Trading SOFR Options
Interest Rates
By Jonathan Kronstein

16 D EC 2019

Following the successful launch of SOFR futures on 7 May 2018, liquidity, price discovery, volume and open interestof SOFR futures have developed such that Options on Three-Month SOFR futures are the natural next step in thedevelopment of the SOFR ecosystem. On 6 January 2020, CME launched Options on Three-Month SOFR futures(SOFR Options).1 SOFR Options can be executed on three venues: open outcry, CME Globex, and as a block tradesubmitted via CME ClearPort. Each of these platforms offer customers access to deep and diverse pools of liquidity.
In nearly all respects, the design of SOFR Options mirror Options on Three-Month Eurodollar futures (Eurodollar
Options). This paper provides in-depth descriptions of SOFR Options:• Product Suite• Contract Specifications• Comparing Three-Month SOFR and Eurodollar Futures Volatility• Spreading SOFR and Eurodollar Options
Product Suite
The Option contract listing calendar –generally– is as follows:• Quarterly Standard Options (SR3) expiring in each of the nearest 16 March Quarterly months (March, June,
September, December); Serial Standard Options (SR3) expiring in each of the nearest 4 non-March Quarterly
months (January, February, April, May, July, August, October, November);• Quarterly One-Year (S0) Two-Year (S2), Three-Year (S3), Four-Year (S4), and Five-Year (S5), Mid-Curve Options
expiring in each of the nearest 5 March Quarterly months; Serial One-Year, Two-Year, Three-Year, Four-Year, andFive-Year Mid-Curve Options expiring in each of the nearest 4 non-March Quarterly months; and• Quarterly Three-Month, Six-Month, and Nine-Month Mid-Curve Options expiring in the nearest March Quarterly
month. Serial Three-Month, Six-Month, and Nine-Month Mid-Curve Options expiring in each of the nearest 2 nonMarch Quarterly months; and• Weekly One-Year, Two-Year, and Three-Year Mid-Curve Options expiring on each of the nearest 2 Fridays notscheduled for expiration of Quarterly or Serial Options.

1	Pending completion of all regulatory certification and review periods. See CME Group, Options on Three-Month SOFR Futures Contract Specifications,
22 November 2019, which is available at: https://www.cmegroup.com/trading/interest-rates/stir/three-month-sofr_contractSpecs_options.html

2© 2022 CME Group. All rights reserved.

Please refer to the table (Exhibit 1) below for the complete array of SOFR Options, including commodity codes andunderlying futures contract months.
Exhibit 1 – Available Options on Three-Month SOFR Futures (SR3)OPTION EXPIRATION QUARTER

S4
S4

Jun-26UNDERLYING FUTURE

Dec-25

Sep-25Jun-25

3-Year Midcurves(5 quarterlies, 4 serials, 2 weeklies)

Mar-25

S3

Dec-25

4-Year Midcurves(5 quarterlies, 4 serials)

Sep-24Jun-24Mar-24

Dec-23

Sep-23

S5

Sep-26
S4
S4

Dec-25

S3

Sep-25SR3

S3

Jun-25

SR3

S3

SR3

S3

S2

Dec-242-Year Midcurves(5 quarterlies, 4 serials, 2 weeklies)

SR3

S2

Sep-24

SR3

S2

Jun-24Mar-24

S4

S5

Dec-26Mar-25

5-Year Midcurves(5 quarterlies, 4 serials)

S5

Jun-27Mar-26

S5
S5

Sep-27Mar-27

Jun-23

Dec-27Mar-23

Dec-22

Sep-22Jun-22Mar-22Mar-28

SR3

S2

SR3

S2

S0

Dec-23S0

Sep-23

1-Year Midcurves(5 quarterlies,
4 serials,
SR32 weeklies)

S0

Jun-23S0

Dec-22TS4

Sep-22TS3

Jun-22TS2

Mar-22SR3SR3 Options(16 quarterlies, 4 serials)

SR3

S0

Mar-23

SR3

SR3
SR3
SR3
SR3

Term Mid-Curves
on second, third, and fourth quarterly futures

SR3

Dec-25

Sep-25Jun-25Mar-25

Dec-25

Sep-24Jun-24Mar-24

Dec-23

Sep-23Jun-23Mar-23

Dec-22

Sep-22Jun-22Mar-22OPTION EXPIRATION QUARTER
Underlying futures contract months identified by Month-Year and Strip color in column on vertical axis

© 2022 CME Group. All rights reserved.

