International Monetary Market (IMM) Date

International Monetary Market (IMM) dates are the 4 quarterly expiry dates set by CME Group through its Chicago Mercantile Exchange division in Chicago, Illinois. The calendar started in 1972 with currency futures, the first futures market for financial instruments, with 4 dates each year. It covers currency futures for physical delivery and SOFR futures settled in cash. It also lists options on those futures, is not government data with forecasts, and its IMM index of 100 minus rate only quotes price.

The rule sets each IMM date as the 3rd Wednesday of March, June, September and December, always between the 15th and 21st. Currency futures end 2 business days before that Wednesday and deliver on it, while SOFR futures end 1 business day before. SOFR contracts settle in cash on the first business day after trading ends.

Quarterly options end on the 2nd Friday before that Wednesday, usually at 2:00 p.m. Central time. Holidays shift dates under Chicago time, and calendars plus settlement prices are published daily. Nothing is revised and dates change only by formal amendment. Traders use expiry weeks to roll positions and align swaps with other contracts.

The March quarterly cycle gathers three product groups on the IMM date.

• FX futures: support currency hedging with contracts that deliver currency on the IMM date and anchor standard forward spreads.
• Three-Month SOFR futures: carry US rate positioning through 20 quarterly contracts that run from one IMM Wednesday to the next and settle in cash.
• Options on futures: cover volatility with contracts that expire before the IMM date and exercise into quarterly futures.

The week before the March 2023 IMM date of 15 March 2023 showed how expiry concentrates trading instead of printing a forecast value. On 8 March 2023 FX futures and options hit 3.15 million contracts, or $296 billion notional, up 5% from 3 million in September 2022. That day included 1.1 million Euro FX futures, 264,000 Canadian Dollar futures and 274,000 block and EFRP transactions, up 23% from December 2022. CME said clients used its deep liquidity to manage currency exposure amid ongoing market uncertainty.

1. IMM date: List all Wednesdays in March, June, September or December and pick the 3rd, always between the 15th and 21st. For March 2023 the Wednesdays were 1, 8, 15, 22 and 29, so the date was 15 March 2023.
2. FX futures: Last trading is 2 business days before that Wednesday, normally Monday, shifting earlier on Chicago or New York holidays, with delivery on Wednesday. For March 2023 trading ended Monday 13 March 2023 and delivery was Wednesday 15 March 2023.
3. SOFR futures: The reference quarter runs from the 3rd Wednesday of the month 3 months before delivery to the delivery Wednesday. The contract takes the name of the month its quarter starts in. Trading ends 1 business day before the date.
4. IMM index: Quote equals 100 minus the rate, so 4.50% gives 95.50 on a $2,500 contract, with 1 basis point of 0.01 points worth $25. A rise to 95.51 gains $25 for a long contract. Falling yields raise the index and rising yields lower it.