From CME Group: 2024-05-30 17:12:26

Monthly options on Three-Month SOFR futures are options that expire within one or two months with an underlying futures contract falling within the first eight quarterly months. They will launch on June 16, 2024, for trade date June 17, 2024. CME Group is listing these options to allow trading on any One-Year or Two-Year quarterly futures not covered by the current offering. Option symbols are based on underlying futures codes, with two root symbols and underlying futures codes indicating year and month. Listings will include two months at a time on six different quarterly futures. Each monthly option will have six SR3 underlying futures. There will be no changes to the current listed SOFR serial and quarterly options. These contracts will expire on the Friday before the third Wednesday of the month and trade on all venues. The strike increment is 6.25 basis points for 150 basis points from ATM and 25 basis points for 550 basis points from ATM. Tick increments will follow current rules in relation to option premiums. Traders can create spreads between standard SOFR quarterlies, Mid Curve, and Three-Month SOFR monthlies.



Read more at CME Group: Frequently Asked Questions (FAQ): Monthly Options on Three-Month SOFR Futures