ICE Three Month SONIA Index

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Three Month SONIA Index Futures Contract *is a cash settled future based on the interest rate on a three month sterling deposit.[1]

Contract Specs[edit]

Three Month SONIA Index Futures Contract
Trading Screen Product Name Three Month SONIA
Trading Screen Hub Name ICEU
Contract Symbol SO3
Unit of Trading £2,500 * Rate Index
Minimum Price Fluctuation Front delivery month: 0.0025 (£6.25)

All other delivery months: 0.005 (£12.50)

Delivery Months March, June, September, December, such that 24 delivery months are available for trading.

Contract Delivery Months are named by the start date of the accrual period.

Quotation 100.00 minus the numerical value of rate of interest
Last Trading Day One business day prior to the third Wednesday of the next quarterly Delivery Month trading will cease at 18:00 (London Local Time)
Algorithm Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 2 and with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Exchange Delivery Settlement Price EDSP Publication is the next business day after the Last Trading Day

100 minus the EDSP Rate, determined as described below.

Based on SONIA (Sterling Over Night Index Average) as calculated by the Benchmark Administrator each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SONIA for each day of the accrual period of the contract. The following formula shall be applied:

Click here for formula[2]

where:

S_i = SONIA rate on the i^th day of the accrual period

d_i= the number of days that the value S_i is applied

x = the number of SONIA fixings used in the accrual period

N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period

Where the EDSP Rate is not an exact multiple of 0.0001, it will be rounded to the nearest 0.0001 or, where the EDSP Rate is an exact uneven multiple of 0.00005, to the nearest lower 0.0001.

Interest Rate Basis Act/365 Fixed
First Accrual Date Third Wednesday of the Delivery Month
Last Accrual Date Business day prior to the Third Wednesday of the next quarterly Delivery Month
Wholesale Service Basis trading, Block Trading, Asset Allocation
Clearing ICE Clear Europe
Contract Standard Cash settlement based on the Exchange Delivery Settlement Price.
Statement in relation to EDSP Formation The contracts have a standardised basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.
Disclaimer The “SONIA” mark is used under license from the Bank of England (the benchmark administrator of SONIA), and the use of such mark does not imply or express any approval or endorsement by the Bank of England. “Bank of England” and “SONIA” are registered trademarks of the Bank of England.
MIC Code IFLL
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 2:30 AM - 1:00 PM

02:30 - 13:00

1:03 AM

01:03

LONDON 7:30 AM - 6:00 PM

07:30 - 18:00

6:03 AM

06:03

SINGAPORE 2:30 PM - 1:00 AM

14:30 - 01:00

1:03 PM

13:03

Codes Clearing Admin Name Sonia 3Month
Physical SO3
Logical SO3
GMI (FC) None
ION A.C.N. None
Options on Three Month SONIA Index Future
Trading Screen Product Name Three Month SONIA
Trading Screen Hub Name ICEU
Contract Symbol SO3
Unit of Trading One Three Month SONIA Index Future
Contract Series 8 Quarterly and 4 Serial

The expiry months available for trading will be the relevant number of nearest quarterly expiry months and the relevant number of nearest serial expiry months. A new expiry month is available for trading the business day after the Last Trading Day of an expiry month, with the exception of Five Year Mid-Curve Options for which a new expiry month is available for trading on the Thursday following the Last Trading Day.

Contract Standard Assignment of one Three Month SONIA futures contract for the delivery month at the exercise price. The futures delivery month associated with each expiry month shall be:

March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; December in respect of October, November and December expiry months.

Last Trading Day Friday before the third Wednesday of the expiry month

If such Friday is not a business day, “Last Trading Day” shall mean the business day immediately preceding such day.

On the Last Trading Day, trading in the expiring month will cease at 15:15. All times are London Local Time (LLT)

Exercise (a) Business days other than Last Trading Day: 17:00

(b) Last Trading Day for Serial Expiry Months: 16:00

Expiry Expiry Time: 16:00

An option to which the Clearing House is party as Buyer and which has not been exercised shall expire at 07:00 hrs on the business day following the Last Trading Day.