3

Contract Specifications
Exhibit 2 summarizes contract specifications. In general, the range of products comprised within the Option productsuite, the corresponding listing calendars, and the Option contract features closely mimic the CME’s extant suiteof Eurodollar Options. As discussed below, noteworthy differences will be the schedule for termination of trading in
expiring Options, conventions for designation of an Option’s underlying instrument.
Exhibit 2 – Contract Specifications for Options on CME Three-Month SOFR Futures (All times of day are Central time.)
UNDERLYINGINSTRUMENT

Each Option is exercisable into one (1) specified CME Three-Month SOFR futures contract.
Quarterly Standard Options: March Quarterly months (Mar, Jun, Sep, Dec)
Serial Standard Options: Non-March Quarterly months (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)

EXPIRIES

Quarterly One-, Two-, Three-, Four-, and Five-Year Mid-Curve Options: March Quarterly months
Serial One-, Two-, Three-, Four-, and Five-Year Mid-Curve Options: Non-March Quarterly months
Weekly One-, Two-, and Three-Year Mid-Curve Options: Specified Fridays
Quarterly Three-, Six-, and Nine-Month Mid-Curve Options: March Quarterly months
Serial Three-, Six-, and Nine-Month Mid-Curve Options: Non-March Quarterly months

EXERCISE PRICEARRAYSFor options expiring on a given date, for exercise into a given Underlying Instrument, exercise prices at all
integer multiples of 0.25 Underlying Instrument price points (“points” or “price points”) from 5.50 points above to
5.50 points below current at-the-money exercise price, and at all integer multiples of 0.125 points from 1.50
points above to 1.50 points below current at-the-money exercise price.
At-the-money exercise price is the Option exercise price closest to previous daily settlement price of theoption’s Underlying Instrument.
Quoted in Underlying Instrument price points, at $2,500 per point per Option contract, as follows:
Outright – Quarterly Standard Options expiring in nearest March Quarterly Month0.0025 points ($6.25 per contract) if Option is for nearest monthly Option expiration date, else
0.0025 points ($6.25 per contract) if Option premium is not greater than 0.05 points, and
0.005 points ($12.50 per contract) if Option premium is greater than 0.05 points.
Outright – Quarterly Standard Options expiring in second-nearest March Quarterly Month, Serial Standard
Options, and all Three-Month Mid-Curve Options

MINIMUM
OPTION PREMIUM
INCREMENT

0.0025 points ($6.25 per contract) if Option premium is not greater than 0.05 points, and
0.005 points ($12.50 per contract) if Option premium is greater than 0.05 points.
Outright – All other Quarterly Standard Options, and all other Mid-Curve Options
0.005 points ($12.50 per contract), with Cabinet = 0.0025 points ($6.25 per contract).
Option Spreads/Combinations
0.005 points, provided that it is 0.0025 points if:(1) spread/combination comprises only Quarterly Standard Options expiring in nearest March Quarterly month,and any component Option contract is for nearest monthly Option expiration date, or(2) s pread/combination trades at net premium not greater than 0.05 points and not less than -0.05 points, andany component Option contract is a Quarterly Standard Option expiring in nearest or second-nearest
March Quarterly Month, or a Serial Standard Options, or a Three-Month Mid-Curve Option.

TERMINATION OF
TRADING

4

Trading in expiring Options terminates at close of trading – typically 4pm – on Last Day of Trading.
For all Options excluding Weekly Mid-Curve Options, Last Day of Trading is the Friday preceding the 3rd
Wednesday of Option expiry month. For Weekly Mid-Curve Options, Last Day of Trading is any Friday notscheduled for expiration of any Quarterly Standard Option or Serial Standard Option.

© 2022 CME Group. All rights reserved.

