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Three-Month SOFR
Futures and Options
Four-Year Mid-Curve Options on Three-Month SOFR Futures - Contract Specs
| Contract Unit | 1 3-Month SOFR Futures contract |
|---|---|
| Minimum Price Fluctuation | Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
| 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: S4 CME ClearPort: S4 Open Outcry: S4 Clearing: S4 |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 consecutive quarters and the 4 nearest serial monthly contracts |
| Termination of Trading | Trading terminates on the Friday before 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 will be listed in intervals of 12.5 basis points (0.125 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. |
| 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.
