SOFR Options

Building on CME's rapidly growing SOFR futures and deep expertise in listed Interest Rate options, SOFR options give clients a holistic solution for managing SOFR price risk across futures, options, and cleared swaps.

As the first listed non-linear product on the SOFR benchmark, SOFR options further assist with the market’s adoption of SOFR as the alternative reference rate, and in its usefulness as a Treasury Repo Index.

CME Direct users: download the SOFR options grid

  1. Right click on the buttons below
  2. Save the files as an .XML on your computer
  3. In CME Direct, select import view in the main menu
  4. Import the grid into CME Direct

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Trading SOFR options

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SOFR options contract specifications

  • Three-Month SOFR options listings and contract specifications closely mimic Eurodollar and Mid Curve options, including identical listing rules, strike increments and price increments
  • Options on One-Month SOFR futures offer additional flexibility for managing exposure to overnight repo markets
  • Capital efficiencies available via margin offsets 
  • Operational efficiencies and spreading opportunities available via Inter-Commodity Spreads (ICS) on CME Globex

View 3-Month SOFR options SER     View 1-Month SOFR options SER

 

  Standard Quarterly/Serial Options Mid-Curve Options Weekly Mid-Curve options 3-, 6-, 9-Month Mid-Curve options
Underlying One (1) CME Three-Month SOFR futures contract
Listed Sixteen quarterlies along with four nearest serials 1-Year, 2-Year, 3-Year, 4-Year, 5-Year Mid-Curves
Five quarterlies along with four nearest serials
1-Year, 2-Year, 3-Year Mid-Curves
Two weekly expirations
One quarterly along with two nearest serials
Minimum Price Fluctuation Nearest Quarterly: 0.0025 points ($6.25 per contract) if option is for nearest monthly option expiration date, else 0.0025 points ($6.25) if premium ≤ 0.05 points, and 0.005 points ($12.50) if premium > 0.05 points

Second-nearest Quarterly and all Serials
: 0.0025 points ($6.25) if premium ≤ 0.05 points, and 0.005 points ($12.50) if premium > 0.05 points

All other Quarterly
: 0.005 points ($12.50), with CAB = 0.0025 points ($6.25)
0.005 points ($12.50 per contract), with CAB = 0.0025 points ($6.25 per contract) 0.005 points ($12.50 per contract), with CAB = 0.0025 points ($6.25 per contract) 3-Month Mid-Curve: 0.0025 points ($6.25) for option premium ≤ 0.05 IMM index points, and 0.005 points ($12.50) for option premium > 0.05 IMM index points

6- and 9-Month Mid-Curves: 0.005 points ($12.50), with CAB = 0.0025 points ($6.25)
Strike Increment 12.5 basis points (0.125) increments for 150 basis points from ATM
25 basis points (0.25) increments for 550 basis points from ATM
Last Trading Day All options (excluding Weekly Mid-Curves): Trading terminates at close of CME Globex trading on the Friday before 3rd Wednesday of contract month Weekly Mid-Curves: Last Trading Day is any Friday not scheduled for expiration of any Standard Quarterly/Serial option
Exercise American Style. Option may be exercised by purchaser on any day that option is traded. 
Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m. CT, Monday through Friday
CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday through Friday
Block minimum 625 contracts in Asian Trading Hours (4:00 p.m. – 12:00 a.m. CT, Mon-Fri on Business Days and at all weekend times)
1,250 contracts in European Trading Hours (12:00 a.m. – 7:00 a.m. CT, Mon-Fri on Business Days)
2,500 contracts in Regular Trading Hours (7:00 a.m. – 4:00 p.m. CT, Mon-Fri on Business Days)
Symbols SR3 S0, S2, S3, S4, S5 S01-S05, S21-S25, S31-S35 TS2, TS3, TS4
  One-Month Options
Underlying One (1) CME One-Month SOFR futures contract
Listed First four serial months (Jan, Feb, Mar, etc)
Minimum Price Fluctuation One-quarter of one basis point (0.0025), or $10.4175 per contract
Strike Increment 6.25 basis points (0.0625) for the first ten strikes above/ below ATM
12.5 basis points (0.1250) for the next five higher/lower strike prices outside this range.
Last Trading Day Trading in expiring options terminates at close of trading – typically 4pm -- on Last Day of Trading. Last Day of Trading is the last business day of the contract month.
Exercise American Style. Option may be exercised by purchaser on any day that option is traded. 
Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m. CT, Monday through Friday
CME Globex: 5:00 p.m. – 4:00 p.m. CT, Sunday through Friday
Block minimum ATH – 250 contracts
ETH – 500
RTH – 1,000
Symbols CME Globex: SR1
CME ClearPort: SR1
Open Outcry: S1O
Clearing: SR1