Minimum Price Fluctuation 0.0025 (£6.25)
Strike Price Intervals For all expiry months: 0.0500, (i.e. 0.0500%) e.g. 99.0000, 99.0500, 99.1000, 99.1500 etc

For all contract months:

A minimum of 31 Strike Prices in increments of "Exercise Price Intervals" above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in the defined Exercise Price Intervals increments.

Cabinet Transaction Value £2.50
Algorithm Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Option Premium The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing House (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.
MIC Code IFLL
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 2:30 AM - 1:00 PM

02:30 - 13:00

None
LONDON 7:30 AM - 6:00 PM

07:30 - 18:00

None
SINGAPORE 2:30 PM - 1:00 AM

14:30 - 01:00

None
Codes Clearing Admin Name Sonia 3Month
Physical SO3
Logical SO3
GMI (FC) None
ION A.C.N. None
One Year Mid-Curve Option on Three Month SONIA Index Future
Trading Screen Product Name Three Month SONIA 1yr Mid-Curve
Trading Screen Hub Name ICEU
Contract Symbol SY1
Unit of Trading One Three Month SONIA Index Future
Contract Series 4 Quarterly and 4 Serial

The expiry months available for trading will be the relevant number of nearest quarterly expiry months and the relevant number of nearest serial expiry months. A new expiry month is available for trading the business day after the Last Trading Day of an expiry month, with the exception of Five Year Mid-Curve Options for which a new expiry month is available for trading on the Thursday following the Last Trading Day.

Contract Standard Assignment of one Three Month SONIA futures contract for the delivery month at the exercise price. The futures delivery month associated with each expiry month shall be:

March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; December in respect of October, November and December expiry months.

Last Trading Day Friday before the third Wednesday of the expiry month

If such Friday is not a business day, “Last Trading Day” shall mean the business day immediately preceding such day.

On the Last Trading Day, trading in the expiring month will cease at 15:15. All times are London Local Time (LLT)

Exercise (a) Business days other than Last Trading Day: 17:00

(b) Last Trading Day for Serial Expiry Months: 16:00

Expiry Expiry Time: 16:00

An option to which the Clearing House is party as Buyer and which has not been exercised shall expire at 07:00 hrs on the business day following the Last Trading Day.

Minimum Price Fluctuation 0.0025 (£6.25)
Strike Price Intervals For all expiry months: 0.1000, (i.e. 0.1000%) eg 99.0000, 99.1000, 99.2000, 99.3000 etc

For all contract months:

A minimum of 21 Strike Prices in increments of "Exercise Price Intervals" above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in the defined Exercise Price Intervals increments.

Cabinet Transaction Value £2.50
Algorithm Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Option Premium The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing House (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.
MIC Code IFLL
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 2:30 AM - 1:00 PM

02:30 - 13:00

None
LONDON 7:30 AM - 6:00 PM

07:30 - 18:00

None
SINGAPORE 2:30 PM - 1:00 AM

14:30 - 01:00

None
Codes Clearing Admin Name Sonia 3Month
Physical SY1
Logical SY1
GMI (FC) None
ION A.C.N. None
Two Year Mid-Curve Option on Three Month SONIA Index Future
Trading Screen Product Name Three Month SONIA 2yr Mid-Curve
Trading Screen Hub Name ICEU
Contract Symbol SY2
Unit of Trading One Three Month SONIA Index Future
Contract Series 4 Quarterly and 4 Serial

The expiry months available for trading will be the relevant number of nearest quarterly expiry months and the relevant number of nearest serial expiry months. A new expiry month is available for trading the business day after the Last Trading Day of an expiry month, with the exception of Five Year Mid-Curve Options for which a new expiry month is available for trading on the Thursday following the Last Trading Day.

Contract Standard Assignment of one Three Month SONIA futures contract for the delivery month at the exercise price. The futures delivery month associated with each expiry month shall be:

March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; December in respect of October, November and December expiry months.

Last Trading Day Friday before the third Wednesday of the expiry month

If such Friday is not a business day, “Last Trading Day” shall mean the business day immediately preceding such day.

