CME Group One-Month SOFR

One-Month SOFR was first officially listed on CME on May 4th, 2020.
One-Month SOFR Futures 	One-Month SOFR Futures 	One-Month SOFR Futures 	
Contract Unit 	$4,167 x contract-grade IMM Index 	$4,167 x contract-grade IMM Index 	
Price Quotation 	Contract IMM Index = 100 minus R
R = arithmetic average of Secured Overnight Financing Rate (SOFR) during contract delivery month. 	Contract IMM Index = 100 minus R
R = arithmetic average of Secured Overnight Financing Rate (SOFR) during contract delivery month. 	
Trading Hours 	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) 	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) 	
Minimum Price Fluctuation	Nearby delivery month: 0.0025 IMM index points (¼ basis point per annum) = $10.4175
All other delivery months: 0.005 IMM index points (½ basis point per annum) = $20.835
Min final settle fluctuation: 0.001 IMM index points	Nearby delivery month: 0.0025 IMM index points (¼ basis point per annum) = $10.4175
All other delivery months: 0.005 IMM index points (½ basis point per annum) = $20.835
Min final settle fluctuation: 0.001 IMM index points	
Product Code 	CME Globex: SR1
CME ClearPort: SR1
Clearing: SR1 	CME Globex: SR1
CME ClearPort: SR1
Clearing: SR1 	
Listed Contracts 	Monthly contracts listed for 13 consecutive months 	Monthly contracts listed for 13 consecutive months 	
Settlement Method 	Financially Settled 	Financially Settled 	
Floating Price 	Daily transaction-value weighted median interest rate on overnight US Treasury general collateral repurchase transactions, based on data collected by FRBNY from BNY Mellon, the FICC GCF Repo service, and the FICC DVP service.	Daily transaction-value weighted median interest rate on overnight US Treasury general collateral repurchase transactions, based on data collected by FRBNY from BNY Mellon, the FICC GCF Repo service, and the FICC DVP service.	Daily transaction-value weighted median interest rate on overnight US Treasury general collateral repurchase transactions, based on data collected by FRBNY from BNY Mellon, the FICC GCF Repo service, and the FICC DVP service.
Termination of Trading 	Trading terminates on the last business day of the contract month. 	Trading terminates on the last business day of the contract month. 	
Settlement Procedures 	SR1 Settlement Procedures 	SR1 Settlement Procedures 	SR1 Settlement Procedures
Position Limits 	CME Position Limits 	CME Position Limits 	
Exchange Rulebook 	CME 461 	CME 461 	
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds 	
Price Limit or Circuit 	Price Limits 	Price Limits 	
Vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing 	
One-Month SOFR Options 	One-Month SOFR Options 	One-Month SOFR Options 	
Contract Unit 	1 One-Month SOFR futures contract 	1 One-Month SOFR futures contract 	
Minimum Price Fluctuation 	One-quarter of one basis point (0.0025) = $10.4175 per contract 	One-quarter of one basis point (0.0025) = $10.4175 per contract 	
Price Quotation 	U.S. dollars and cents per index point 	U.S. dollars and cents per index point 	
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) 	
Trading Hours 	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 	
Trading Hours 	Open Outcry: 	Monday - Friday 7:20 AM - 2:00 PM CT 	
Product Code 	CME Globex: SR1
CME ClearPort: SR1
Open Outcry: S1O
Clearing: SR1 	CME Globex: SR1
CME ClearPort: SR1
Open Outcry: S1O
Clearing: SR1 	
Listed Contracts 	Monthly contracts listed for 4 consecutive months 	Monthly contracts listed for 4 consecutive months 	
Termination of Trading 	Trading terminates on the last business day of the contract month. 	Trading terminates on the last business day of the contract month. 	
Position Limits 	CME Position Limits 	CME Position Limits 	
Exchange Rulebook 	CME 461A 	CME 461A 	
Block Minimum 	Block Minimum Thresholds 	Block Minimum Thresholds 	Block Minimum Thresholds
Price Limit or Circuit 	Price Limits 	Price Limits 	Price Limits
Vendor Codes 	Quote Vendor Symbols Listing 	Quote Vendor Symbols Listing 	
Strike Price Listing Procedures	Strike prices will be listed in increments of 6.25 basis points (0.0625) and 12.5 basis points (0.1250). The following strike prices in increments of 6.25 basis points will be listed: the at-the-money strike price closest to the current futures price plus the next ten consecutive higher and the next ten consecutive lower strike prices. Above and below this band, the following strike prices in increments of 12.5 basis points shall be listed: the next five (5) consecutive higher and the next five (5) consecutive lower strike prices.	Strike prices will be listed in increments of 6.25 basis points (0.0625) and 12.5 basis points (0.1250). The following strike prices in increments of 6.25 basis points will be listed: the at-the-money strike price closest to the current futures price plus the next ten consecutive higher and the next ten consecutive lower strike prices. Above and below this band, the following strike prices in increments of 12.5 basis points shall be listed: the next five (5) consecutive higher and the next five (5) consecutive lower strike prices.	Strike prices will be listed in increments of 6.25 basis points (0.0625) and 12.5 basis points (0.1250). The following strike prices in increments of 6.25 basis points will be listed: the at-the-money strike price closest to the current futures price plus the next ten consecutive higher and the next ten consecutive lower strike prices. Above and below this band, the following strike prices in increments of 12.5 basis points shall be listed: the next five (5) consecutive higher and the next five (5) consecutive lower strike prices.
Exercise Style 	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. 	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. 	
Settlemnt Method 	Deliverable 	Deliverable 	
Underlying 	One-Month SOFR Futures 	One-Month SOFR Futures 	
== Notes ==
==References==
==Resources==
One-Month SOFR Contract Specs
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