• Changes to expiration behavior for exact at-the-money options on CME options on FX futures - Effective March 24, 2017

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 17-074
      • Notice Date
      • 24 February 2017
      • Effective Date
      • 24 March 2017
    • Effective Friday, March 24, 2017 and pending all relevant CFTC regulatory review periods, CME will amend the exercise and assignment rules for all options on FX futures contracts. CME is amending the auto-exercise rule at expiration, whereby if the underlying fixing price falls exactly on a strike price, the at-the-money calls are exercised and the at-the-money puts are abandoned. At-the-money calls will now be treated as in-the-money and exercised whereas at-the-money puts are treated as out-of-the-money and abandoned.

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      17-074