SR3 Futures Specs: Tick Value, Margin, Roll Dates & COT

01

Contract specifications

Exchange: Chicago Mercantile Exchange (CME Group)
Underlying: Compounded SOFR over the three-month reference quarter
Contract unit: $2,500 × contract IMM index (1 bp = $25)
Minimum tick: 0.005 point = 1/2 basis point ($12.50); nearest expiring 0.0025 ($6.25) = $12.50 per contract
Point value: $25.00 per basis point (0.01) · 2 ticks per bp
Price quotation: 100 minus the rate (e.g. 96.00 = 4.00%)
Contract months: Quarterly: March (H), June (M), September (U), December (Z), plus serial months
Settlement: Financially settled (cash)
Final settlement: Cash-settled to 100 minus compounded SOFR over the reference quarter
Termination of trading: Business day before the third Wednesday of the last month of the reference quarter
Globex code: SR3

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
SR3U26 Sep 2026 Active	–	n/a	Tue, Dec 15, 2026	77
SR3Z26 Dec 2026	–	n/a	Tue, Mar 16, 2027	168
SR3H27 Mar 2027	–	n/a	Tue, Jun 15, 2027	259
SR3M27 Jun 2027	–	n/a	Tue, Sep 14, 2027	350
SR3U27 Sep 2027	–	n/a	Tue, Dec 14, 2027	441
SR3Z27 Dec 2027	–	n/a	Tue, Mar 14, 2028	532

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. The reference quarter starts on the contract month's third Wednesday; trading ends the business day before the third Wednesday three months later.

US exchange holidays ahead: Nov 26 · Dec 25 · Jan 1 · Jan 18 · Feb 15 · Mar 26 · May 31 · Jun 18

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
Jul 2026 – Sep 2026 Active	$200
Oct 2026 – Dec 2026	$490
Jan 2027 – Feb 2027	$725
SR3H27 Mar 2027	$725

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

+3,152,190 net contracts

−372,565 vs. prior week · +25.8% of OI

COT Index 26 wk 83

COT Index 3 yr 89

Movement (6 wk): −2

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

Asset Managers

−682,160 net contracts

+32,596 vs. prior week · −5.6% of OI

COT Index 26 wk 12

COT Index 3 yr 15

Movement (6 wk): −10

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

Leveraged Funds

−2,444,986 net contracts

+329,162 vs. prior week · −20.0% of OI

COT Index 26 wk 22

COT Index 3 yr 11

Movement (6 wk): +3

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 12,230,496 (−1,118,564 w/w)
Group	Long	Short	Net	Δ 1 wk	Δ 4 wk	Index 26 wk	Index 3 yr	Move 6 wk
Dealers / Intermediaries	4,524,592	1,372,402	+3,152,190	−372,565	+41,059	83	89	−2
Asset Managers	1,101,240	1,783,400	−682,160	+32,596	−176,020	12	15	−10
Leveraged Funds	972,889	3,417,875	−2,444,986	+329,162	+151,879	22	11	+3
Other Reportables	187,309	215,454	−28,145	+13,690	−19,643	29	74	−3
Nonreportables	22,767	19,666	+3,101	−2,883	+2,725	91	61	+2

Legacy Report · open interest 12,230,496 (−1,118,564 w/w) · WILLCO (26 wk, commercials vs. OI): 91
Group	Long	Short	Net	Δ 1 wk	Δ 4 wk	Index 26 wk	Index 3 yr	Move 6 wk
Commercials	8,479,292	5,838,561	+2,640,731	−249,491	−93,126	82	88	−3
Non-Commercials	1,282,442	3,926,274	−2,643,832	+252,374	+90,401	18	12	+3
Nonreportables (small)	22,767	19,666	+3,101	−2,883	+2,725	91	61	+2

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	+3,152,190	−682,160	−2,444,986	−28,145	+3,101	12,230,496
Sep 15, 2026	+3,524,755	−714,756	−2,774,148	−41,835	+5,984	13,349,060
Sep 8, 2026	+3,693,025	−807,531	−2,803,445	−83,548	+1,499	13,294,407
Sep 1, 2026	+3,379,318	−692,590	−2,605,980	−81,482	+734	13,075,689
Aug 25, 2026	+3,111,131	−506,140	−2,596,865	−8,502	+376	13,036,905
Aug 18, 2026	+3,135,648	−599,798	−2,530,893	+641	−5,598	13,431,079
Aug 11, 2026	+3,048,077	−478,036	−2,559,816	−10,702	+477	13,171,809
Aug 4, 2026	+2,998,180	−482,891	−2,532,086	+17,218	−421	13,103,980
Jul 28, 2026	+2,949,333	−587,821	−2,445,938	+83,977	+449	12,809,153
Jul 21, 2026	+3,085,663	−521,246	−2,694,174	+127,370	+2,387	13,083,893
Jul 14, 2026	+3,162,250	−483,061	−2,786,954	+105,955	+1,810	13,177,859
Jul 7, 2026	+3,317,752	−501,067	−2,872,406	+53,822	+1,899	13,110,035

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 134741 (SOFR-3M - CHICAGO MERCANTILE EXCHANGE)

06

SR3 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 3-Month SOFR futures (SR3)?

One basis point is worth $25. The standard tick is 0.005 ($12.50); the nearest expiring contract trades in 0.0025 ticks ($6.25).

Why does the December SR3 contract expire in March?

SR3 contracts are named after the start of their three-month reference period. SR3Z26 covers mid-December 2026 to mid-March 2027 and stops trading at the end of that period.

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.

Three-Month SOFR Futures (SR3)

Dealers / Intermediaries

Asset Managers

Leveraged Funds