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

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

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

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