SOFR Options

Coming January 6, 2020*

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

SOFR options contract specifications

  • 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

Frequently Asked Questions

 

 

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 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. 

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

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

Vendor codes

  CME Globex / Open Outcry Reuters
Globex RIC
Reuters Composite RIC TT
Standard Quarterly/Serial options SR3 1SRA SRA SR3
1-Year Mid-Curve options S0 1SN SN S0
2-Year Mid-Curve options S2 1SL SL S2
3-Year Mid-Curve options S3 1SQ SQ S3
4-Year Mid-Curve options S4 1SH SH S4
5-Year Mid-Curve options S5 1SE SE S5
Weekly 1-Year Mid-Curve options S01 - S05 1SN1W - 1SN5W SN1W - SN5W S01 - S05
Weekly 2-Year Mid-Curve options S21 - S25 1SL1W - 1SL5W SL1W - SL5W S21 - S25
Weekly 3-Year Mid-Curve options S31 - S35 1SQ1W - 1SQ5W SQ1W - SQ5W S31 - S35
3-Month Mid-Curve options TS2 1T2S T2S TS2
6-Month Mid-Curve options TS3 1TS TS TS3
9-Month Mid-Curve options TS4 1T4S T4S TS4

Expiration date examples: SOFR vs. Eurodollars

  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 Friday, April 10, 2020 Jun-2020 Tuesday, September 15, 2020
Serial Eurodollar options Apr-2020 EDJ0 Friday, April 10, 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 Friday, April 10, 2020 Jun-2021 Tuesday, September 14, 2021
Serial Eurodollar 1-Yr Mid-Curve Apr-2020 E0J0 Friday, April 10, 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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