US
The CME Three-Month SOFR (SR3) futures strip: each contract settles at 100 minus SOFR compounded over its three-month reference quarter, so the strip is the market's quarter-by-quarter path for US overnight funding rates and, through it, for Fed policy. Prices are delayed and refresh through the day; changes are shown in basis points of implied rate (a rate rise is a price fall).
SOFR futures strip
Day-on-day, week-to-date (since last Friday's settle) and month-to-date (since the last settle of the previous month) changes in implied rate. Click a row to chart it below.
| Contract | Reference quarter | Last | Implied rate | DoD (bp) | WTD (bp) | MTD (bp) | vs SOFR (bp) | Day range | Volume |
|---|---|---|---|---|---|---|---|---|---|
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Time series
Solid lines are recorded settles. Dashed segments (before 22 Oct 2026) are modelled from the CBOT fed funds futures path, calibrated to the first real settle, and are replaced by CME settles where available. Drag to pan, scroll or pinch to zoom.
Implied curve
Implied 3-month SOFR by contract (left axis) and the change against the comparison date (bars, right axis). The dotted line is the fed funds futures (ZQ) path for EFFR at each contract's mid-quarter, plus the SOFR–EFFR spread.
Calendar spreads
A positive spread means the later quarter prices a higher rate (hikes); negative means cuts. "Changes" are in bp of spread; a falling spread is a flattening of the hiking path. Click a row to chart it.
| Spread | Type | Now | DoD | WTD | MTD | Hikes priced |
|---|
Spread history
What the Fed is priced to do
Cumulative hikes priced by meeting
| FOMC | Most likely range | Implied EFFR | Move (bp) | Cum (bp) | P(hike) | vs 1W |
|---|
FedWatch-style method on CBOT ZQ settles, shared with the Macro tab. P(hike) is the chance of a range above today's after that meeting. The SOFR strip and ZQ path agree within a few basis points; gaps beyond that usually reflect repo funding pressure (SOFR above EFFR) or term premium in the deferred contracts.