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As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile
Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the
following products listed below.
The rates will be effective after the close of business on
Friday, December 10 2010.
Current rates as of:
Thursday, December 9, 2010.
In this current advisory there are changes to the Tier Structure. Below are descriptions of what each change affects:
The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.
ChaChanges to Tier Structure: Current Tier Structure New Tier Structure Tier Months Months 1 1-1 1-1 2 2-4 2-4 3 5+ 5-12 4 13+
ChaChanges to Tier Structure:
Current Tier Structure
New Tier Structure
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.