Frequently Asked Questions: Wednesday & Friday Weekly Options on U.S. Treasury Futures

What is changing?

We will be adding Wednesday expiration Treasury options resulting in two expiration dates each week. Every week will have a Wednesday expiration and a Friday expiration. The Friday expiration will continue to be either a Friday Weekly Treasury option or the standard serial/quarterly expiration.

Will CME Group continue to list Friday Weekly Treasury Options (WTOs)?

Yes, there will be no changes to listings or listing rules in the Friday expiration options including Friday weekly expirations as well as standard serial and quarterly options. 

Will CME Group list Friday WTOs expirations on the same date as a standard serial or quarterly treasury option expiration?

No, Friday WTOs will not be listed for expiration on the same date as the expiration of a standard quarterly or serial option. This is consistent with Friday expiration listing rules since the product launch in 2011.

What will the initial listings look like for Wednesday expiration options?

Wednesday options will be launched on June 5. The first two listed expiration dates will be June 14 and June 21, 2017.
View full expiration calendar

What are the ticker symbols for WTO contracts?

The ticker symbols for the Friday and Wednesday WTO contracts are indicated in the table below.

WTO Contract Friday Open Outcry Product Code (No Changes) Friday CME Globex Product Code (No Changes) Wednesday Open Outcry and Globex Product Code
2-Year TW1-5 ZT1-5 WT1-5
5-Year FV1-5 ZF1-5 WF1-5
10-Year TY1-5 ZN1-5 WY1-5
Ultra 10-Year TN1-5 TN1-5 WX1-5
T-Bond US1-5 ZB1-5 WB1-5
Ultra T-Bond UL1-5 UB1-5 WU1-5

What is the naming convention for WTOs?

The naming convention is symbol + week of the month + month code + year. For example:

  • The CME Globex symbol for a Wednesday WTO on 10-Year futures expiring on the second Wednesday in June 2017 is WY2M17.
  • The CME Globex symbol for a Friday WTO on the 10-Year futures expiring on the second Friday in June 2017 is ZN2M17

How many WTO expirations will be listed at any given time?

Two Wednesday WTOs will be listed at a time for each Treasury futures product. Each WTO will have about 14 days to expiration upon its initial listing date.

Three Friday WTOs will be listed at a time for each Treasury futures product. Each Friday will have about 28 days to expiration upon its listing date. This is consistent with current listing rules.

When will a new WTO be listed?

New Wednesday WTO expirations will be listed three hours after the current Wednesday expires (5 p.m. Central time (CT)).

For example, the first two expiration dates for the Wednesday options will be June 14 and June 21, 2017. Immediately following the expiration of the June 14 expiration, the June 28, 2017 expiration will be listed on CME Globex open (5 p.m. CT)

New Friday WTO expirations will be listed on the weekend following the expiration of the nearest Friday weekly, with the exception of the scenario outlined in the following question. 

Will a new Friday WTO be listed on the weekend following expiration of a standard serial or quarterly option?

No. The only new options to be listed for trading on such weekends will be new serial or quarterly options. A Friday WTO will not be added on the weekend following a serial 

When do Friday WTOs expire?*

Friday WTOs will continue to be listed to expire on every Friday, except for those Fridays on which standard serial or quarterly options are scheduled to expire. All Friday expirations will be marked in or out of the money based upon the 2 p.m. CT settle and continue to trade on Globex until 4 p.m. CT. Contrary instructions will be allowed per existing rules.

When do Wednesday WTOs expire?*

Wednesday WTOs will be listed to expire on every Wednesday of every month at 2 p.m. CT. They will stop trading in all venues at this time including CME Globex. Contrary instructions will not be allowed.

How does expiration and contrary instructions work?

There is a difference between Wednesday expiration options and all Friday expiration options (Friday Weekly Treasury options and standard serial and quarterly options). Friday expiration options (weekly and serial/quarterly) will continue to function as they always have. Wednesday options will stop trading at 2 p.m. CT and no contrary instructions will be allowed.

