A Quick Reference Guide to
SOFR options
SOFR options (SR3) are designed to replicate the entire Eurodollar (ED) options
product suite, including all expirations in serial and quarterly options along withall Mid-Curve and weekly Mid-Curve options.

Relevant symbols
SOFR OPTIONSTANDARD/WEEKLIESED OPTIONS

3-Month SOFR options

SR3

ED

1-Year Mid-Curve

S0/S01-5

E0/E01-5

2-Year Mid-Curve

S2/S21-5

E2/EE1-5

3-Year Mid-Curve

S3/S31-5

E3/EF1-5

4-Year Mid-Curve

S4E4

5-Year Mid-Curve

S5E5

What is similar between Eurodollar and SOFRoptions?

Expirations:• Strike increments: Same as Eurodollar options with 6.25,
12.5 and 25 bps increments• Standard Quarterly options expirations differ between SR3and ED. SR3 options expire on the Friday before the third
Wednesday of the month, like Mid-Curves and Serial options• Tick increment: Same rules as the Eurodollar options• Listing rules: Same as Eurodollar options• Fees: Same as Eurodollar options, Block fees are the same as
Globex Trades

What is different between Eurodollar andSOFR options:
1.	Quarterly SOFR options expire on the Friday,
like Mid-Curves and Serial options.
2.	Quarterly SOFR options expire into a future thatstill has 3 months to expiration.

SOFR options also have lower block thresholds of 2,500 during RTH,1,250 during ETH, and 625 during ATH• All expirations are the same in Mid-Curves and serial options• Options will always expire in their named month (e.g. March
options will expire in March)• Futures will always expire 3 months after named month(e.g. March futures will expire in June)• Both ED and SR3 represent the same Term

What are the underlying futures of the quarterly SR3 options?
• SR3 quarterly options will exercise into their named SR3 futures contract, for example the March 2022 option will expire on Friday,
March 11, 2022. Exercised and assigned options will result in a March 2022 futures position. The March 22 future doesn’t expire until
June 14, 2022.
OPTION PRODUCTUNDERLYING FUTURE

CONTRACTPRODUCT MONTHSYMBOLCONTRACTOPTION EXPIRY DATE MONTH
EXPIRY DATEUNDERLYING
TERM

SOFR

Serialoptions

Feb-2022

SR3G2Friday, February 11, 2022 Mar-2022

Tuesday, June 14, 2022

March-June 2022EURODOLLAR

Serialoptions

Feb-2022

EDG2

Friday, February 11, 2022 Mar-2022

Monday, March 14, 2022 March-June 2022

SOFR

Quarterly
optionsMar-2022

SR3H2Friday, March 11, 2022

Tuesday, June 14, 2022

EURODOLLAR

Quarterly
optionsMar-2022

EDH2

Monday, March 14, 2022 Mar-2022

Monday, March 14, 2022 March-June 2022

SOFR

1-Yr
Mid-Curve

Mar-2022

S0H2

Friday, March 11, 2022

Mar-2023

Tuesday, June 20, 2023

EURODOLLAR

1-Yr
Mid-Curve

Mar-2022

E0H2

Friday, March 11, 2022

Mar-2023

Monday, March 13, 2023 March-June 2023

Mar-2022

March-June 2022

March-June 2023

Can you trade spreads between SOFR andEurodollar options?

What are the block levels?

Yes, we support all spreads between SOFR options, SOFR
Mid-Curve options, Eurodollar, and Eurodollar Mid-Curve
options in all three venues (Open Outcry, Globex, and Blocks)

For spreads each leg of the spread must meet the minimum
block threshold.

RTH – 2,500

ETH – 1,250

ATH – 625

Block fees are the same as Globex trades, there is no
additional cost.

What are the vendor symbols?
CME GLOBEX /OPEN OUTCRYBLOOMBERG

CQG

REUTERS GLOBEXRICREUTERS COMPOSITERICTT

STANDARD QUARTERLY/SERIAL OPTIONSSR3SFRSOFRSR31SRASRA

SR31-YEAR MID-CURVE OPTIONSS00QSOFRS01SN

SN

S02-YEAR MID-CURVE OPTIONSS22QSOFRS21SLSL

S23-YEAR MID-CURVE OPTIONSS33QSOFRS31SQ

SQ

S34-YEAR MID-CURVE OPTIONSS44QSOFRS41SHSH

S45-YEAR MID-CURVE OPTIONSS55QSOFRS51SESES5To learn more about SOFR options, visit cmegroup.com/sofroptions
cmegroup.com
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