Chapter 460A
Options on Three-Month SOFR Futures
460A00.

SCOPE OF CHAPTER
This chapter is limited in application to options on Three-Month SOFR futures (“options”). In addition
to this chapter, options shall be subject to the general rules and regulations of the Exchange insofar
as applicable.
Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

460A01.

OPTION CHARACTERISTICS
460A01.A. Contract Months and Trading Hours
Options shall be listed for expiration on such dates and shall be scheduled for trading during such
hours as may be determined by the Exchange.
460A01.B. Trading Unit
The trading unit shall be an option to buy in the case of the call, or to sell in the case of the put, one
Three-Month SOFR futures contract (Chapter 460) (“futures” or “futures contract”).
460A01.C. Minimum Fluctuations
The price of an option shall be quoted in IMM Index points corresponding to such option’s underlying
futures contract (Rule 460A01.D.). Pursuant to Rules 46002.C., each 0.01 IMM Index point signifies
one (1) basis point per annum of interest rate exposure in such underlying futures contract’s Trading
Unit (Rule 46002.B.) and is equal to $25 per option contract. Accordingly, for example, an option
contract price of 0.35 IMM Index points represents $875 (equal to 35 basis points x $25 per basis
point per option contract).
Minimum price fluctuations shall be as follows –1. Quarterly Standard Options (Rule 460A01.D.1.) Expiring in the Nearest March Quarterly
Month
Where such options are for the next nearest monthly option expiration date, the minimum pricefluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option contract).
Where such options are not for the next nearest monthly option expiration date, then:
Where any such option trades outright at a premium not greater than 0.05 IMM Index points,
the minimum price fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option
contract).
Where any such option trades outright at a premium greater than 0.05 IMM Index points,
the minimum price fluctuation shall be 0.005 IMM Index points (equal to $12.50 per option
contract).
2. Quarterly Standard Options (Rule 460A01.D.1.) Expiring in the Second-Nearest March
Quarterly Month, Serial Standard Options (Rule 460A01.D.2.), and Monthly Options (Rules
460A01.D.8 and 460A01.D.9)
Where any such option trades outright at a premium not greater than 0.05 IMM Index points, theminimum price fluctuation shall be 0.0025 IMM Index points (equal to $6.25 per option contract).
Where any such option trades outright at a premium greater than 0.05 IMM Index points, the minimum
price fluctuation shall be 0.005 IMM Index points (equal to $12.50 per option contract).
3. All Other Quarterly Standard Options (Rule 460A01.D.1.) and All Other Mid-Curve Options(Rules 460A01.D.3. through 460A01.D.7., 460A01.D.9., and 460A01.D.10.)
For all Quarterly Standard options other than those that expire in the nearest March Quarterly monthor the second-nearest March Quarterly month, and for all Mid-Curve options other than Three-Month

