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30 Day Federal Funds Futures Contract Specs

Contract Unit $4,167 x Contract IMM Index
Price Quotation Contract IMM Index = 100 minus R

R = arithmetic average of daily effective federal funds rates during contract month. 

E.g., a price quote of 92.75 signifies an average daily rate of 7.25 percent per annum.
Trading Hours SUN - FRI: 5:00 p.m. - 4:00 p.m.
Minimum Price Fluctuation Nearest expiring contract month(s):
One quarter (1/4) of one interest rate basis point = 0.0025 price points = $10.4175 per contract.
Each expiring contract month begins trading in 0.0025-point price increments at 5:00 pm Chicago time on the Sunday first preceding the first business day of the contract month.

All other contract months:
One half (1/2) of one interest rate basis point = 0.005 price points = $20.835 per contract.
Product Code CME Globex: ZQ
CME ClearPort: 41
Clearing: 41
Listed Contracts First 36 calendar months
Settlement Method Financially Settled
Termination Of Trading The last day of trading in an expiring futures contract shall be the last Business Day of such contract’s delivery month.  Trading in expiring futures shall terminate at the close of the Trading Day on the last day of trading.
Settlement Procedures Expiring contracts are cash settled against the average daily Fed Funds overnight rate for the delivery month, rounded to the nearest one-tenth of one basis point. Final settlement occurs on the first business day following the last trading day. The daily Fed Funds overnight rate is calculated and reported by the Federal Reserve Bank of New York.

Settlement Procedures
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 22
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
All Or None Minimum All or None Minimums
Vendor Codes Quote Vendor Symbols Listing

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CME SOFR Futures

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