OPTION
EXERCISEPOSITIONACCOUNTABILITYANDREPORTABILITY

TRADING HOURS
AND VENUE

American Style. Option may be exercised by purchaser on any day that Option is traded. Option purchaser’s
clearing member firm must notify CME Clearing of intention to exercise no later than 5:30 p.m. on day of
exercise. All expiring Options outstanding and unexercised at Termination of Trading shall expire at 5:30 p.m.
on Last Day of Trading and, absent contrary instruction, shall be automatically exercised.
Reportability threshold:
850 contracts for Quarterly Standard Options and Serial Standard Options, and 25 contracts for all other.
Single-Month and All-Month Accountability thresholds: 10,000 contracts.
Open Outcry: 7:20am to 2pm, Mon-Fri
CME Globex: 5pm to 4pm, Sun-Fri.
Options shall trade on and according to the rules of Chicago Mercantile Exchange, pending certification ofcontract terms and conditions with the US Commodity Futures Trading Commission.

CME GLOBEXALGORITHM

Threshold Pro-Rata with Lead Market Maker (LMM) (Q Algorithm).
Top Order Allocation = 25%. Top Order Min = 50 contracts. Top Order Max = 1,500 contracts.

BLOCK TRADEMINIMA

625 contracts in Asian Trading Hours (4pm–12am, Mon-Fri on Business Days and at all weekend times)
1,250 contracts in European Trading Hours (12am– 7am, Mon-Fri on Business Days)
2,500 contracts in Regular Trading Hours (7am–4pm, Mon-Fri on Business Days)
Quarterly Standard Options and Serial Standard Options: SR3
Three-Month Mid-Curve Options: TS2
Six-Month Mid-Curve Options: TS3
Nine-Month Mid-Curve Options: TS4

COMMODITY
CODE

One-Year Mid-Curve Options: S0 (“S zero”)
Weekly One-Year Mid-Curve options: S01, S02, S03, S04, S05 (“S zero one” … )Two-Year Mid-Curve Options: S2
Weekly Two-Year Mid-Curve Options: S21, S22, S23, S24, S25
Three-Year Mid-Curve Options: S3
Weekly Three-Year Mid-Curve Options: S31, S32, S33, S34, S35
Four-Year Mid-Curve Options: S4
Five-Year Mid-Curve Options: S5

Termination of Trading
Termination of trading in any expiring Option is scheduled to occur at close of trading on a specified Friday. For any
Quarterly Standard, Serial Standard, Quarterly Mid-Curve, or Serial Mid-Curve Option, for instance, this typically is theclose of CME Globex trading on the Friday before the third Wednesday of the Option’s designated month of expiry.
In the case of Quarterly Standard Options, this contrasts to Quarterly Standard options on CME Three-Month
Eurodollar futures, for which termination of trading in any option is scheduled to coincide with termination of tradingin the corresponding underlying Three-Month Eurodollar futures contract (scheduled at 11am London time, generally
5am Chicago time, on the Monday before the third Wednesday of the contract month specified for both the options
and the underlying futures).

© 2022 CME Group. All rights reserved.

5Underlying Instrument
Each Option is exercisable into a specified CME Group Three-Month SOFR futures (“futures”) contract. The schedule offutures contract critical dates plays a pivotal role in determining which futures contract is designated to serve as the
Option’s underlying instrument.
To see how, consider a hypothetical future that comes to final settlement in December. Its final settlement priceis determined on the basis of the rate per annum of daily compounded SOFR interest (in accordance with CME
Rule 46003.A.) during the futures contract’s Reference Quarter, the interval beginning on (and including) the third
Wednesday of the previous September and ending on (and excluding) the third Wednesday of December. In thenomenclature used by the Exchange to describe its Three-Month SOFR futures listings, this hypothetical futurescontract would be referenced as a “September” contract (ie, in terms of the month in which its Reference Quarter
begins) and not as a “December” contract.
Crucially, any Option will be associated with its underlying futures contract in terms of the month in which the futurescontract Reference Quarter begins. It follows that any Option is exercisable into a futures contract with at least
three months of remaining term to final settlement beyond such Option’s expiration date:• A Serial Standard Option (as summarized in Exhibit 2) scheduled to expire in October or November is specified toexercise into the “December” futures contract for which the Reference Quarter starts on (and includes) the third
Wednesday of December and ends on (and excludes) the third Wednesday of the following March.
• A Serial Standard Option scheduled to expire in the preceding July or August is exercisable into the “September”
futures contract for which the Reference Quarter starts on (and includes) the third Wednesday of September andends on (and excludes) the third Wednesday of December.
• A Quarterly Standard Option (as summarized in Exhibit 2) scheduled to expire in September also is specified forexercise into the “September” futures contract for which the Reference Quarter spans from third Wednesday of
September to third Wednesday of December.
By contrast, the adjacent Quarterly Standard option on CME Group Three-Month Eurodollar futures scheduled to
expire in September, would be exercisable into the expiring September Three-Month Eurodollar futures contract,which comes to final settlement on the same day as the option comes to expiration, final exercise, and assignment.

