CME Group plans to offer volatility-quoted foreign currency options for trading on the CME Globex® electronic trading platform, launching first quarter 2008. Volatility–based quoting facilitates “delta-neutral” trading, reducing the execution risk that is inherent to trading in premium-quoted options.
Important update: The value of 'ExecInst' that indicates a volatility-quoted trade on the FIXML Trade Confirmation message, is "r", not "l" as previously indicated.
A mock trading session on CME Globex for volatility-quoted FX options is scheduled for Saturday February 23. Also, on any weekday, clearing firms may test the ability of their systems to recognize volatility-quoted trades in the Clearing ‘New Release’ test environment. For more information please contact CME Clearing at 312-207-2525.
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