CME launches EUR/USD 1-Month and 3-Month Realized Volatility Futures on Sunday, February 6, 2011. These CME EUR/USD Realized Volatility Futures contracts represent the first of a series of futures contracts that are financially or cash-settled to either a 1- or 3-month historical or “realized” volatility calculated by reference to daily price movements in major CME currency futures. Also, at later dates, CME will launch for trading analogous GBP/USD, JPY/USD, CHF/USD, CAD/USD and AUD/USD 1-Month and 3-Month Realized Volatility or VolContracts™. All of these FX VolContracts are offered under a license agreement to utilize a granted U.S. patent held by Robert P. Krause, Volatility Partners, LLC, and The Volatility Exchange Corporation. You were first notified of the CME FX Realized Volatility Futures contract introduction in CME Group Special Executive Report, S-5452, dated Monday, November 1, 2010.
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