Options on Eris SOFR Swap futures (Eris Options)
Contract Specifications
| CONTRACT TITLE | Options on 2-Year Eris SOFR Swap futures (2-Year Eris Options) Options on 5-Year Eris SOFR Swap futures (5-Year Eris Options) Options on 10-Year Eris SOFR Swap futures (10-Year Eris Options) |
|---|---|
| CONTRACT UNIT | One futures contract with face value of $100,000 |
| MINIMUM PRICE FLUCTUATION | 2-Year Eris Options: Outright: 0.01 of one point (0.01 = $10.00); CAB: 1/2 of 0.01 of one point (0.005 = $5.00) only under .01 tick 5-Year Eris Options: Outright: 0.01 of one point (0.01 = $10.00); CAB: 1/2 of 0.01 of one point (0.005 = $5.00) only under .01 tick 10-Year Eris Options: Outright: 0.02 of one point (0.02 = $20.00); CAB: 0.01 of one point (0.01 = $10.00) only under .02 tick |
| PRICE QUOTATION | U.S. dollars and cents per price point |
| TRADING AND CLEARING HOURS | CME Globex Pre-Open: Sunday 4:00 p.m. - 5:00 p.m. Central Time (CT); Monday - Thursday 4:45 p.m. - 5:00 p.m CT CME Globex: Sunday 5:00 p.m. - Friday 4:00 p.m. CT with daily maintenance period from 4:00 p.m. - 5:00 p.m. CT 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 |
| COMMODITY CODE | 2-Year Eris Options: YIT 5-Year Eris Options: YIW 10-Year Eris Options: YIY |
| LISTING SCHEDULE | Monthly contracts listed for 4 consecutive months (e.g., Jan, Feb, Mar, Apr) |
| INITIAL LISTING | July 2026, August 2026, September 2026, October 2026 |
| TERMINATION OF TRADING | Trading terminates Friday before 3rd Wednesday of contract month at 2:00 p.m. CT. |
| RULEBOOK CHAPTER | 62A |
| CME GLOBEX MATCHING ALGORITHM | Q - Threshold Pro-Rate with LMM |
| MINIMUM BLOCK LEVEL | 50 contracts |
| REPORTING WINDOW | 15 minutes |
| STRIKE PRICE LISTING SCHEDULE | 2-Year Eris Options: Strike prices will be listed in increments of 0.125, +/- 25 strikes from at-the-money (ATM) strike price 5-Year Eris Options: Strike prices will be listed in increments of 0.25, +/- 25 strikes from ATM strike price 10-Year Eris Options: Strike prices will be listed in increments of 0.5, +/- 25 strikes from ATM strike price |
| EXERCISE STYLE | European. Following termination of trading (2:00 p.m. CT), options that expire in-the-money are automatically exercised into underlying futures, with no allowance for contrary instruction. Automatic exercise is determined in relation to the daily settlement price of the option's underlying futures contract. |
| SETTLEMENT METHOD | Deliverable into underlying futures contracts |
| UNDERLYING FUTURES CONTRACT / COMMODITY CODE | 2-Year Eris SOFR Swap futures / YIT 5-Year Eris SOFR Swap futures / YIW 10-Year Eris SOFR Swap futures / YIY |
