Entering Packs and Bundles for SOFR Futures Contracts on IBKR’s Trader Workstation

SOFR Packs allow the interest rate trader to simultaneously buy or sell an equally weighted, consecutive series of four SOFR futures contracts. There are always 37 Packs listed for trading at a given time, designated by a color code indicating the starting year and that corresponds to their position on the yield curve.

SOFR Bundles allow the interest rate trader to simultaneously buy or sell consecutive series of SOFR futures in equal proportions. This means that a 5-year “strip” comprised of 20 individual SOFR contracts can be executed with just one transaction.

Adding Pack Quotes to a Watchlist

Add a SOFR Pack to TWS by entering SOFR3. Locate and hover above Combinations. Locate and click on Packs and Bundles CME to open a contract selection menu. The page consists of two tabs to the upper left – one for Packs and one for Bundles. Packs consisting of four consecutive futures contracts are color-coded according to the starting year. Each cycle commences according to the nearby quarterly futures contract. The imminent Pack is displayed as White, while the second yearly Pack commencing one year forward is labelled as Red. These continue through silver, which represents the farthest Pack of four futures contracts starting in 8-years’ time.

Review the displayed Packs and click on the required color. For example, if you want to add the Green Pack to a Watchlist, click on the row and then the Add button at the bottom of the menu. You may add multiple Packs at the same time by holding down the Control key as you click. Then click Add. Use the X-button in the upper right of the menu to close it.

Note when you select a Pack, or when you click on the row containing the quote in your Watchlist, the Pack will populate the Order Entry panel to the upper left of the page. Enter the quantity and price, select an order type (limit or market) and click Submit to create an Order Confirmation. Review the details and click Transmit to send the order for execution. 

Adding Bundle Quotes to a Watchlist 

To add a SOFR Bundle to TWS, enter SOFR3. Locate Combinations and choose Packs and Bundles (CME) from the expansion menu. In the upper left corner of the menu select Bundles.

Bundles have an associated Term displayed in years, shown in the third column. Each Term is color-coded. The Red pack, consisting of eight consecutive SOFR futures, represents a two-year term. The three-year term is displayed as Green and consists of a string of 12 consecutive futures contracts.

The user selects the desired start date and identifies the Bundle with the appropriate term. For example, looking at the Front Quarterly contract beginning June ’25, you can see that there are nine available Bundles to select from.  

Add a Bundle to a Watchlist by highlighting the row and clicking Add at the bottom of the menu. Add several Bundles at a time by highlighting a row and depressing the control key. Click Add. Use the X-button in the upper right of the menu to close it.

Click on a Bundle in any row to display in the Order Entry panel. Change your quantity and price and select between Limit or Market order types. Click Submit to create an Order Confirmation window. Verify the details and click Transmit to send your order.

Packs and Bundles available from CME Group allow the fixed income investor to either speculate on a movement in interest rate futures at a specific part of the yield curve or hedge a specific area of the yield curve.