Underpinned by a diverse ecosystem of over 7,000 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 5 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.
Latest Interest Rates news
News-And-Events/News
Products/Interest Rates/eurodollar
- Pricing & Hedging IRS with SOFR Futures [link-bold]
- Guide to SR3 Notional [link-bold]
- Understanding SOFR futures [link-bold]
- SOFR Packs and Bundles [link-bold]
- Using SOFR in Convexity Trades [link-bold]
- Settlement Methodology [link-bold]
- Trading SOFR options [link-bold]
- Globex Strategy Guide [link-bold]
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
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.
Trading SOFR within the STIR ecosystem
SOFR vs. €STR
Seamlessly trade cross currency basis spreads between EU and U.S. money market rates.
SOFR vs. T-Bills
Neutralize asset swap risk in SOFR-hedged bill portfolios with 1:1 SR3-TBF3 spreads.
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.
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.