SR1 Futures Specs: Tick Value, Margin, Roll Dates & COT

01

Contract specifications

Exchange: Chicago Mercantile Exchange (CME Group)
Underlying: Average daily SOFR for the contract month
Contract unit: $5,000,000 × days in month / 360
Minimum tick: 0.005 point = 1/2 basis point ($20.835); nearest month 0.0025 ($10.4175) = $20.835 per contract
Point value: $41.67 per basis point (0.01) · 2 ticks per bp
Price quotation: 100 minus the rate (e.g. 95.75 = 4.25%)
Contract months: Monthly
Settlement: Financially settled (cash)
Final settlement: Cash-settled to 100 minus the month's average daily SOFR
Termination of trading: Last business day of the contract month
Globex code: SR1

Source: CME Group contract specifications · reviewed Sep 30, 2026

02

Roll dates, first notice & expiration

Contract	Roll date	First notice	Last trading day	Days left
SR1U26 Sep 2026 Active	–	n/a	Wed, Sep 30, 2026	1
SR1V26 Oct 2026	–	n/a	Fri, Oct 30, 2026	31
SR1X26 Nov 2026	–	n/a	Mon, Nov 30, 2026	62
SR1Z26 Dec 2026	–	n/a	Thu, Dec 31, 2026	93
SR1F27 Jan 2027	–	n/a	Fri, Jan 29, 2027	122
SR1G27 Feb 2027	–	n/a	Fri, Feb 26, 2027	150

Roll. No standard roll date – most activity sits in the nearest contract months.

First notice day. None – the contract is cash-settled, so there is no delivery and no first notice day.

Last trading day. Last business day of the contract month.

US exchange holidays ahead: Nov 26 · Dec 25 · Jan 1 · Jan 18 · Feb 15

Calculated from exchange rules and the US exchange holiday calendar. Confirm with the CME Group expiration calendar.

03

Trading hours (ET / CT)

Session	Eastern (ET)	Central (CT)	Your time
CME Globex (electronic)	Sun–Fri 6:00 p.m. – 5:00 p.m.	Sun–Fri 5:00 p.m. – 4:00 p.m.	–
Daily maintenance break	Mon–Thu 5:00 – 6:00 p.m.	Mon–Thu 4:00 – 5:00 p.m.	–
US session (reference)	Mon–Fri 8:20 a.m. – 3:00 p.m.	Mon–Fri 7:20 a.m. – 2:00 p.m.	–
Daily settlement	3:00 p.m.	2:00 p.m.	–

Holiday hours differ – check the exchange holiday calendar before trading around US holidays. ET is New York time, CT is Chicago time (always one hour behind ET).

04

Margins

CME Group maintenance margin per contract, outright position · as of Sep 30, 2026
Contract	Maintenance
SR1U26 Sep 2026 Active	$225
SR1V26 Oct 2026	$515
SR1X26 Nov 2026	$615
SR1Z26 Dec 2026	$755

Exchange margins are the minimum your clearing firm must collect for positions held overnight. Brokers may require more – and usually offer much lower day-trading margins for positions closed before the session ends. A neutral broker day-margin comparison is coming soon.

05

COT positioning

CFTC Traders in Financial Futures (TFF), futures only · positions as of Tue, Sep 22, 2026 · released Sep 25, 2026

Dealers / Intermediaries

+322,833 net contracts

−19,639 vs. prior week · +24.8% of OI

COT Index 26 wk 69

COT Index 3 yr 72

Movement (6 wk): −7

Banks and dealers on the other side of client flow. Tend to act contrarian – selling strength, buying weakness.

Asset Managers

+27,227 net contracts

−20,475 vs. prior week · +2.1% of OI

COT Index 26 wk 54

COT Index 3 yr 52

Movement (6 wk): +22

Money-market and bond funds, pension funds and insurers positioning for the rate path.

Leveraged Funds

−339,697 net contracts

+42,360 vs. prior week · −26.1% of OI

COT Index 26 wk 39

COT Index 3 yr 32

Movement (6 wk): −0

Hedge funds and CTAs betting on the path of Fed policy. Their positioning swings fast around FOMC meetings.

