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Options on Three-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. Three-Month SOFR futures are cash settled and based on a business-day compounded SOFR per annum during contract Reference Quarter. 

Options
Minimum Price Fluctuation Nearest quarterly month:
If nearest quarterly option is nearest to expiry:
1/4 of 0.01 IMM index points (0.0025 = $6.25)
If nearest quarterly option is not nearest to expiry:
1/4 of 0.01 IMM index points (0.0025 = $6.25)
for option premium ≤ 0.05 IMM index points
1/2 of 0.01 IMM index points (0.005 = $12.50)
for option premium < 0.05 IMM index points

Second-nearest quarterly month:
1/4 of 0.01 IMM index points (0.0025 = $6.25)
for option premium ≤ 0.05 IMM index points
1/2 of 0.01 IMM index points (0.005 = $12.50)
for option premium < 0.05 IMM index points

All other quarterly months:
1/2 of 0.01 IMM index points (0.005 = $12.50)
CAB: 1/4 of 0.01 IMM index points (0.0025 = $6.25)

Serial months:
1/4 of 0.01 IMM index points (0.0025 = $6.25)
for option premium ≤ 0.05 IMM index points
1/2 of 0.01 IMM index points (0.005 = $12.50)
for option premium < 0.05 IMM index points
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: MON - FRI: 7:20 a.m. - 2:00 p.m.
Product Code CME Globex: SR3
CME ClearPort: SR3
Open Outcry: S3O
Clearing: SR3
Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 16 consecutive quarters and the 4 nearest serial monthly contracts
Termination Of Trading Trading terminates on the Friday before the 3rd Wednesday of the contract month.
Position Limits CME Position Limits
Exchange Rulebook CME 460A
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Strike prices for the first 6 option (4 serial and 2 quarterly) months will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract. Strike prices will be listed in intervals of 25 basis points (0.25 price points) in a range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.

All other options ( Back 14 quarterlies) will be listed in intervals of 12.5 basis points (0.125) in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. Strike prices will be listed in intervals of 25 basis points (0.25) in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price.
Exercise Style Options are American Style and are exercised by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options shall expire at 5:30 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions.
Settlement Method Deliverable
Underlying Three-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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