• Expansion of Strike Price Increments – Short-Term Gold Options

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5966
      • Notice Date
      • 19 October 2011
      • Effective Date
      • 19 October 2011
    • Effective Sunday, November 6, 2011, for trade date Monday, November 7, 2011, the Commodity Exchange, Inc. (COMEX or Exchange) will expand the strike price listing rule for the Short-Term Gold Option contract (Chapter 1067, commodity code L01-L31).  The expansion from ten (10) to forty (40) strike price increments is intended to provide the trading community with greater flexibility. Short-Term Gold Options are listed for trading on the COMEX trading floor and CME Globex and for submission for clearing through CME ClearPort.  The Exchange shall provide notification of the expansion of strike price increments to the Commodity Futures Trading Commission within one week following the effective date of these changes.

      (underline indicates addition; strikethrough indicates deletion)

       

      1067.04             STRIKE PRICES

      Trading shall be conducted for options with strike prices in increments as set forth below.

      (A) On the first business day of trading in an option contract day, trading shall be at the following strike prices: (i) the previous day's settlement price for Gold futures contracts in the corresponding delivery month rounded off to the nearest five-dollar increment strike price unless such settlement price is precisely midway between two five-dollar increment strike prices in which case it shall be rounded off to the lower five-dollar increment strike price and (ii) the forty ten five-dollar increment strike prices which are tenforty increments higher than the strike price described in (i) of this rule 1067.04(A) and (iii) the tenforty five-dollar increment strike prices which are tenforty increments lower than the strike price described in (i) of this rule 1067.04(A).

      (B) Thereafter, on any business day prior to the expiration of the option: (i) new consecutive five-dollar increment strike prices for both puts and calls will be added such that at all times there will be at least tenforty five-dollar increment strike prices above and below the at-the-money strike price available for trading in all option contracts;

      (C) Notwithstanding the provisions of subsections (A) and (B) of this rule, if the Exchange determines that trading in Short-Term Gold option will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of a Short-Term Gold option in which no new strike prices may be introduced.

       

      Please refer questions on this subject to:

      Energy & Metals Research:

      Bob Biolsi                                 bob.biolsi@cmegroup.com                               212.299.2610

      Joann Arena                              joann.arena@cmegroup.com                             212.299.2356