Net positions, last 3 years contracts, long minus short

Dealers / IntermediariesAsset ManagersLeveraged Funds

COT Index, 3-year window 0 = most net short in 3 years, 100 = most net long · shaded: extreme zones

Dealers / IntermediariesLeveraged Funds

Traders in Financial Futures (TFF) · open interest 1,302,655 (+21,435 w/w)
Group	Long	Short	Net	Δ 1 wk	Δ 4 wk	Index 26 wk	Index 3 yr	Move 6 wk
Dealers / Intermediaries	536,211	213,378	+322,833	−19,639	−29,702	69	72	−7
Asset Managers	76,435	49,208	+27,227	−20,475	+36,226	54	52	+22
Leveraged Funds	105,298	444,995	−339,697	+42,360	−13,261	39	32	−0
Other Reportables	6,714	16,959	−10,245	−2,032	+7,272	57	35	+1
Nonreportables	363	481	−118	−214	−535	43	67	+0

Legacy Report · open interest 1,302,655 (+21,435 w/w) · WILLCO (26 wk, commercials vs. OI): 47
Group	Long	Short	Net	Δ 1 wk	Δ 4 wk	Index 26 wk	Index 3 yr	Move 6 wk
Commercials	845,702	724,344	+121,358	−41,070	−35,416	38	43	−16
Non-Commercials	199,216	320,456	−121,240	+41,284	+35,951	63	57	+16
Nonreportables (small)	363	481	−118	−214	−535	43	67	+0

Weekly net positions, last 12 reports (Traders in Financial Futures (TFF))

Report date	Dealers / Intermediaries	Asset Managers	Leveraged Funds	Other Reportables	Nonreportables	Open interest
Sep 22, 2026	+322,833	+27,227	−339,697	−10,245	−118	1,302,655
Sep 15, 2026	+342,472	+47,702	−382,057	−8,213	+96	1,281,220
Sep 8, 2026	+275,292	+49,856	−319,535	−5,486	−127	1,226,251
Sep 1, 2026	+408,927	−12,505	−390,389	−18,778	+12,745	1,654,938
Aug 25, 2026	+352,535	−8,999	−326,436	−17,517	+417	1,585,818
Aug 18, 2026	+360,755	−19,222	−327,510	−13,979	−44	1,431,755
Aug 11, 2026	+377,145	−27,056	−335,907	−13,934	−248	1,371,754
Aug 4, 2026	+386,210	−35,904	−336,449	−13,943	+86	1,348,734
Jul 28, 2026	+368,749	−54,209	−278,504	−35,559	−477	1,583,625
Jul 21, 2026	+361,143	−50,018	−273,088	−36,640	−1,397	1,535,514
Jul 14, 2026	+353,375	−47,425	−270,352	−34,705	−893	1,470,901
Jul 7, 2026	+347,317	−29,786	−283,695	−24,071	−9,765	1,464,150

How to read these numbers

Net position = long minus short contracts (spread positions excluded).
COT Index = where today's net position sits within its range over the window: 100 × (net − min) / (max − min). It is a stochastic, not a percentile. Readings above 80 or below 20 are commonly treated as positioning extremes (after Stephen Briese and Larry Williams).
Movement Index = change of the 3-year COT Index over 6 weeks. Moves of ±40 points mark unusually fast repositioning.
WILLCO (Legacy report) = COT Index of commercials' net position as a share of open interest, 26-week window.
Positions are as of Tuesday and released Friday at 3:30 p.m. ET. COT data shows positioning, not timing – it is context, not a trading signal. Open-interest-based indicators are left out for stock index futures because quarterly expirations distort open interest.

Source: CFTC Public Reporting Environment · contract market code 134742 (SOFR-1M - CHICAGO MERCANTILE EXCHANGE)

06

SR1 profit & loss calculator

Before commissions and exchange fees. Prices round to the nearest tick of 0.005.

07

FAQ

What is the tick value of SR1 futures?

The standard tick is 0.005 (half a basis point), worth $20.835; the nearest expiring month trades in 0.0025 ticks worth $10.4175. One basis point is worth $41.67.

How do I read the SR1 price?

The price is 100 minus the expected rate: a price of 95.75 implies an average rate of 4.25% for that month.

What does the COT Index show?

The COT Index places a group's current net position within its own range over a lookback window: 100 = the most net long in that window, 0 = the most net short. It measures positioning extremes, not timing.

One-Month SOFR Futures (SR1)

Dealers / Intermediaries

Asset Managers

Leveraged Funds