- Advertisement -
- Advertisement -

Related

Trading SOFR Options

Latest Report

- Advertisement -

Partner Content (CME Group) – Following the successful launch of SOFR futures on 7 May 2018, liquidity, price discovery, volume and open interest of SOFR futures have developed such that Options on Three-Month SOFR futures are the natural next step in the development of the SOFR ecosystem. On 6 January 2020, CME will launch 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 trade submitted via CME ClearPort.  Each of these platforms will 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– will be 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, and Five-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 non-March Quarterly months; and
  • Weekly One-Year, Two-Year, and Three-Year Mid-Curve Options expiring on each of the nearest 2 Fridays not scheduled for expiration of Quarterly or Serial Options.

Please refer to the table (Exhibit 1) below for the complete array of SOFR Options listed at launch, including commodity codes and underlying futures contract months.

Continue reading the article in full here: Trading SOFR Options

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Partner Content from CME Group
Partner Content from CME Group
As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Through its exchanges, CME Group offers the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals. CME Group provides electronic trading globally on its CME Globex platform. The company also offers clearing and settlement services across asset classes for exchange-traded and over-the-counter derivatives through its clearinghouse, CME Clearing. CME Group's products and services ensure that businesses around the world can effectively manage risk and achieve growth.

Latest Articles

Accendo-Backed SSH Secures Major Investment from Leonardo

While public and policy discussions around defence often focus on conventional weapons, many of today’s most active and frequent battles are unfolding in cyberspace....

Swedbank Robur Strengthens Private Equity Team

Swedbank Robur has appointed Lorenzo Gregory Sormani as co-portfolio manager of its private equity fund, Swedbank Robur Alternative Equity I, joining Senior Portfolio Manager...

Beyond Renewables: Coeli Fund Taps Into the Broader Electrification Race

Earlier this year, portfolio managers Vidar Kalvoy and Joel Etzler renamed their fund from Coeli Renewable Opportunities to Coeli Energy Opportunities – a move...

Three Danish Hedge Funds Recognized by the Hedge Fund Journal

Three Danish hedge funds have been recognized at the 2025 Hedge Fund Journal CTA and Discretionary Trader Awards. Two funds managed by Danske Bank...

Private Equity in Transition: Challenges and Opportunities

Private equity has matured into a mainstream – if not cornerstone – allocation for institutional investors. Following years of record fundraising and valuation expansion,...

Formue Highlights Private Credit’s Role in New Economic Era

Nordic wealth manager Formue has long prided itself on delivering institutional-grade investment solutions to high-net-worth individuals. As global economic conditions shift, Formue sees an important role...

Allocator Interviews

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -
HedgeNordic
Privacy Overview

This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.