6© 2022 CME Group. All rights reserved.

Both are referenced as “September” contracts, and the interval of interest rate exposure for one is essentiallythe same as for the other. Crucially, the settlement date for the Three-Month Eurodollar future (ED) contract’s
hypothetical three-month term bank funding rate – the third Wednesday of September 2022 – is identical to the startdate of the Three-Month SOFR future (SFR) contract’s Reference Quarter, the period over which daily SOFR interest iscompounded —Sep 2022 ED
Wed, 21 Dec 202
Maturity date for a USD 3–month ICE LIBOR®
for settlement on IMM Wed, 21 Sep 2022

Wed, 21 Sep 2022
IMM Wednesday

91 daysMon, 19 Sep 2022
Last trading day and Final Settlement Day

Sep 2022 SR3Tue, 20 Dec 2022
Last trading day and last day of Reference Quarter91 daysWed, 21 Sep 2022
First day of Reference Quarter

Wed, 21 Dec 2022
Final Settlement Day

Exercise Price Arrays
SOFR Options futures offer exercise prices in increments of 25 basis points (0.25 IMM Index point) , 12.5 basis points (0.125 IMM
Index point) and 6.25 basis points (.0626 IMM Index point)
The exercise prices for the 25 basis point increments are listed daily 550 basis points (5.50 IMM Index points) above and below
the nearest-to-the-money exercise price. For example, assume the prior day’s activity produced a nearest-to-the-money exercise
price of 95.00. The 25 basis point increments would have produced a highest exercise price of 100.50 and the following exercise
prices that are 100 basis points (1.00 IMM Index point) above the nearest-to-the-money: 95.25, 95.50, 95.75, 96.00. The 25 basis
point increments would have produced a lowest exercise price of 89.50 and the following exercise prices that are 100 basis
points (1.00 IMM Index point) below the nearest-to-the-money: 94.75, 94.50, 94.25, 94.00.
The exercise prices for the 12.5 basis point increments are listed daily 150 basis points (1.50 IMM Index points) above and below
the nearest-to-the-money exercise price. For example, assume the prior day’s activity produced a nearest-to-the-money exercise
price of 95.00. The 12.5 basis point increments would have produced a highest exercise price of 96.50 and the following exercise
prices that are 50 basis points (0.50 IMM Index point) above the nearest-to-the-money: 95.125, 95.25, 95.375, 95.50. The 12.5
basis point increments would have produced a lowest exercise price of 93.50 and the following exercise prices that are 50 basis
points (0.50 IMM Index point) below the nearest-to-the-money: 94.875, 94.75, 94.625, 94.50. As determined by the Exchange,
additional exercise prices of 6.25 are made available to trade in shorter dated expirations.

© 2022 CME Group. All rights reserved.

7

Minimum Option Premium Increment
For users of Eurodollar Options, the pricing of SOFR Options will be familiar. They are based on 100 basis points (1.00
IMM Index point) representing $2500 per contract. Equally, 0.01 IMM Index point represents $25 per contract.
Generally, with a few exceptions, the smallest price increment for SOFR Options are a ½ basis point (0.005 IMM Index point) equal
to $12.50 per contract.

