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.
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Related Products
SOFR options education
- Listings and contract design 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
|
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 |
| CME Globex / Open Outcry | Bloomberg | CQG | Reuters Globex RIC |
Reuters Composite RIC | TT | |
| 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 (subject to change) | SOFRS01 - SOFRS05 | 1SN1W - 1SN5W | SN1W - SN5W | S01 - S05 |
| Weekly 2-Year Mid-Curve options | S21 - S25 | SOT (subject to change) | SOFRS21 - SOFRS25 | 1SL1W - 1SL5W | SL1W - SL5W | S21 - S25 |
| Weekly 3-Year Mid-Curve options | S31 - S35 | SSO (subject to change) | 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 |
| Option Product | Underlying Future | |||||
| Contract Month |
Symbol | Option Expiry Date | Contract Month |
Expiry Date | ||
| Quarterlies & Serials | Serial SOFR options | Feb-2020 | SR3G0 | Friday, February 14, 2020 | Mar-2020 | Tuesday, June 16, 2020 |
| Serial Eurodollar options | Feb-2020 | EDG0 | Friday, February 14, 2020 | Mar-2020 | Monday, March 16, 2020 | |
| Quarterly SOFR options | Mar-2020 | SR3H0 | Friday, March 13, 2020 | Mar-2020 | Tuesday, June 16, 2020 | |
| Quarterly Eurodollar options | Mar-2020 | EDH0 | Monday March 16, 2020 | Mar-2020 | Monday, March 16, 2020 | |
| Serial SOFR options | Apr-2020 | SR3J0 | Thursday, April 9, 2020 | Jun-2020 | Tuesday, September 15, 2020 | |
| Serial Eurodollar options | Apr-2020 | EDJ0 | Thursday, April 9, 2020 | Jun-2020 | Monday, June 15, 2020 | |
| Quarterly SOFR options | Jun-2020 | SR3M0 | Friday, June 12, 2020 | Jun-2020 | Tuesday, September 15, 2020 | |
| Quarterly Eurodollar options | Jun-2020 | EDM0 | Monday, June 15, 2020 | Jun-2020 | Monday, June 15, 2020 | |
| Midcurves | Serial SOFR 1-Yr Mid-Curve | Feb-2020 | S0G0 | Friday, February 14, 2020 | Mar-2021 | Tuesday, June 15, 2021 |
| Serial Eurodollar 1-Yr Mid-Curve | Feb-2020 | E0G0 | Friday, February 14, 2020 | Mar-2021 | Monday, March 15, 2021 | |
| Quarterly SOFR 1-Yr Mid-Curve | Mar-2020 | S0H0 | Friday, March 13, 2020 | Mar-2021 | Tuesday, June 15, 2021 | |
| Quarterly Eurodollar 1-Yr Mid-Curve | Mar-2020 | E0H0 | Friday, March 13, 2020 | Mar-2021 | Monday, March 15, 2021 | |
| Serial SOFR 1-Yr Mid-Curve | Apr-2020 | S0J0 | Thursday, April 9, 2020 | Jun-2021 | Tuesday, September 14, 2021 | |
| Serial Eurodollar 1-Yr Mid-Curve | Apr-2020 | E0J0 | Thursday, April 9, 2020 | Jun-2021 | Monday, June 14, 2021 | |
| Quarterly SOFR 1-Yr Mid-Curve | Jun-2020 | S0M0 | Friday, June 12, 2020 | Jun-2021 | Tuesday, September 14, 2021 | |
| Quarterly Eurodollar 1-Yr Mid-Curve | Jun-2020 | E0M0 | Friday, June 12, 2020 | Jun-2021 | Monday, June 14, 2021 | |
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