How to Use the CME Group SOFRWatch Tool

Know more about the SOFRWatch tool by CME Group with this helpful video guide.

About SOFRWatch

This tool helps visualize the impacts that potential Federal Open Markets Committee (FOMC) decisions have on expected SOFR futures prices. This video walks through information displayed by the tool and how to input your own expectations of FOMC decisions, and then see those resulting changes in SOFR futures prices. For a SOFR options trader, this tool could be useful for finding which contract’s prices would be most affected by a given path of Fed hikes or cuts.

Navigating the SOFRWatch tool

The most likely path of rate hikes and rate cuts as predicted by the CME FedWatch tool displays at the top of SOFRWatch. Dates displayed in white are already announced, while dates displayed in gray are predictions based on the Fed’s historical schedule.

The tool displays two tables, one each for SR1s and SR3s, displaying the current prices and implied final settlement prices for each contract expiry, as well as the difference between both prices. SOFRWatch also displays a chart of past and implied future overnight SOFR fixings. Finally, users will see a chart of the current and implied term structures for Three-Month SOFR futures contracts (SR3s), as well as the difference between both for each of the contract expiries.