Wednesday Expiration Options

  • The 2 p.m. CT futures settle will determine if the option is in- or out-of-the-money.
  • Trading in the options will cease at 2 p.m. CT.
  • Contrary instructions will not be allowed. At 2 p.m. CT, you will know your futures positions per the following rules:
  • In-the-money options will be auto-exercised.
  • Out-of-the money options will be auto-abandoned.
  • If the future settle exactly at-the-money:
    • ATM Calls will be auto-exercised.
    • ATM Puts will be auto-abandoned.

No Change- Friday Expiration options (Friday weeklies, serial and quarterly options)

  • The 2 p.m. CT will determine if the options are in- or out-of-the-money.
  • Options will continue to trade on Globex until 4 p.m. CT.
  • Per the futures settle at 2 p.m. CT.
    • In-the-money options will be auto-exercised.
    • Out-of-the-money options will be auto-abandoned.
    • At-The-money options will be auto-abandoned
  • Contrary instructions are allowed, giving the long positon holder the ability to exercise an out-of-the-money option or abandon in-the-money options.

On which U.S. Treasury futures will WTOs be listed?

There will be both a Wednesday and Friday expiration on the following Treasury futures: 2-Year, 5-Year, 10-Year, Ultra-10 Year, Treasury Bond and Ultra T-Bond.

What are the strike increments of Wednesday and Friday WTOs?

  • U.S. Treasury Bond and Ultra Bond Options: ½ of one point
  • 5-Year Notes, 10-Year Notes, and Ultra 10-Year Note Options: ¼ of one point
  • 2-Year Notes: 1/8 of one point

Do WTOs exercise physically or by cash settlement?

Both Wednesday and Friday WTOs exercise physically into its underlying Treasury futures contract.

If a WTO expires prior to the nearby expiration date of the related standard quarterly option, then the WTO will exercise into the next quarterly delivery month for its underlying futures.

If the WTO expires after the nearby expiration date of the related standard quarterly option, then it will exercise into the first-deferred quarterly delivery month for the underlying futures.

In short, a weekly option will always exercise into the same future as its nearest subsequent quarterly option. This is illustrated below in the August 2017 WTO schedule

Weekly Expiration Expiration Date Underlying Future
Week 1-Wednesday Wednesday, August 02, 2017 Sep-17
Week 1-Friday Friday, August 04, 2017 Sep-17
Week 2-Wednesday Wednesday, August 09, 2017 Sep-17
Week 2-Friday Friday, August 11, 2017 Sep-17
Week 3-Wednesday Wednesday, August 16, 2017 Sep-17
Week 3-Friday Friday, August 18, 2017 Sep-17
Week 4-Wednesday Wednesday, August 23, 2017 Sep-17
Treasury September Quarterly Expiration Friday, August 25, 2017 Sep-17
Week 5-Wednesday Wednesday, August 30, 2017 Dec-17
Week 1-Friday Friday, September 01, 2017 Dec-17

There is no Week 4 August 2017 Friday WTO, because a standard quarterly Treasury option expiration occurs on that day. Both the Week 5 Wednesday expiring on August 30, 2017 and the Week 1 Friday expiring on September 1, 2017 will have a December 17 underlying future. This is because the September options expired before these weekly expirations.

Will the introduction of WTOs cause any changes in the schedule of listings or expirations for standard serial or quarterly options?

No. The expiration schedule for serial and quarterly Treasury options will remain the same.

Will flexible options on Treasury futures still be listed?

Yes. Flexible options will still be available via open outcry, allowing traders to pinpoint specific strike prices and expiration dates, and to designate European or American exercise.

 

*In cases where the Wednesday or a Friday expiration is a holiday, the WTO that would otherwise be scheduled to expire will expire on the preceding exchange business day.

If you have additional questions, please contact:

David Reif
Executive Director, Interest Rates
+1 312 648 3839

Ted Carey
Director, Interest Rates
+1 312 930 8554


Matters discussed herein are pending and subject to CFTC review.

U.S. Treasury Options are listed with and subject to the rules and regulations of the CBOT. Eurodollar Options are listed with and subject to the rules and regulations of CME.

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The information within this fact card has been compiled by CME Group for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this brochure, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience.

Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience.

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