Sofr futures contract size

15 Jan 2019 The size, scale and scope of LIBOR usage make this shift arguably the interest in CME SOFR futures hit a new high of 80,000 contracts and 

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Each One-Month SOFR (SR1) futures contract references the arithmetic average of daily SOFR values over all days in the contract month. Both futures products have multiple delivery-month listings. 3 For SR1 futures, daily settlement prices, trading volumes, and open interest levels are exemplified by data for Friday, 10 May 2019, shown in Figure #1.

SOFR Futures Contract Specifications. Based on extensive customer input, CME Group launched 3-Month and 1-Month SOFR futures contracts. 3-Month SOFR  14 Feb 2018 Get an overview of SOFR futures, including background on the Secured Overnight Financing Rate, contract design, comparisons to STIR  5 Nov 2019 Return to the SOFR homepage for more information regarding contract specs, educational resources, and more. SOFR Futures. About CME  month before contract delivery month, and ends immediately before IMM For any Three-Month SOFR futures contract prior to the start Contract Size. $25 per   14 May 2018 Exhibit 3 -- CME Three-Month SOFR Futures Contract Specifications. Trading Unit, Compounded daily SOFR interest during contract Reference 

To calculate the notional value of a futures contract, the contract size is multiplied by the price per unit of the commodity represented by the spot price. Notional value helps investors

30 Oct 2019 In Q3, average daily volume grew to more than 20 million contracts per day, In the month of September, the SOFR futures as Terry mentioned  13 May 2019 We use SOFR fixing rates, SOFR 1-month futures contract rates and typically small when the futures contracts had sufficient trade volume. 22 May 2019 by end 2018. CME began SOFR Futures on May 7, 2018; Uncertainty over the transition of existing LIBOR-based contracts. • Lack of Swap market liquidity - The volume of SOFR swaps transactions remains relatively light,. 10 Dec 2018 "Some $750 billion in daily volume makes Sofr the deepest, highest Over 7,000 CME Sofr futures contracts traded in the first week (listed May  5 Sep 2018 CME #SOFR futures open interest has grown to $105B notional with total volume of 278K contracts since launch. Read about SOFR's  5 Oct 2018 As of late August, trading in the CME's Sofr futures contracts had steadily grown since its May inception, with total volume exceeding 200,000  6 Jan 2020 SOFR futures were rolled out in 2018 by CME, whose eurodollar futures contract –- with settlement based on Libor –- remains its most-traded 

CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. Three-Month SOFR futures are cash settled and based on a business-day compounded SOFR per annum during contract Reference Quarter.

10 Dec 2018 "Some $750 billion in daily volume makes Sofr the deepest, highest Over 7,000 CME Sofr futures contracts traded in the first week (listed May  5 Sep 2018 CME #SOFR futures open interest has grown to $105B notional with total volume of 278K contracts since launch. Read about SOFR's  5 Oct 2018 As of late August, trading in the CME's Sofr futures contracts had steadily grown since its May inception, with total volume exceeding 200,000 

6 Jan 2020 To calculate the notional value of a futures contract, the contract size is multiplied by the price per unit of the commodity represented by the spot 

5 Oct 2018 As of late August, trading in the CME's Sofr futures contracts had steadily grown since its May inception, with total volume exceeding 200,000  6 Jan 2020 SOFR futures were rolled out in 2018 by CME, whose eurodollar futures contract –- with settlement based on Libor –- remains its most-traded  4 May 2018 step in which will be taken on May 7 when SOFR futures begin trading. The breadth and size of instruments and derivatives linked to USD LIBOR rate over the course of the contract month, just like fed funds futures reflect.

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The Futures Contract Specifications page provides a complete look at contract specs, as provided by the exchanges. Specifications are grouped by market category (Currencies, Energies, Financials, Grains, Indices, Meats, Metals and Softs). Specifications for futures contracts include: Sym - the root symbol for the commodity. Contract sizes for commodities and other investments, such as currencies and interest rate futures, can vary widely. For example, the contract size for a Canadian dollar futures contract is C$100,000, the size of a soybean contract traded on the Chicago Board of Trade is 5,000 bushels, Prices from futures contracts that reference SOFR are used to estimate market-implied forward SOFR rates at a given point in time. These forward rates are then compounded to produce forward-looking term rates. Tick Size - the smallest allowable increment of price movement for a contract. Daily Limit - the maximum gain or loss that the commodity is permitted to reach for a given trading session. Trading Hours - the days and hours in which the commodity is traded. Contract size = $25 per basis point. One might call this the tick value. However, the contracts’ minimum price increments will be a half of a basis point, or $12.50, as well as ¼ of a basis point or $6.25. The minimum price increment will depend on how close to maturity the contract is.

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