• Listing of Additional Strike Price Intervals for Options on all Long-Term Treasury Note and Bond Futures

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-7578
      • Notice Date
      • 12 February 2016
      • Effective Date
      • 06 March 2016
    • Effective Sunday, March 6, 2016, for first trade date of Monday, March 7, 2016, The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) shall list for trading additional strike price intervals for (i) all Weekly Options and (ii) the nearest expiring Serial or Quarterly Options on certain Treasury Futures as set forth in Exhibit 1 below.  At any given time, the Exchange shall ensure that the additional strike prices will be listed in a range of three price points above and three price points below the at-the-money exercise price level. 

      Please refer questions on this subject to:

      Ted Carey                      ted.carey@cmegroup.com                      312 930 8554

      Jonathan Kronstein        jonathan.kronstein@cmegroup.com       312 930 3472

      Jeremy Lao                    jeremy.lao@cmegroup.com                     212 299 2165

      David Reif                      david.reif@cmegroup.com                      312 648 3839


      Please click here for complete SER-7578.