Options on 3-Month SOFR Futures Frequently Asked Questions


Where will SOFR options trade?

All SOFR options will trade in open outcry, CME Globex and on CME ClearPort.  SOFR options in open outcry will trade in the Eurodollar options pit.

What products are being listed?

On January 6, 2020 we are launching options on the 3-Month SOFR futures (SR3). This will include standard options and Mid-Curves.

What will the day-one listing look like?

We will list serial, quarterly, and select weekly options.  There will be a January option listed on day-one that expires January 10, 2020.

  Serial Quarterly Weekly January 6, 2020 Listing Naming Convention
Standard Options (SR3) 4 16   Jan 2020, Feb 2020, Mar 2020, Apr 2020, May 2020, Jun 2020, Sep 2020, Dec 2020, Mar 2021, Jun 2021, Sep 2021, Dec 2021, Mar 2022, Jun 2022, Sep 2022, Dec 2022, Mar 2023, Jun 2023, Sep 2023, Dec 2023 Jan, Feb, March SR3F0, SR3G0, SR3H0
1-Year Mid-Curve  (S0) Weeklies (S01-S05) 4 5 2 Jan 2020, Feb 2020, Mar 2020, Apr 2020, May 2020, Jun 2020, Sep 2020, Dec 2020, Mar 2021 (Weekly Week 3 and Week 4) Jan, Feb, March   S0F0, S0G0, S0H0
2-Year Mid-Curve (S2) Weeklies (S21-S25) 4 5 2 Jan 2020, Feb 2020, Mar 2020, Apr 2020, May 2020, Jun 2020, Sep 2020, Dec 2020, Mar 2021 (Weekly Week 3 and Week 4) Jan, Feb, March   S2F0, S2G0, S2H0
3-Year Mid-Curve (S3) Weeklies (S31-S35) 4 5 2 Jan 2020, Feb 2020, Mar 2020, Apr 2020, May 2020, Jun 2020, Sep 2020, Dec 2020, Mar 2021 (Weekly Week 3 and Week 4) Jan, Feb, March   S3F0, S3G0, S3H0
4-Year Mid-Curve (S4) 4 5   Jan 2020, Feb 2020, Mar 2020, Apr 2020, May 2020, Jun 2020, Sep 2020, Dec 2020, Mar 2021) Jan, Feb, March   S4F0, S4G0, S4H0
5-Year Mid-Curve (S5) 4 5   Jan 2020, Feb 2020, Mar 2020, Apr 2020, May 2020, Jun 2020, Sep 2020, Dec 2020, Mar 2021  Jan, Feb, March   S5F0, S5G0, S5H0
3-Month Mid-Curve (TS2) 2 1   Jan 2020, Feb 2020, Mar 2020 Jan, Feb, March TS2F0, TS2G0, TS2H0
6-Month Mid-Curve (TS3) 2 1   Jan 2020, Feb 2020, Mar 2020 Jan, Feb, March TS4F0, TS4G0, TS4H0
9-Month Mid-Curve (TS4) 2 1   Jan 2020, Feb 2020, Mar 2020 Jan, Feb, March TS4F0, TS4G0, TS4H0

What are the differences between SOFR options and Eurodollar options?

SOFR options were designed to closely mimic Eurodollar options in terms of listings, strike increments, and the ability to create spreads between the different products (SOFR with SOFR and SOFR with Eurodollars)

There are two significant differences:

  1. The expiration date of the Quarterly SOFR option (SR3) is different than the Quarterly ED option, and;
  2. The expiring quarterly option will result in a futures position that doesn’t expire at the same time as the option

To elaborate:

When do the options expire?

All SOFR options, including the quarterly option will expire on the Friday before the 3rd Wednesday of the named contract month.  The 2:00 pm CST futures settle will determine if an option is in or out of the money.  You may trade the options on Globex until 4:00 pm CST.

The quarterly expiration is one fundamental difference between SR3 and ED options

  • The quarterly SR3 options will expire on the Friday before the third Wednesday.  The 2 p.m. CST. futures settle will determine if the option is in or out of the money. You may trade the option on Globex until 4 pm CST
  • The quarterly ED option expires at 11:00 a.m. London time on the second London bank business day immediately preceding the third Wednesday of the contract’s named month of delivery (typically, the Monday before the third Wednesday).

What are the underlying futures of the quarterly SOFR options (SR3)?

SR3 quarterly options will exercise into their named SR3 futures contract, for example the March 2020 option will expire on Friday, March 13, 2020. Exercised and assigned options will result in a March 2020 futures position.  The March 20 future doesn’t expire until June 16, 2020

This is the second fundamental difference between SR3 and ED options

  • The quarterly SR3 options will result in a futures position that still has 3 months until expirations
  • The quarterly ED options results in a futures position that expires at the same time as the ED options
Option Product Underlying Future
  Contract Month Symbol Option Expiry Date Contract Month Expiry Date
Quarterly SOFR options Mar-2020 SR3H0 Friday, March 13, 2020 Mar-2020 Tuesday, June 16, 2020
Quarterly Eurodollar options Mar-2020 EDH0 Monday March 16, 2020 Mar-2020 Monday, March 16, 2020

What are the underlying futures of the quarterly serial SOFR options (SR3) and Mid-Curves?

