THREE-YEAR MID-CURVE OPTIONS ON THREE-MONTH SOFR FUTURES - CONTRACT SPECS
| 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 |
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| 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: SR3CME ClearPort: SR3Open Outcry: S3OClearing: 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 8 option (4 serial and 4 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. |
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| 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| 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: S0CME ClearPort: S0Open Outcry: S0Clearing: S0 | ||||
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 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 will be listed in intervals of 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for the first 4 serial and 2 quarterly months. 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. |
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| 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| Trading Hours | CME Globex: | Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT | 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: | 7:20 a.m. - 2:00 p.m. CT |
| Product Code | CME Globex: S01,S02,S03,S04,S05CME ClearPort: S01,S02,S03,S04,S05Open Outcry: S01,S02,S03,S04,S05Clearing: S01,S02,S03,S04,S05 | ||||
| Listed Contracts | Weekly contracts listed for 2 consecutive weeks. No weekly contract listed the same week as the quarterly or serial expiry. | ||||
| Termination Of Trading | Trading terminates each Friday that is not an expiration day for a Quarterly or Serial Option. | ||||
| 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 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for all available contracts 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. |
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| 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| 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: S2CME ClearPort: S2Open Outcry: S2Clearing: S2 | ||||
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 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 will be listed in intervals of 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for the first 4 serial and 2 quarterly months. 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. |
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| 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| Trading Hours | CME Globex: | Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT | 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: | 7:20 a.m. - 2:00 p.m. CT |
| Product Code | CME Globex: S21,S22,S23,S24,S25CME ClearPort: S21,S22,S23,S24,S25Open Outcry: S21,S22,S23,S24,S25Clearing: S21,S22,S23,S24,S25 | ||||
| Listed Contracts | Weekly contracts listed for 2 consecutive weeks. No weekly contract listed the same week as the quarterly or serial expiry. | ||||
| Termination Of Trading | Trading terminates each Friday that is not an expiration day for a Quarterly or Serial Option. | ||||
| 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 6.25 basis points (0.0625 price points) for the first150 basis points around the At The Money (ATM) for all available contracts 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. |
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| 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 | ||||
| Minimum Price Fluctuation | One-half of one basis point (0.005 = $12.50) for all contract months, one-quarter of one basis point (0.0025 = $6.25) for premiums less than 5.00. | ||||
| 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: | Open Outcry: Monday – Friday 7:20 AM to 2:00 PM |
| Product Code | CME Globex: TS2CME ClearPort: TS2Open Outcry: TS2Clearing: TS2 | ||||
| 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 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| 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: S3CME ClearPort: S3Open Outcry: S3Clearing: S3 | ||||
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 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 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 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| 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: | 7:20 a.m. - 2:00 p.m. CT |
| Product Code | CME Globex: S31,S32,S33,S34,S35CME ClearPort: S31,S32,S33,S34,S35Open Outcry: S31,S32,S33,S34,S35Clearing: S31,S32,S33,S34,S35 | ||||
| Listed Contracts | Weekly contracts listed for 2 consecutive weeks. No weekly contract listed the same week as the quarterly or serial expiry. | ||||
| Termination Of Trading | Trading terminates each Friday that is not an expiration day for a Quarterly or Serial Option. | ||||
| 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) 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 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| 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: S4CME ClearPort: S4Open Outcry: S4Clearing: S4 | ||||
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 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 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 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 | ||||
| Minimum Price Fluctuation |
Quoted in IMM Index points. One-half of one basis point (0.005 = $12.50) for all contract months. Cabinet prices: Any option may trade at a price of 0.0025 IMM Index points, whether or not such trade results in liquidation of positions for both parties to the trade. |
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| 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: S5CME ClearPort: S5Open Outcry: S5Clearing: S5 | ||||
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 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 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 | ||||
| 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 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 to 2:00 PM |
| Product Code | CME Globex: TS3CME ClearPort: TS3Open Outcry: TS3Clearing: 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 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 | ||||
| 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 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 to 2:00 PM |
| Product Code | CME Globex: TS4CME ClearPort: TS4Open Outcry: TS4Clearing: TS4 | ||||
| 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 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 | ||||
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.
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