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Interest Rates Products
View an Interest Rate Product
3-Month Overnight Index Swaps (OIS) Futures
| 3-Month Overnight Index Swap Futures | |||||
|---|---|---|---|---|---|
| Underlying Instrument | US domestic interbank deposit having a principal value of $1,000,000 that pays interest at a rate equal to the compounded daily effective federal funds rate during the contract's Reference Quarter. | ||||
| Reference Quarter | First Day: Third Wednesday of the month that is three whole months before the contract’s named expiry month. Last Day: The day immediately preceding the day that follows the First Day by three calendar months. The Reference Quarter is inclusive of the First Day and the Last Day. |
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| Price Quote | 100 minus R where R is the realized interest rate during the Reference Quarter, with daily compounding of the effective overnight Federal Funds rate: R = [ Πi=1…n{1 + (di/360) * (ri/100)} – 1 ] x (360/D) x 100 |
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| Tick Size (minimum fluctuation) |
Contracts with four months or less to expiry: One-quarter of one basis point (0.0025 = USD 6.25). All other contract months: One-half of one basis point (0.005 = USD 12.50) |
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| Contract Months | First eight months in the March quarterly cycle (i.e., White and Red expiry years) | ||||
| Last Trading Day | Last Day of Reference Quarter. Trading in expiring contracts ceases at 4:00 p.m. Chicago Time (CT) on the Last Trading Day. | ||||
| Final Settlement | Final Settlement Price = 100 - R Cash settled on the first business day following the Last Day of the Reference Quarter. Final settlement price is rounded to the nearest one-tenth (1/10) of one basis point. |
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| Position Limits | Current Position Limits | ||||
| Block Minimum | Block Trading Minimums | ||||
| All or None Minimum | All or None Minimums | ||||
| Rulebook Chapter | CME Chapter 460 |
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| Trading Hours (All times listed are Central Time) |
OPEN OUTCRY |
MON-FRI: 7:20 a.m. - 2:00 p.m.
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| CME GLOBEX |
SUN - FRI: 5:00 p.m. - 4:00 p.m. CT
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| Ticker Symbol | OPEN OUTCRY |
OSP
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| CME GLOBEX |
OSS
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| Exchange Rule | These contracts are listed with, and subject to, the rules and regulations of CME. | ||||