Just like the Eurodollars, SR3 serial options will result in a futures position in the next quarterly SR3 future. For example, the April 2020 SR3 option (SR3J0) will result in a June SR3 future (SR3H0).

Option Product Underlying Future
  Contract Month Symbol Option Expiry Date Contract Month Expiry Date
Serial SOFR options Apr-2020 SR3J0 Friday, April 10, 2020 Jun-2020 Tuesday, September 15, 2020
Serial Eurodollar options Apr-2020 EDJ0 Friday, April 10, 2020 Jun-2020 Monday, June 15, 2020

Just like the Eurodollars, the Mid-Curve options will result in a deferred futures position that expires from 1 to 5 years after the options expires.

Option Product Underlying Future
  Contract Month Symbol Option Expiry Date Contract Month Expiry Date
Serial SOFR 1-Yr Mid-curve Feb-2020 S0G0 Friday, February 14, 2020 Mar-2021 Tuesday, June 15, 2021
Serial Eurodollar 1-Yr Mid-curve Feb-2020 E0G0 Friday, February 14, 2020 Mar-2021 Monday, March 15, 2021
Quarterly SOFR 1-Yr Mid-curve Mar-2020 S0H0 Friday, March 13, 2020 Mar-2021 Tuesday, June 15, 2021
Quarterly Eurodollar 1-Yr Mid-Curve Mar-2020 E0H0 Friday, March 13, 2020 Mar-2021 Monday, March 15, 2021
Serial SOFR 1-Yr Mid-Curve Apr-2020 S0J0 Friday, April 10, 2020 Jun-2021 Tuesday, September 14, 2021
Serial Eurodollar 1-Yr Mid-Curve Apr-2020 E0J0 Friday, April 10, 2020 Jun-2021 Monday, June 14, 2021
Quarterly SOFR 1-Yr Mid-Curve Jun-2020 S0M0 Friday, June 12, 2020 Jun-2021 Tuesday, September 14, 2021
Quarterly Eurodollar 1-Yr Mid-Curve Jun-2020 E0M0 Friday, June 12, 2020 Jun-2021 Monday, June 14, 2021

What are the strike increments?

Just like ED options, strikes will be listed in .25 underlying instrument price points from 5.50 above to 5.50 below at-the-money. Additionally, strikes will be listed in .125 underlying instrument price points from 1.50 points above to 1.50 points below at-the-money.

What is the tick Increment?

Standard SR3 options:

Nearest quarterly month:
If nearest quarterly option is nearest to expiry:  1/4 of 0.01 IMM index points (0.0025 = $6.25)
If nearest quarterly option is not nearest to expiry:  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
Second-nearest quarterly month:
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
All other quarterly months:
1/2 of 0.01 IMM index points (0.005 = $12.50)
CAB: 1/4 of 0.01 IMM index points (0.0025 = $6.25)
Serial months:
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

All Mid-Curves:
1/2 of 0.01 IMM index points (0.005 = $12.50)
CAB: 1/4 of 0.01 IMM index points (0.0025 = $6.25)

Can you trade spreads between SOFR and Eurodollar options?

Yes, we will support all spreads between SOFR options, SOFR Mid-Curve options, Eurodollar and Eurodollar Mid-Curve options in all three venues (Open Outcry, Globex and Block)

What are the block levels?

RTH – 2500
ETH – 1250
ATH – 625

For Spreads each leg of the spread must meet the minimum block threshold

What are the vendor symbols?

  CME Globex / Open Outcry Reuters
Globex RIC
Reuters Composite RIC TT
Standard Quarterly/Serial options SR3 1SRA SRA SR3
1-Year Mid-Curve options S0 1SN SN S0
2-Year Mid-Curve options S2 1SL SL S2
3-Year Mid-Curve options S3 1SQ SQ S3
4-Year Mid-Curve options S4 1SH SH S4
5-Year Mid-Curve options S5 1SE SE S5
Weekly 1-Year Mid-Curve options S01 - S05 1SN1W - 1SN5W SN1W - SN5W S01 - S05
Weekly 2-Year Mid-Curve options S21 - S25 1SL1W - 1SL5W SL1W - SL5W S21 - S25
Weekly 3-Year Mid-Curve options S31 - S35 1SQ1W - 1SQ5W SQ1W - SQ5W S31 - S35
3-Month Mid-Curve options TS2 1T2S T2S TS2
6-Month Mid-Curve options TS3 1TS TS TS3
9-Month Mid-Curve options TS4 1T4S T4S TS4

Are their margin offsets (efficiencies) with other CME products?

Yes, CME will offer risk appropriate margin efficiencies with other CME listed products and we plan to offer those efficiencies at launch. Margin efficiencies are dynamic and based on market activity, exact levels will be available here

Where can we find historical SOFR settings and background information on the SOFR Rate?

SOFR Options

Visit the SOFR Options page for more information regarding contract specs, educational resources, and more.

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