Effective Sunday, December 20, 2015 for trade date Monday, December 21, 2015, and pending all relevant CFTC regulatory review periods, Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) will list the 1-Month Euro/U.S. Dollar (EUR/USD) VolContractsTM (Euro 1-Month VolContracts™) Futures contract (CME Rulebook chapter: 261C; Code: 16E) and the 3-Month Euro/U.S. Dollar (EUR/USD) VolContractsTM (Euro 3-Month VolContracts™) Futures contract (CME Rulebook chapter: 261B; Code: 36E) (the “Contracts”) for trading on CME Globex and for submission for clearing through CME ClearPort. The Contracts will offer direct trading of EUR/USD exchange rate volatility. The Contracts will allow participants to buy or sell EUR/USD exchange rate volatility without the complexity of managing CME Euro/US Dollar standard options positions, and without the necessity of forming a strong directional view on the price movement of the underlying CME Euro/US Dollar futures contract. The Contracts will be cash-settled to one-month and three-month historical or “realized” volatilities, respectively, calculated by reference to the daily price movements of the Exchange’s underlying extant standard-sized EUR/USD futures contract. The realized volatility calculations for both contracts are based on a simple standard deviation formula.
Please direct questions regarding this notice to:
Will Patrick +44 20 3379 3721 Will.Patrick@cmegroup.com
Craig LeVeille +1 312 454 5301 Craig.LeVeille@cmegroup.com
Simon Burnham +1 312 930 3426 Simon.Burnham@cmegroup.com
Kevin McMillin +1 312 930 8264 Kevin.McMillin@cmegroup.com
Ravi Pandit +65 6593 5562 Ravi.Pandit@cmegroup.com
Please click here for complete SER-7542.
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.