• Price Precision Extension - and Reduction to Minimum Tick for Certain Treasury Contracts

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 17-461
      • Notice Date
      • 30 November 2017
      • Effective Date
      • 30 November 2017
    • In the fourth quarter of 2018, CME Clearing will begin supporting an increase to the maximum precision of trade and/or settlement prices for futures and options. Currently, prices are supported with a maximum precision of seven decimal places. With this enhancement, prices will be supported to a maximum precision of nine decimal places. In addition to CME’s clearing applications, the corresponding enhancements will be applied in CME Globex, in streamlined SBE market data, on CME Clearport, and on CME’s STP API.
      The first contracts affected will be CBOT Two-Year Note Treasury futures, where prices are quoted in 32nds and fractions thereof. Pending regulatory approval, in the fourth quarter of 2018, the minimum price increment for the 2 Year Treasury Note futures, future spreads and inter-commodity spreads will be reduced from 1/4th of 1/32nd (0.0078125) to 1/8th of 1/32nd (0.00390625). With this change, fully decimalized prices will require eight decimal places of precision.

      Although no changes are planned at this time to the tick rule for the options on the Two-Year Note futures, generically CME’s systems will support prices for futures quoted in 32nds and fractions thereof, out to one-sixteenth of a 32nd. For options, CME’s systems will support prices quoted in 64ths and fractions thereof, out to one-eighth of a 64th. CME may introduce such products in the fourth quarter of 2018. For these, fully decimalized prices will require nine decimal places of precision.

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      17-461