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Mid-Curve options, the minimum price fluctuation shall be 0.005 IMM Index points (equal to $12.50
per option contract), provided that trade may occur at a price level of 0.0025 IMM Index point (equal
to $6.25 per option contract), whether or not such trade results in liquidation of positions for bothparties to such trade.
4. Option Spreads and Combinations
All option spreads and combinations shall trade in minimum price increments of 0.005 IMM Index
points, subject to the following exceptions:(a) An option spread or combination may trade in minimum price increments of 0.0025
IMM Index points if (i) such option spread or combination comprises only QuarterlyStandard Options Expiring in the Nearest March Quarterly Month (Rule 460A01.C.1.),and (ii) all option contracts that are components of such spread or combination are forthe nearest monthly option expiration date.
(b) An option spread or combination may trade in minimum price increments of 0.0025
IMM Index points if such option spread or combination (i) trades at a net premium notgreater than 0.05 IMM Index points and not less than -0.05 IMM Index points and (ii)comprises only such options as are specified in Rule 460A01.C.1. and/or Rule
460A01.C.2.
For the avoidance of doubt, any option spread or combination that comprises one or more options
specified in Rule 460A01.C.3. shall trade in minimum price increments of 0.005 IMM Index points.
For the purpose of Rule 813 for Settlement Prices, the minimum price fluctuation for all options shallbe 0.0025 IMM Index point (equal to $6.25 per option contract).
Where the price of an option is quoted in volatility terms, the minimum fluctuation shall be 0.05
percent.
460A01.D. Underlying Futures Contracts
1. Options in the March Quarterly Cycle (“Quarterly Standard Options”)
For options that expire in any month in the March quarterly cycle (i.e., March, June, September, andDecember), excluding those Mid-Curve or Monthly options specified in Paragraphs 3, 4, 5, 6, 7, 8, or
9 of this Rule, the underlying futures contract is the futures contract for which the contract Reference
Quarter (Rule 46003.A.1.) begins on the third Wednesday of the month in which such options expire.
Example: For a given year, the underlying futures contract for an option that expires inMarch is the futures contract for which the contract Reference Quarter begins on (andincludes) the third Wednesday of March and ends on (and does not include) the third
Wednesday of June.
2. Options Not in the March Quarterly Cycle (“Serial Standard Options”)
For options that expire in any month not in the March quarterly cycle, (i.e., January, February, April,May, July, August, October, and November), excluding those Mid-Curve or Monthly options specified
in Paragraphs 3, 4, 5, 6, 7, 8, or 9 of this Rule, the underlying futures contract is the futures contract
for which the contract Reference Quarter (Rule 46003.A.1.) begins on the third Wednesday of thenext month in the March quarterly cycle that is nearest the expiration of such options.
Example: For a given year, the underlying futures contract for an option that expires ineither January or February is the futures contract for which the contract Reference Quarter
begins on (and includes) the third Wednesday of March and ends on (and does not include)
the third Wednesday of June.
3. One-Year Mid-Curve Options
One-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly One-Year Mid-Curve
Options”)
For One-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying
futures contract is the futures contract for which the contract Reference Quarter (Rule 46003.A.1.)
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begins on the third Wednesday of the 12th calendar month following the month in which such options
expire.
Example: The underlying futures contract for the Quarterly One-Year Mid-Curve options
that expire in September of a given year is the futures contract for which the contract
Reference Quarter begins on (and includes) the third Wednesday of September one (1)year hence and ends on (and does not include) the third Wednesday of December one (1)year hence.
One-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial One-Year Mid-Curve
Options”)
For One-Year Mid-Curve Options that expire in any month other than those in the March quarterly
cycle, the underlying futures contract is the futures contract for which the contract Reference Quarter(Rule 46003.A.1.) begins on the third Wednesday of the 12th calendar month following the next March
quarterly month that is nearest to the expiration of such options.
Example: The underlying futures contract for the Serial One-Year Mid-Curve options that
expire in April or May of a given year is the futures contract for which the contract Reference
Quarter begins on (and includes) the third Wednesday of June one (1) year hence and ends
on (and does not include) the third Wednesday of September one (1) year hence.
Weekly One-Year Mid-Curve Options
For Weekly One-Year Mid-Curve Options, the underlying futures contract is the futures contract for
which the contract Reference Quarter (Rule 46003.A.1.) begins on the third Wednesday of the 12th
calendar month following the next March quarterly month that is nearest to the expiration of such
options.
4. Two-Year Mid-Curve Options
Two-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Two-Year Mid-Curve
Options”)
For Two-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying
futures contract is the futures contract for which the contract Reference Quarter (Rule 46003.A.1.)
begins on the third Wednesday of the 24th calendar month following the month in which such options
expire.
Example: The underlying futures contract for the Quarterly Two-Year Mid-Curve options
that expire in September of a given year is the futures contract for which the contract
Reference Quarter begins on (and includes) the third Wednesday of September two (2)years hence and ends on (and does not include) the third Wednesday of December two (2)years hence.
Two-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Two-Year Mid-Curve
Options”)
For Two-Year Mid-Curve Options that expire in any month other than those in the March quarterly
cycle, the underlying futures contract is the futures contract for which the contract Reference Quarter(Rule 46003.A.1.) begins on the third Wednesday of the 24th calendar month following the next March
quarterly month that is nearest to the expiration of such options.
Example: The underlying futures contract for the Serial Two-Year Mid-Curve options that
expire in April or May of a given year is the futures contract for which the contract Reference
Quarter begins on (and includes) the third Wednesday of June two (2) years hence andends on (and does not include) the third Wednesday of September two (2) year hence.
Weekly Two-Year Mid-Curve Options
For Weekly Two-Year Mid-Curve Options, the underlying futures contract is the futures contract for
which the contract Reference Quarter (Rule 46003.A.1.) begins on the third Wednesday of the 24 thcalendar month following the next March quarterly month that is nearest to the expiration of such
