1. What are Monthly options on Three-Month SOFR futures?

Monthly options on Three-Month SOFR futures are short-dated options that expire within one or two months with an underlying futures contract that falls within the first eight quarterly months.

2. When will Monthly options on Three-Month SOFR futures launch?

Monthly options on Three-Month SOFR futures will be available for trading on Sunday June 16, 2024, for trade date June 17, 2024.

3. Why is CME Group listing Monthly options on Three-Month SOFR futures?

The new options will enable participants to trade one- or two-month options on any One-Year or Two-Year quarterly futures underlying not covered by our current serial, quarterly on mid-curve offering.

For example, currently you can trade a short-dated option on an underlying futures contract one year out with a July One-Year Mid Curve which expires on July 24 and has a September 25 underlying futures contract. There is, however, no way to trade a July 24 option on a Dec 24 underlying.

4. How do the option symbols work?

The underlying is embedded in the instrument symbol.

  • There are two root symbols:   1Y “Year 1” and 2Y “Year 2”
  • An underlying futures code:  “H”=March, “M”=June, “U”=Sept and “Z”=Dec

If you want to trade a July 2024 option on Front December, you would use 1YZN4, "July option on First Year December"
If you want to trade a July 2024 option on Deferred December, you would use 2YZN4, "July option on Second Year December"

5. How to find Monthlies on Bloomberg?

Utilize the table below for key Bloomberg information. 

1YH First March UHO UHOA Comdty OMON<GO>
1YM First June UMO UMOA Comdty OMON<GO>
1YU First Sept UUO UUOA Comdty OMON<GO>
1YZ First Dec UZO UZOA Comdty OMON<GO>
2YH Second March VHT VHTA Comdty OMON<GO>
2YM Second June VMT VMTA Comdty OMON<GO>
2YU Second Sept VUT VUTA Comdty OMON<GO>
2YZ Second Dec VZT VZTA Comdty OMON<GO>

6. What will the listings look like?

There will always be two months listed at a time on six different quarterly futures beginning with the July and August contracts. September will be added when July expires.

7. What underlying can we trade the monthlies on?

Each monthly will always have six SR3 underlying futures spanning the first eight quarterly futures contracts.

8. Will there be any changes to the current listed SOFR serial and quarterly options?

No, all options will act as they always have. That is why each monthly has six underlying futures, as there is no need to list a monthly when there is a standard contract listed. For example, we already list a July option on a Sept underlying in the SR3N4 offering.

9. When will these contracts expire?

Just like all currently listed SOFR options, they will expire on the Friday before the third Wednesday of the month.

10. Where will Monthly options on 3-Month SOFR futures trade?

All venues: open outcry, Globex, and ClearPort (block trades).

11. What is the strike increment?

  • 6.25 basis points (0.0625) increments for 150 basis points from ATM
  • 25 basis points (0.25) increments for 550 basis points from ATM

12. What is the tick increment?

New monthly options will adhere to current tick increment rules in relation to their premiums.

  • 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

13. Can you create spreads between standard SOFR quarterlies, Mid Curve, and Three-Month SOFR monthlies?

Yes, you will be able to create strategies involving all Mid Curves and SOFR options.

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.

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