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Six-Month Mid-Curve 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 One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet price equals one-quarter of one basis point (0.0025 = $6.25)
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 - 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)
Open Outcry:  Monday – Friday 7:20 AM to 2:00 PM
Product Code CME Globex: TS3
CME ClearPort: TS3
Open Outcry: TS3
Clearing: TS3
Listed Contracts Contracts listed for 1 March quarterly (H/M/U/Z) and 2 Serial Months (F/G/J/K/N/Q/V/X)
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 will be listed in intervals of 12.5 basis points (0.125 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.
Exercise Style Options are American Style and are exercised by notifying the Clearing House by 7:00 p.m. CT on the day of exercise. Unexercised options shall expire at 7:00 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

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CME SOFR Futures

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