Building on CME's rapidly growing SOFR futures and deep expertise in listed Interest Rate options, SOFR options will 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 will further assist with the market’s adoption of SOFR as the alternative reference rate, and in its usefulness as a Treasury Repo Index.
*Pending regulatory review
Related Products
- Listings and contract design will closely mimic Eurodollar and Mid Curve options, including identical listing rules, strike increments and price increments
- Capital efficiencies available via margin offsets versus Eurodollar options
- Operational efficiencies and spreading opportunities available via Inter-Commodity Spreads (ICS) on CME Globex
View the SER for detailed contract specifications
|
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 |
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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: |
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 |
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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 monthWeekly 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. |
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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 |
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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) |
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Symbols |
SR3 |
S0, S2, S3, S4, S5 |
S01-S05, S21-S25, S31-S35 |
TS2, TS3, TS4 |
Initial listings at launch |
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 2020, Feb 2020, Mar 2020, Apr 2020, May 2020, Jun 2020, Sep 2020, Dec 2020, Mar 2021 |
Jan 2020 Week 3, Jan 2020 Week 4 |
Jan 2020, Feb 2020, Mar 2020 |
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