOFR
CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. Three-Month SOFR futures are cash settled and based on a business-day compounded SOFR per annum during contract Reference Quarter.
