• Amendments to Daily Option Settlement Procedure Document

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-7778
      • Notice Date
      • 02 November 2016
      • Effective Date
      • 14 November 2016
    • Effective on trade date Monday, November 14, 2016, and pending all relevant CFTC regulatory review periods, Chicago Mercantile Exchange Inc. (“CME”),The Board of Trade of the City of Chicago, Inc. (“CBOT”), New York Mercantile Exchange, Inc. (“NYMEX”) and Commodity Exchange, Inc. (“COMEX”) (collectively, the “Exchanges”) will amend the Daily Option Settlement Procedure document to clarify that daily settlements for out-of-the-money options are determined based on market activity throughout the trading day and on all venues including the trading floor, as applicable. Additionally, the amendments codify that for all NYMEX and COMEX options products, the interest rate used is derived from the point on the Overnight Index Swap (OIS) curve corresponding to the expiration date of the option contract.

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