options.
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5. Three-Year Mid-Curve Options
Three-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Three-Year Mid-Curve
Options”)
For Three-Year Mid-Curve options that expire in any month in the March quarterly cycle, theunderlying futures contract is the futures contract for which the contract Reference Quarter (Rule46003.A.1.) begins on the third Wednesday of the 36 th calendar month following the month in whichsuch options expire.
Example: The underlying futures contract for the Quarterly Three-Year Mid-Curve options
that expire in September of a given year is the futures contract for which the contract
Reference Quarter begins on (and includes) the third Wednesday of September three (3)years hence and ends on (and does not include) the third Wednesday of December three(3) years hence.
Three-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Three-Year Mid-Curve
Options”)
For Three-Year Mid-Curve Options that expire in any month other than those in the March quarterly
cycle, the underlying futures contract is the futures contract for which the contract Reference Quarter(Rule 46003.A.1.) begins on the third Wednesday of the 36th calendar month following the next March
quarterly month that is nearest to the expiration of such options.
Example: The underlying futures contract for the Serial Three-Year Mid-Curve options that
expire in April or May of a given year is the futures contract for which the contract Reference
Quarter begins on (and includes) the third Wednesday of June three (3) years hence andends on (and does not include) the third Wednesday of September three (3) year hence.
Weekly Three-Year Mid-Curve Options
For Weekly Three-Year Mid-Curve Options, the underlying futures contract is the futures contract for
which the contract Reference Quarter (Rule 46003.A.1.) begins on the third Wednesday of the 36 th
calendar month following the next March quarterly month that is nearest to the expiration of such
options.
6. Four-Year Mid-Curve Options
Four-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Four-Year Mid-Curve
Options”)
For Four-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying
futures contract is the futures contract for which the contract Reference Quarter (Rule 46003.A.1.)
begins on the third Wednesday of the 48th calendar month following the month in which such options
expire.
Example: The underlying futures contract for the Quarterly Four-Year Mid-Curve options
that expire in September of a given year is the futures contract for which the contract
Reference Quarter begins on (and includes) the third Wednesday of September four (4)years hence and ends on (and does not include) the third Wednesday of December four (4)years hence.
Four-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Four-Year Mid-Curve
Options”)
For Four-Year Mid-Curve Options that expire in any month other than those in the March quarterly
cycle, the underlying futures contract is the futures contract for which the contract Reference Quarter(Rule 46003.A.1.) begins on the third Wednesday of the 48th calendar month following the next March
quarterly month that is nearest to the expiration of such options.
Example: The underlying futures contract for the Serial Four-Year Mid-Curve options that
expire in April or May of a given year is the futures contract for which the contract Reference
Quarter begins on (and includes) the third Wednesday of June four (4) years hence andends on (and does not include) the third Wednesday of September four (4) year hence.
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7. Five-Year Mid-Curve Options
Five-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Five-Year Mid-Curve
Options”)
For Five-Year Mid-Curve options that expire in any month in the March quarterly cycle, the underlying
futures contract is the futures contract for which the contract Reference Quarter (Rule 46003.A.1.)
begins on the third Wednesday of the 60th calendar month following the month in which such options
expire.
Example: The underlying futures contract for the Quarterly Five-Year Mid-Curve options
that expire in September of a given year is the futures contract for which the contract
Reference Quarter begins on (and includes) the third Wednesday of September five (5)years hence and ends on (and does not include) the third Wednesday of December five (5)years hence.
Five-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Five-Year Mid-Curve
Options”)
For Five-Year Mid-Curve Options that expire in any month other than those in the March quarterly
cycle, the underlying futures contract is the futures contract for which the contract Reference Quarter(Rule 46003.A.1.) begins on the third Wednesday of the 60th calendar month following the next March
quarterly month that is nearest to the expiration of such options.
Example: The underlying futures contract for the Serial Five-Year Mid-Curve options that
expire in April or May of a given year is the futures contract for which the contract Reference
Quarter begins on (and includes) the third Wednesday of June five (5) years hence andends on (and does not include) the third Wednesday of September five (5) year hence.
8. Monthly Options - Nearby Quarterly
For Monthly Options - Nearby Quarterly, each options contract has three underlying futures contracts.
The first of three underlying futures contracts is the futures for which the contract Reference Quarter(Rule 46003.A.1) begins on the third Wednesday of the third calendar month following the quarterly
month whose reference quarter begins on the third Wednesday of the quarterly month immediately
after the expiration of such options.
The second of three underlying futures contracts is the futures for which the contract Reference
Quarter (Rule 46003.A.1) begins on the third Wednesday of the sixth calendar month following thequarterly month whose reference quarter begins on the third Wednesday of the quarterly month
immediately after the expiration of such options.
The third of three underlying futures contracts is the futures for which the contract Reference Quarter(Rule 46003.A.1) begins on the third Wednesday of the ninth calendar month following the quarterly
month whose reference quarter begins on the third Wednesday of the quarterly month immediately
after the expiration of such options.
Example: The first of three underlying futures contracts for the Monthly Options - Nearby
Quarterly that expire in March of a given year is the futures contract futures for which thecontract Reference Quarter begins on (and includes) the third Wednesday of the following
June and ends on (and does not include) the third Wednesday of the following September.
The second of three underlying futures contracts for the Monthly Options - Nearby Quarterlythat expire in March of a given year is the futures contract futures for which the contract
Reference Quarter begins on (and includes) the third Wednesday of the following
September and ends on (and does not include) the third Wednesday of the following
December.