On the Last Trading Day, trading in the expiring month will cease at 15:15. All times are London Local Time (LLT)

Exercise (a) Business days other than Last Trading Day: 17:00

(b) Last Trading Day for Serial Expiry Months: 16:00

Expiry Expiry Time: 16:00

An option to which the Clearing House is party as Buyer and which has not been exercised shall expire at 07:00 hrs on the business day following the Last Trading Day.

Minimum Price Fluctuation 0.0025 (£6.25)
Strike Price Intervals For all expiry months: 0.1000, (i.e. 0.1000%) eg 99.0000, 99.1000, 99.2000, 99.3000 etc

For all contract months:

A minimum of 21 Strike Prices in increments of "Exercise Price Intervals" above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in the defined Exercise Price Intervals increments.

Cabinet Transaction Value £2.50
Algorithm Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Option Premium The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing House (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.
MIC Code IFLL
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 2:30 AM - 1:00 PM

02:30 - 13:00

None
LONDON 7:30 AM - 6:00 PM

07:30 - 18:00

None
SINGAPORE 2:30 PM - 1:00 AM

14:30 - 01:00

None
Codes Clearing Admin Name Sonia 3Month
Physical SY2
Logical SY2
GMI (FC) None
ION A.C.N. None
Three Year Mid-Curve Option on Three Month SONIA Index Future
Trading Screen Product Name Three Month SONIA 3yr Mid-Curve
Trading Screen Hub Name ICEU
Contract Symbol SY3
Unit of Trading One Three Month SONIA Index Future
Contract Series 4 Quarterly and 4 Serial

The expiry months available for trading will be the relevant number of nearest quarterly expiry months and the relevant number of nearest serial expiry months. A new expiry month is available for trading the business day after the Last Trading Day of an expiry month, with the exception of Five Year Mid-Curve Options for which a new expiry month is available for trading on the Thursday following the Last Trading Day.

Contract Standard Assignment of one Three Month SONIA futures contract for the delivery month at the exercise price. The futures delivery month associated with each expiry month shall be:

March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; December in respect of October, November and December expiry months.

Last Trading Day Friday before the third Wednesday of the expiry month

If such Friday is not a business day, “Last Trading Day” shall mean the business day immediately preceding such day.

On the Last Trading Day, trading in the expiring month will cease at 15:15. All times are London Local Time (LLT)

Exercise (a) Business days other than Last Trading Day: 17:00

(b) Last Trading Day for Serial Expiry Months: 16:00

Expiry Expiry Time: 16:00

An option to which the Clearing House is party as Buyer and which has not been exercised shall expire at 07:00 hrs on the business day following the Last Trading Day.

Minimum Price Fluctuation 0.0025 (£6.25)
Strike Price Intervals For all expiry months: 0.1000, (i.e. 0.1000%) eg 99.0000, 99.1000, 99.2000, 99.3000 etc

For all contract months:

A minimum of 21 Strike Prices in increments of "Exercise Price Intervals" above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in the defined Exercise Price Intervals increments.

Cabinet Transaction Value £2.50
Algorithm Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Option Premium The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing House (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.
MIC Code IFLL
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 2:30 AM - 1:00 PM

02:30 - 13:00

None
LONDON 7:30 AM - 6:00 PM

07:30 - 18:00

None
SINGAPORE 2:30 PM - 1:00 AM

14:30 - 01:00

None
Codes Clearing Admin Name Sonia 3Month
Physical SY3
Logical SY3
GMI (FC) None
ION A.C.N. None
Four Year Mid-Curve Option on Three Month SONIA Index Future
Trading Screen Product Name Three Month SONIA 4yr Mid-Curve
Trading Screen Hub Name ICEU
Contract Symbol SY4
Unit of Trading One Three Month SONIA Index Future
Contract Series 4 Quarterly and 4 Serial

The expiry months available for trading will be the relevant number of nearest quarterly expiry months and the relevant number of nearest serial expiry months. A new expiry month is available for trading the business day after the Last Trading Day of an expiry month, with the exception of Five Year Mid-Curve Options for which a new expiry month is available for trading on the Thursday following the Last Trading Day.

