Underpinned by a diverse ecosystem of over 5,000 institutional participants globally, Three-Month SOFR futures and options are the primary liquidity pool for hedging USD short-term interest rates, trading on average over 3 million contracts each day. With expansive liquidity supporting a vast range of linear and non-linear strategies across the forward curve, users can effectively target interest rate risks wherever they lie.
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Features and benefits
Price discovery out 10 years
Quarterly contracts reflect SOFR expectations between IMM dates, with 39 consecutive listings to fulfill risk management needs out to 10 years.
Expansive liquidity
Access deep liquidity along the forward curve, and across an array of strategies including, outrights, spreads, butterflies, packs and bundles, and other multi-legged variations.
Unrivaled options flexibility
Fine tune risk exposures with the flexibility of 80 options expiries listed at any given time, ranging from one week to four years.
Hedging granularity
Precisely frame SOFR expectations over the nearest 13 calendar months with One-Month SOFR futures.
Explore this product in depth
Review contract highlights
Contract Unit
$2,500 x contract-grade IMM Index
Price Quotation
contract-grade IMM Index = 100 minus R
R = business-day compounded Secured Overnight Financing Rate (SOFR) per annum during contract Reference Quarter
Reference Quarter: For a given contract, interval from (and including) 3rd Wed of 3rd month preceding delivery month, to (and not including) 3rd Wed of delivery month. Points and fractions of points with par on the basis of 100 points
Product Code
CME Globex: SR3
CME ClearPort: SR3
Clearing: SR3
SOFR CVOL Indices
Track forward-looking risk expectations on short-term interest rates with the CME Group Volatility Index (CVOLTM), a robust measure of 90-day implied volatility derived from deeply liquid options on SOFR futures.
PRODUCTS
Term SOFR Reference Rates
SOFR futures underpin the calculation of CME Term SOFR Rates, the rapidly growing global benchmark for USD lending that is now referenced in revolving credit facilities worth more than $3 trillion.
Trading SOFR within the STIR ecosystem
Trade Three-Month SOFR futures versus related Interest Rate products to manage basis risk, capture relative-value opportunities, and unlock cross-margin savings.
SOFR vs. €STR
Seamlessly trade cross currency basis spreads between EU and U.S. money market rates.
SOFR vs. BSBY
A capital-efficient proxy for trading credit spreads in a post-LIBOR world.
SOFR Packs and Bundles
Trade strips of consecutive contracts in a single transaction to create a “synthetic” term investment or to hedge OTC swaps.
SOFR and cleared swaps
Portfolio margining IRS with SOFR can offer margin savings of as high as 97% on popular convexity bias trades.
Margins offsets are subject to change based upon market conditions.
Courses
Take self-guided courses on SOFR futures and options products.
If you’re new to SOFR, the courses below can help you quickly understand the market and start trading.
Contact an Interest Rate expert
Connect with a member of our expert Interest Rate team for more information about our products.
About Three-Month SOFR
CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. Three-Month SOFR futures are cash settled and based on a business-day compounded SOFR per annum during contract Reference Quarter.
Looking for more? Explore our additional resources
Resources
Looking for more? Explore our additional resources
Resources
Looking for more? Explore our additional resources
Resources
Looking for more? Explore our additional resources
Resources
About Three-Month SOFR
CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. Three-Month SOFR futures are cash settled and based on a business-day compounded SOFR per annum during contract Reference Quarter.