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The third of three underlying futures contracts for the Monthly Options - Nearby Quarterlythat expire in March of a given year is the futures contract futures for which the contract
Reference Quarter begins on (and includes) the third Wednesday of the following December
and ends on (and does not include) the third Wednesday of the following March.
9. Monthly Options - Deferred Quarterly
For Monthly Options - Deferred Quarterly, each options contract has three underlying futurescontracts.
The first of three underlying futures contracts is the futures for which the contract Reference Quarter(Rule 46003.A.1) begins on the third Wednesday of the fifteenth calendar month following thequarterly month whose reference quarter begins on the third Wednesday of the quarterly month
immediately after the expiration of such options.
The second of three underlying futures contracts is the futures for which the contract Reference
Quarter (Rule 46003.A.1) begins on the third Wednesday of the eighteenth calendar month following
the quarterly month whose reference quarter begins on the third Wednesday of the quarterly month
immediately after the expiration of such options.
The third of three underlying futures contracts is the futures for which the contract Reference Quarter(Rule 46003.A.1) begins on the third Wednesday of the twenty-first calendar month following thequarterly month whose reference quarter begins on the third Wednesday of the quarterly month
immediately after the expiration of such options.
Example: The first of three underlying futures contracts for the Monthly Options - Deferred
Quarterly that expire in March of a given year is the futures contract futures for which thecontract Reference Quarter begins on (and includes) the third Wednesday of the following
June one year hence and ends on (and does not include) the third Wednesday of thefollowing September one year hence.
The second of three underlying futures contracts for the Monthly Options - Deferred
Quarterly that expire in March of a given year is the futures contract futures for which thecontract Reference Quarter begins on (and includes) the third Wednesday of the following
September one year hence and ends on (and does not include) the third Wednesday of thefollowing December one year hence.
The third of three underlying futures contracts for the Monthly Options - Deferred Quarterlythat expire in March of a given year is the futures contract futures for which the contract
Reference Quarter begins on (and includes) the third Wednesday of the following December
one year hence and ends on (and does not include) the third Wednesday of the following
March one year hence.
460A01.E. Exercise Prices
1. Twenty-Five Point Exercise Prices
For options for a given expiration date that are exercisable into a given underlying futures contract,
exercise prices shall be stated in terms of the IMM Index for such underlying futures contract andshall be stated in intervals whose last two digits are 00, 25, 50, or 75 ("twenty-five point exercise
prices") for all IMM Index levels, e.g., 88.00, 88.25, 88.50, 88.75.
The Exchange shall list put and call options for trading at the exercise price that is nearest theprevious day's settlement price of such underlying futures contract (“at-the-money exercise price”)
and at all eligible exercise prices in a range from 5.50 IMM Index points above to 5.50 IMM Index
points below such at-the-money exercise price. Thereafter until termination of trading in such
options, the Exchange shall ensure that put and call options are listed for trading on each day at all
eligible exercise prices in a range from 5.50 IMM Index points above to 5.50 IMM Index points below
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Page 6 of 8the at-the-money exercise price for such underlying futures contract. New options may be listed for
trading up to and including the termination of trading.
2. Special Listings of 12.5 Point Exercise Prices
For options for a given expiration date that are exercisable into a given underlying futures contract,with the exception of certain option expiries with 6.25 Point Exercise Prices (Rule 460A01.E.3.),
additional exercise prices shall be stated in intervals whose last three digits are 12.5, 37.5, 62.5, or
87.5 ("12.5 point exercise prices") for all IMM Index levels, e.g., 93.125, 93.375, 93.625, 93.875.
The Exchange shall ensure that put and call options are listed for trading on each day at all such
12.5 point exercise prices in a range from 1.50 IMM Index points above to 1.50 IMM Index points
below the at-the-money exercise price for such underlying futures contract.
3. Special Listings of 6.25 Point Exercise Prices
From time to time as determined by the Exchange, additional exercise prices for selected expiries
will be made available in intervals whose last four digits are 06.25, 12.50, 18.75, 31.25, 37.50, 43.75,
56.25, 62.50, 68.75, 81.25, 87.50, or 93.75 ("6.25 point exercise prices") for all IMM Index levels,
e.g., 93.0625, 93.1250, 93.1875, 93.3125, 93.3750, 93.4375, 93.5625, 93.6250, 93.6875, 93.8125,
93.8750, 93.9375.
Until termination of trading in such options, the Exchange shall ensure that put and call options arelisted for trading on each day at all such 6.25 point exercise prices in a range from 1.50 IMM Index
points above to 1.50 IMM Index points below the at-the-money exercise price for such underlying
futures contract.
4. Dynamically-Listed Exercise Prices
Upon demand and at the discretion of the Exchange, a new option contract with an out-of-currentrange exercise price may be added, on an as-soon-as-possible basis, provided that the last two digitsof the exercise price of such newly added option contract must be 00, 25, 50, or 75 (e.g., 88.00,
88.25, 88.50, 88.75).
The Exchange may modify the provisions governing the establishment of exercise prices as it deems
appropriate.
460A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, are set
forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations& Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shall apply
to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation
Department may grant qualified exemptions in its sole discretion. Refer to Rule 559 for requirements
concerning the aggregation of positions and allowable exemptions from the specified position limits.
460A01.G.-I. [Reserved]
460A01.J. Termination of Trading
1. All Options Excluding Weekly Mid-Curve Options
Trading in any Quarterly Standard Option, Serial Standard Option, Quarterly Mid-Curve Option,
Serial Mid-Curve Option, or Monthly Options shall terminate at the close of trading on the Friday
preceding the third Wednesday of the month in which such option expires. If such Friday is ascheduled Exchange holiday, then trading shall terminate on the immediately preceding BusinessDay. In the event that the underlying futures market for such option does not open on the dayscheduled for termination of trading in such option, then trading in such option shall be extended to
the next day on which the underlying futures market is open for trading.
2. Weekly Mid-Curve Options

