CME: SON Quarterly IMM SONIA Futures prices chart




Quarterly IMM SONIA Futures Futures (CME: SON)
Vendor Codes: CME Globex : SON, Bloomberg: ONS

Contract Unit: Compounded daily SONIA interest during Contract Reference Quarter, such that each basis point per annum of interest = £25 per Contract. Reference Quarter: For a given contract, interval from (and including) 3rd Wed of 3rd month preceding Delivery Month, to (and not including) 3rd Wed of Delivery Month.

Price Basis: Contract-grade IMM Index: 100 minus R

Contract Size: £2,500 x Contract-grade IMM Index

Minimum Price Fluctuation : Any Contract with Four Months or Less Until Last Day of Trading: 0.0025 IMM Index points (¼ basis point per annum) equal to £6.25 per Contract. All Other Contracts: 0.005 IMM Index points (½ basis point per annum) equal to £12.50 per Contract.

Delivery Months: Nearest 20 March Quarterly months (Mar, Jun, Sep, Dec).



International Monetary Market (IMM) Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. The CME-traded futures contract of each applicable Index Currency that is closest to expiration is used in the Index calculation.

Sterling Overnight Index Average (SONIA) is a transaction-based index administered by the Bank of England and endorsed by the Sterling Risk-Free Reference Rate Working Group as the preferred risk-free reference rate for sterling Overnight Indexed Swaps (OIS).