Vendor codes

  CME Globex / Open Outcry Bloomberg CQG Reuters Globex RIC Reuters Composite RIC TT
Options on Three-Month SOFR futures            
Standard Quarterly/Serial options SR3 SFR SOFRSR3 1SRA SRA SR3
1-Year Mid-Curve options S0 0Q SOFRS0 1SN SN S0
2-Year Mid-Curve options S2 2Q SOFRS2 1SL SL S2
3-Year Mid-Curve options S3 3Q SOFRS3 1SQ SQ S3
4-Year Mid-Curve options S4 4Q SOFRS4 1SH SH S4
5-Year Mid-Curve options S5 5Q SOFRS5 1SE SE S5
Weekly 1-Year Mid-Curve options S01 - S05 SOE SOFRS01 - SOFRS05 1SN1W - 1SN5W SN1W - SN5W S01 - S05
Weekly 2-Year Mid-Curve options S21 - S25 SOT SOFRS21 - SOFRS25 1SL1W - 1SL5W SL1W - SL5W S21 - S25
Weekly 3-Year Mid-Curve options S31 - S35 SSO SOFRS31 - SOFRS35 1SQ1W - 1SQ5W SQ1W - SQ5W S31 - S35
3-Month Mid-Curve options TS2 SRA SOFRTS2 1T2S T2S TS2
6-Month Mid-Curve options TS3 SRR SOFRTS3 1TS TS TS3
9-Month Mid-Curve options TS4 SRW SOFRTS4 1T4S T4S TS4
Options on One-Month SOFR futures            
One-Month SOFR options SR1 / S10 SERKOC  ELEC Comdty* SOFRSR1* 1S1R S1R SR1

DTN: @SR1*
Fidessa, FIS Global, ION (Pats & FFastFill), and Itiviti (Orc & Tbricks): SR1
*Globex only

Expiration date examples: 3M SOFR vs. Eurodollars

  Option Product Underlying Future
  Product Contract Month Symbol Option Expiry Date Contract Month Expiry Date Underlying Term
Serial SOFR Feb-2022 SR3G2 Friday, Feb 11, 2022 Mar-2022 Tuesday, Jun 14, 2022 March-June 2022
Eurodollar Feb-2022 EDG2 Friday, Feb 11, 2022 Mar-2022 Monday, Mar 14, 2022 March-June 2022
Quarterly SOFR Mar-2022 SR3H2 Friday, Mar 11, 2022 Mar-2022 Tuesday, Jun 14, 2022 March-June 2022
Eurodollar Mar-2022 EDH2 Monday, Mar 14, 2022 Mar-2022 Monday, Mar 14, 2022 March-June 2022
1-Yr Mid-Curve SOFR Mar-2022 S0H2 Friday, Mar 11, 2022 Mar-2023 Tuesday, Jun 20, 2023 March-June 2023
Eurodollar Mar-2022 E0H2 Friday, Mar 11, 2022 Mar-2023 Monday, Mar 13, 2023 March-June 2023
2-Yr Mid-Curve SOFR Mar-2022 S2H2 Friday, Mar 11, 2022 Mar-2024 Tuesday, Jun 18, 2024 March-June 2024
Eurodollar Mar-2022 E2H2 Friday, Mar 11, 2022 Mar-2024 Monday, Mar 18, 2024 March-June 2024

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