Options in the nearest expiring contract month may be quoted in price increments of ¼ basis point (0.0025 IMM
Index point) equal to $6.25 per contract. Additionally, some spreads may be quoted in price increments of ¼ basis
point. Please refer to the Option Spreads/Combinations of the Minimum Option Premium Increment section of theContract Specifications (Exhibit 2).

Option Exercise
SOFR Options utilize the American Style option exercise. Therefore, the option buyer has the right to exercise theoption on any day they are traded.

Comparing Three-Month SOFR and Eurodollar Futures Volatility
Traders should be mindful of potential differences in SOFR and Eurodollar volatilities as they are developing option
pricing models. Based upon Three-Month SOFR and Eurodollar futures price data from Jun 2018-Dec 2021, therolling front month and fifth quarterly contract months produced the following historical volatilities (annualized) andcorrelation of daily price changes:
Exhibit 3 – Three-Month SOFR and Eurodollar Futures, Historical Volatility and Correlation
HISTORICAL VOLATILITYPRODUCTPRODUCT CODEQ1

Q5THREE-MONTH EURODOLLAR FUTURES

ED

19%

24%

THREE-MONTH SOFR FUTURES

SR3

18%

23%
Correlation

0.676

0.921

Q1 and Q5 are rolling front month and fifth quarterly contract months.
Data source: CME Group

Note the historical volatilities were very similar, differing by only one percentage point in each case. However, thedifference in correlation between the first (0.676) and the fifth (0.921) quarterly futures contract months suggests as
you get closer to expiration the differences in these underlying interest rates become more pronounced. SOFR andEurodollar markets become more complementary.

8© 2022 CME Group. All rights reserved.

Spreading SOFR and Eurodollar Options
Since the launch of SOFR futures, CME Group has experienced significant spreading of our adjacent STIR futures.
Similarly, the launch of SOFR Options has created an increasing number of spreading opportunities for relative value
traders. Market participants can execute spreads between SOFR and Eurodollar Options on one of three venues: inopen outcry, on CME Globex, and as a block trade submitted on CME ClearPort.
Customized spreads may be created on CME Globex using the Exchange’s User Defined Spread (UDS) functionality.
The image below demonstrates two types of UDS created on CME Direct prior to launch that might be active.
Exhibit 4 – SOFR Option Spreads on Globex
PRODUCTDESCRIPTIONEURODOLLAR OPTION+1 GE Mar22 99.5625 C, -1 SR3 Mar22 99.625C

SOFR OPTION

Dec22 98.875/98.625 PS

SOFR OPTION 1-YR MC

Apr22 98.4375 STRD

SOFR OPTION 2-YR MC+1 S2 Mar22 98.125 P, -1 SR Mar22 97.875 P, -1 S0 Mar22 98.5625 P

On Globex users have the ability to create strategies across all SOFR Opitons including Inter-Commodity spreads
consisting of SOFR and Eurodollars together.
• The top strategy is a spread buying a Eurodollar March 22 Call and selling a SOFR March 22 Call.
• The bottom strategy is an example of a SOFR 2-Year Mid Curve put spread vs a SOFR 1-Year Mid Curve Put.

© 2022 CME Group. All rights reserved.

9Appendix
Please refer to the table below (Exhibit 5) for each of the associated product codes for SOFR Options.
Exhibit 5 – Options on CME Three-Month SOFR Futures –Scope of Product Suite
PRODUCTGLOBEXTICKER

