Interest Rate Options Expirations
All options are physically settled into their underlying futures contract, and the below information assumes a trading day with normal closing times. Time-related holiday information can be found on the CME Group holiday calendar.
Exercise and assignment
Except for Monday and Wednesday Weekly Treasury options, CME Clearing will automatically
a.) exercise in-the-money options
b.) abandon out-of-the-money options
c.) treat at-the-money options as out-of-the-money and subsequently abandon them
For Monday and Wednesday Weekly Treasury options, in- and out-of-the money options are treated the same way as the other options. However, at-the-money calls will also be auto-exercised (at-the-money puts will be auto-abandoned).
Contrary instructions
These automatic decisions may be manually reversed via a process known as contrary instructions - the ability for a customer to instruct their clearing firm to exercise an out-of-the money option or, alternatively, to abandon an in-the-money option. All options that expire on a Friday allow contrary instructions.
Contrary instructions may be given to CME Clearing through a firm’s FCM and must be given by 5:30 p.m. CT. To ensure ample time to relay the message to CME Clearing, each FCM may have different (and further) rules regarding latest acceptance of contrary instructions.
Short options holders are randomly assigned; typically, clearing houses are made aware of these assignments by 10:00 p.m. CT. Unusually-high-volume days or other considerations may affect this time.
Treasury quarterly, serial, and Friday Weekly
On their last day of trading (i.e., their expiration date), these options are marked against the settlement price of their underlying futures at 2:00 p.m. CT. The futures settlement is what determines if an option is in-, at-, or out-of-the-money. For example, if the 10-year Treasury future settles at 2:00 p.m. at a price of 127.08, a 127 call option would be considered in-the-money.
However, even though options’ classifications are solidified at 2:00 p.m. CT, these same options can still be traded on Globex until 4:00 p.m. CT and continue to follow the associated future. If between 2:00 p.m. and 4:00 p.m., the price of the 10-year futures were to drop to 126.30, the same 127 call would, per CME Group rules, still be considered in-the-money.
Treasury Monday and Wednesday Weekly options
CME Group Monday and Wednesday Weekly Treasury options expire every Monday and Wednesday, with two such options listed at any given time. Unlike Friday Weekly options or quarterly/serial options, contrary instructions are not allowed for Monday or Wednesday Weeklies. Furthermore, trading on these options stops immediately at 2:00 p.m. upon option expiry.
SOFR quarterly, serial, and all mid-curve options
On the last trade day, these options are marked against the price of their underlying futures at 2:00 p.m. CT. The future’s settlement price determines if an option is in-, at-, or out-of-the-money.
Even though options are still tradable on Globex until 4:00 p.m. CT, price changes that occur between 2:00 p.m. to 4:00 p.m. do not affect how these options are classified.
| SOFR Options (All) | Treasury Quarterly | Treasury Serial | Treasury Friday | Treasury Monday and Wednesday | |
|---|---|---|---|---|---|
| “Settle”/Classification Time | 2:00 p.m. CT |
2:00 p.m. CT |
2:00 p.m. CT |
2:00 p.m. CT |
2:00 p.m. CT |
| Expiry Time | 4:00 p.m. CT | 4:00 p.m. CT | 4:00 p.m. CT | 4:00 p.m. CT | 2:00 p.m. CT |
| Contrary Instructions | Allowed | Allowed | Allowed | Allowed | Not Allowed |
| Contrary Instructions Submission Deadline | 5:30 p.m. CT | 5:30 p.m. CT |
5:30 p.m. CT | 5:30 p.m. CT | N/A |
| ITM Options | Auto-Exercised | Auto-Exercised | Auto-Exercised | Auto-Exercised | Auto-Exercised |
| OTM Options | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned |
| ATM Calls | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned | Auto-Exercised |
| ATM Puts | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned | Auto-Abandoned |
Below are some useful links regarding contrary instructions and the exercise/assignment process:
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