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Trading in Weekly Mid-Curve options shall terminate at the close of trading on any Friday that is notalso scheduled for termination of trading in Quarterly Mid-Curve Options or Serial Mid-Curve Options.
If such Friday is a scheduled Exchange holiday, then trading shall terminate on the immediately
preceding Business Day. In the event that the underlying futures market for such option does notopen on the day scheduled for termination of trading in such option, then trading in such option shallbe extended to the next day on which the underlying futures market is open for trading.
460A01.K. [Reserved]

460A02.

EXERCISE AND ASSIGNMENTIn addition to the applicable procedures and requirements of Chapter 7, the following shall apply tothe exercise of SOFR options.
460A02.A. Exercise of Option by Buyer
An option may be exercised by the buyer on any Business Day that the option is traded. To exercise
an option, the clearing member representing the buyer shall present an exercise notice to theClearing House by 5:30 p.m. on the day of exercise.
An option that is in the money and has not been liquidated or exercised prior to the termination of
trading in such option shall be exercised automatically, in the absence of contrary instructionsdelivered to the Clearing House no later than 5:30 p.m. on the last day of trading by the clearing
member representing the option buyer. An option is in the money if the settlement price of theunderlying futures contract at the termination of trading lies strictly above the exercise price in thecase of a call, or lies strictly below the exercise price in the case of a put.
460A02.B. Assignment
Exercise notices accepted by the Clearing House shall be assigned through a process of random
selection to clearing members with open short positions in the same series. A clearing member towhich an exercise notice is assigned shall be notified thereof as soon as practicable after such notice
is assigned by the Clearing House, but not later than 45 minutes before the opening of RegularTrading Hours in the underlying futures contract on the following Business Day.
The clearing member assigned an exercise notice shall be assigned a short position in the underlying
futures contract if a call is exercised or a long position if a put is exercised. The clearing member
representing the option buyer shall be assigned a long position in the underlying futures contract if acall is exercised and a short position if a put is exercised. All such futures positions shall be assigned
at a price equal to the exercise price of the option and shall be marked to market in accordance with
Rule 814 on the Trading Day of acceptance by the Clearing House of the exercise notice.

460A03.

[RESERVED](End Chapter 460A)

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