3-Month, 6-Month, and 9-Month SOFR Mid-Curve options bring greater flexibility to the front of the SOFR curve by offering short-dated monthly options on white quarterly SOFR futures.
Traditional yearly Mid-Curve options reference an underlying futures contract of the same named month, one to five years in the future. For example, a December 2022 1-Year Mid-Curve that expired in December 2022 referenced a December 2023 SR3 futures contract.
Historically, when that December 2022 1-Year Mid-Curve expired there was no longer any short-dated options tied to the December 2023 futures contract. 3-, 6-, and 9-Month Mid-Curves were introduced specifically to address this gap, offering short-dated, one to three month options on the second, third, and fourth quarterly SOFR futures contracts.
Contract details
|
OPTION CONTRACT |
SYMBOL |
UNDERLYING FUTURE |
|---|---|---|
|
TS2 |
Underlying futures contract is three calendar months from the options typical underlying. Example: March 23 option on June 23 future, April 23 option on September 23 future |
|
|
TS3 |
Underlying futures contract is six calendar months from the options typical underlying. Example: March 23 option on September 23 future, April 23 option on December 23 future |
|
|
TS4 |
Underlying futures contract is nine calendar months from the options typical underlying. Example: March 23 option on December 23 future, April 23 option on March 24 future |
Rules for Determining the Underlying Future
- TS2 references the second quarterly future from the options expiration including its “typical” underlying
- TS3 references the third quarterly future from the options expiration, including its “typical” underlying
- TS4 references the fourth quarterly future from the options expiration, including its “typical” underlying
|
PRODUCT NAME |
CME GLOBEX |
CME DIRECT |
BLOOMBERG |
|---|---|---|---|
|
3-Month Mid-Curve options |
TS2 |
TS2 |
SRAA <Comdty> OMON |
|
6-Month Mid-Curve options |
TS3 |
TS3 |
SRRA <Comdty> OMON |
|
9-Month Mid-Curve options |
TS4 |
TS4 |
SRWA <Comdty> OMON |
Listing Schedule
There are two serials and one quarterly option listed for each.
Frequently Asked Questions
- What are 3-, 6-, 9-Month Mid-Curves?
- What is the difference between the three products?
- How many expirations are listed at a time?
- When do these contracts expire?
- Where do Mid-Curves trade?
- What is the strike increment?
- What is the tick increment?
- Can I create spreads between SOFR, Standard Mid-Curves, and 3-, 6-, 9-Month Mid-Curves?
1. What are 3-, 6-, 9-Month Mid-Curves?
Short-dated options on the deferred, white SOFR (SR3) futures contracts.
2.What is the difference between the three products?
Each of the symbols represent a short-dated option on a different white quarterly Eurodollar futures.
- TE2 references its second subsequent quarterly underlying future
- TE3 references its third subsequent quarterly underlying future
- TE4 references its fourth subsequent quarterly underlying future
3. How many expirations are listed at a time?
There are always two serials and one quarterly option available at a time.
4. When do these contracts expire?
Just like all listed SOFR, they expire the Friday before the third Wednesday of the month.
5. Where do Mid-Curves trade?
All venues: Open outcry, CME Globex, and block trades.
6. What is the strike increment?
Strike increments are .125 for the first 1.50 bps and then move to .25 bp increments.
7. What is the tick increment?
Mid-Curves adhere to current tick increment rules in relation to underlying futures contracts.
TS2: .0025 increments if premium is not less than -0.05 IMM Index point greater than 0.05 IMM Index points
.005 for all other premium increments.
TS3: .005 premium increments
TS4: .005 premium increments
8. Can I create spreads between SOFR, Standard Mid-Curves, and 3-, 6-, 9-Month Mid-Curves?
Yes, all standard User defined spreads are supported between all options on SOFR futures.
Additional questions?
If you have questions on SOFR Mid-Curve options, please contact:
David Reif
+1 312 648 3839
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.