Contract Standard Assignment of one Three Month SONIA futures contract for the delivery month at the exercise price. The futures delivery month associated with each expiry month shall be:

March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; December in respect of October, November and December expiry months.

Last Trading Day Friday before the third Wednesday of the expiry month

If such Friday is not a business day, “Last Trading Day” shall mean the business day immediately preceding such day.

On the Last Trading Day, trading in the expiring month will cease at 15:15. All times are London Local Time (LLT)

Exercise (a) Business days other than Last Trading Day: 17:00

(b) Last Trading Day for Serial Expiry Months: 16:00

Expiry Expiry Time: 16:00

An option to which the Clearing House is party as Buyer and which has not been exercised shall expire at 07:00 hrs on the business day following the Last Trading Day.

Minimum Price Fluctuation 0.0025 (£6.25)
Strike Price Intervals For all expiry months: 0.1000, (i.e. 0.1000%) eg 99.0000, 99.1000, 99.2000, 99.3000 etc

For all contract months:

A minimum of 21 Strike Prices in increments of "Exercise Price Intervals" above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in the defined Exercise Price Intervals increments.

Cabinet Transaction Value £2.50
Algorithm Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Option Premium The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing House (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.
MIC Code IFLL
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 2:30 AM - 1:00 PM

02:30 - 13:00

None
LONDON 7:30 AM - 6:00 PM

07:30 - 18:00

None
SINGAPORE 2:30 PM - 1:00 AM

14:30 - 01:00

None
Codes Clearing Admin Name Sonia 3Month
Physical SY4
Logical SY4
GMI (FC) None
ION A.C.N. None
Five Year Mid-Curve Option on Three Month SONIA Index Future
Trading Screen Product Name Three Month SONIA 5yr Mid-Curve
Trading Screen Hub Name ICEU
Contract Symbol SY5
Unit of Trading One Three Month SONIA Index Future
Contract Series 4 Quarterly and 4 Serial

The expiry months available for trading will be the relevant number of nearest quarterly expiry months and the relevant number of nearest serial expiry months. A new expiry month is available for trading the business day after the Last Trading Day of an expiry month, with the exception of Five Year Mid-Curve Options for which a new expiry month is available for trading on the Thursday following the Last Trading Day.

Contract Standard Assignment of one Three Month SONIA futures contract for the delivery month at the exercise price. The futures delivery month associated with each expiry month shall be:

March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; December in respect of October, November and December expiry months.

Last Trading Day Friday before the third Wednesday of the expiry month

If such Friday is not a business day, “Last Trading Day” shall mean the business day immediately preceding such day.

On the Last Trading Day, trading in the expiring month will cease at 15:15. All times are London Local Time (LLT)

Exercise (a) Business days other than Last Trading Day: 17:00

(b) Last Trading Day for Serial Expiry Months: 16:00

Expiry Expiry Time: 16:00

An option to which the Clearing House is party as Buyer and which has not been exercised shall expire at 07:00 hrs on the business day following the Last Trading Day.

Minimum Price Fluctuation 0.0025 (£6.25)
Strike Price Intervals For all expiry months: 0.1000, (i.e. 0.1000%) eg 99.0000, 99.1000, 99.2000, 99.3000 etc

For all contract months:

A minimum of 21 Strike Prices in increments of "Exercise Price Intervals" above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in the defined Exercise Price Intervals increments.

Cabinet Transaction Value £2.50
Algorithm Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Option Premium The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing House (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.
MIC Code IFLL
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 2:30 AM - 1:00 PM

02:30 - 13:00

None
LONDON 7:30 AM - 6:00 PM

07:30 - 18:00

None
SINGAPORE 2:30 PM - 1:00 AM

14:30 - 01:00

None
Codes Clearing Admin Name Sonia 3Month
Physical SY5
Logical SY5
GMI (FC) None
ION A.C.N. None

Notes[edit]

References[edit]

Resources[edit]