GLOBEX
RIC ROOTCOMPOSITE COMPOSITE PIT
TICKERRIC ROOT
TICKERPIT RICROOTBLOOMBERG CODEOPTIONS ON THREE-MONTH SOFR FUTURES

SR3

1SRA

SR3

SRA

S3O

2SRA

SFRF0C 100 Comdty

ONE-YEAR MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

S0

1SN

S0

SN

S0

2SN

0QF0C 100 Comdty

TWO-YEAR MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

S2

1SL

S2

SL

S2

2SL

2QF0C 100 Comdty

SIX-MONTH MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

TS3

1TS

TS3

TS

TS3

2TS

SRRF0C 100 Comdty

NINE-MONTH MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

TS4

1T4S

TS4

T4S

TS4

2T4S

SRWF0C 100 Comdty

THREE-YEAR MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

S3

1SQ

S3

SQ

S3

2SQ

3QF0C 100 Comdty

FOUR-YEAR MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

S4

1SH

S4

SH

S4

2SH

4QF0C 100 Comdty

FIVE-YEAR MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

S5

1SE

S5

SE

S5

2SE

5QF0C 100 Comdty

THREE-MONTH MID-CURVE OPTIONS ON
THREE-MONTH SOFR FUTURES

TS2

1T2S

TS2

T2S

TS2

2T2S

SRAF0C 100 Comdty

WEEKLY ONE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 1

S01

1SN1W

S01

SN1W

S01

2SN1W

TBD

WEEKLY ONE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 2

S02

1SN2W

S02

SN2W

S02

2SN2W

TBD

WEEKLY ONE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 3

S03

1SN3W

S03

SN3W

S03

2SN3W

TBD

WEEKLY ONE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 4

S04

1SN4W

S04

SN4W

S04

2SN4W

TBD

WEEKLY ONE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 5

S05

1SN5W

S05

SN5W

S05

2SN5W

TBD

WEEKLY TWO-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 1

S21

1SL1W

S21

SL1W

S21

2SL1W

TBD

WEEKLY TWO-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 2

S22

1SL2W

S22

SL2W

S22

2SL2W

TBD

WEEKLY TWO-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 3

S23

1SL3W

S23

SL3W

S23

2SL3W

TBD

WEEKLY TWO-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 4

S24

1SL4W

S24

SL4W

S24

2SL4W

TBD

WEEKLY TWO-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 5

S25

1SL5W

S25

SL5W

S25

2SL5W

TBD

WEEKLY THREE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 1

S31

1SQ1W

S31

SQ1W

S31

2SQ1W

TBD

WEEKLY THREE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 2

S32

1SQ2W

S32

SQ2W

S32

2SQ2W

TBD

WEEKLY THREE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 3

S33

1SQ3W

S33

SQ3W

S33

2SQ3W

TBD

WEEKLY THREE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 4

S34

1SQ4W

S34

SQ4W

S34

2SQ4W

TBD

WEEKLY THREE-YEAR MID-CURVE OPTIONSON THREE-MONTH SOFR FUTURES - WEEK 5

S35

1SQ5W

S35

SQ5W

S35

2SQ5W

TBD

10

© 2022 CME Group. All rights reserved.

cmegroup.com
The Exchange has entered into an agreement with ICE Benchmark Administration Limited which permits the Exchange to use ICE LIBOR as the basis for settling Three–Month Eurodollar futurescontracts and to refer to ICE LIBOR in connection with creating, marketing, trading, clearing, settling and promoting Three–Month Eurodollar futures contracts.
Three–Month Eurodollar futures contracts are not in any way sponsored, endorsed, sold or promoted by ICE Benchmark Administration Limited, and ICE Benchmark Administration Limited, has no
obligation or liability in connection with the trading of any such contracts. ICE LIBOR is compiled and calculated solely by ICE Benchmark Administration Limited. However, ICE Benchmark
Administration Limited, shall not be liable (whether in negligence or otherwise) to any person for any error in ICE LIBOR, and ICE Benchmark Administration Limited, shall not be under any
obligation to advise any person of any error therein.
ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO WARRANTY, EXPRESS OR IMPLIED, EITHER AS TO THE RESULTS TO BE OBTAINED FROM THE USE OF ICE LIBOR AND/OR THE FIGURE
AT WHICH ICE LIBOR STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ICE BENCHMARK ADMINISTRATION LIMITED MAKES NO EXPRESS OR IMPLIEDWARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE FOR USE WITH RESPECT TO THREE–MONTH EURODOLLAR FUTURES CONTRACTS.
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants(ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to
trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting
their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade. All references to options refer to options on futures.
Any research views expressed those of the individual author and do not necessarily represent the views of the CME Group or its affiliates. The information within this presentation has been
compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. All examples are hypothetical situations, used for explanation purposes only,and should not be considered investment advice or the results of actual market experience.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official rulebook of the organizations. Current rules should be consulted in all cases concerning
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