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Options on One-Month SOFR Futures Contract Specs

CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. One-Month SOFR futures (SR1) are cash settled and based on the arithmetic average of daily SOFR values during the contract delivery month. 

Options
Contract Unit 1 One-Month SOFR futures contract
Minimum Price Fluctuation One-quarter of one basis point (0.0025) = $10.4175 per contract
Price Quotation U.S. dollars and cents per index point
Trading Hours CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET)
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Open Outcry: Monday - Friday 7:20 AM - 2:00 PM CT
Product Code CME Globex: SR1
CME ClearPort: SR1
Open Outcry: S1O
Clearing: SR1
Listed Contracts Monthly contracts listed for 4 consecutive months
Termination Of Trading Trading terminates on the last business day of the contract month.
Position Limits CME Position Limits
Exchange Rulebook CME 461A
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Strike prices will be listed in increments of 6.25 basis points (0.0625) and 12.5 basis points (0.1250). The following strike prices in increments of 6.25 basis points will be listed: the at-the-money strike price closest to the current futures price plus the next ten consecutive higher and the next ten consecutive lower strike prices. Above and below this band, the following strike prices in increments of 12.5 basis points shall be listed: the next five (5) consecutive higher and the next five (5) consecutive lower strike prices.
Exercise Style American Style.  Option may be exercised by purchaser on any day that option is traded.  Option purchaser’s clearing member firm must notify CME Clearing of intention to exercise no later than 5:30 p.m. on day of exercise.  All expiring options outstanding and unexercised at Termination of Trading shall expire at 5:30 p.m. on Last Day of Trading and, absent contrary instruction, shall be automatically exercised.
Settlement Method Deliverable
Underlying One-Month SOFR Futures

More on SOFR

Learn about SOFR futures and stay informed of developments within the broader ecosystem including the latest cash issuance tied to SOFR.

CME SOFR Futures

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