September 2009

Over 75,000 contracts traded since August 24 launch

The recently launched weekly options on S&P 500 futures (in both standard-size and E-mini contracts) are designed to expire on the first and second Fridays of the month. Together with end-of-month, quarterly and serial options, you now have four expirations per month for trading the benchmark S&P 500 Index. You’ll also benefit from:

• Precision from shorter durations - Hone in on opportunities generated by market movements or economic releases in the first two weeks of the month.
• Certainty of exercise - Weekly options use european-style exercise and prohibit contrarian instructions. At expiration, all in-the-money options are automatically exercised and all out-of-the money options automatically abandoned.

Tools to Help You Get Started

• Options Expiration Calendar - View a calendar of upcoming expiration dates for quarterly, serial, end-of-month (EOM) and new Weekly options on futures on the S&P 500 Index.
• Free E-mini Options Quotes - As with most of our E-mini equity index options on futures, you can view free, real-time quotes at our www.cmegroup.com/eminioptions page.
• Options Comparison Table - View contract specs for weekly, EOM and quarterly /serial E-mini and standard S&P 500 options side-by-side.

A Powerful Combination to Unlock International Equity Opportunities

E-mini MSCI EAFE futures and E-mini MSCI Emerging Markets futures -- listed and traded at CME -- offer the liquidity, round-the-clock access and resources you need to access international equity market opportunities.

Open Interest, Notional Value (through September 16, 2009)
The notional value of Open Interest in the contracts has increased since the end of August:

E-mini MSCI EAFE Futures – Monthly ADV and OI through August 2009


E-mini MSCI Emerging Markets Futures – Monthly ADV and OI through August 2009

Q23 2009 Pace of Roll Daily Tracker

View the roll period migration of open interest and implied financing costs for our key equity index contracts with the Q3 2009 online Pace of Roll tool.

Monthly Stock Index Update, August 2009

View the latest monthly summary of contract volume and open interest, historical volatility, sector index weightings, index correlations and more for key equity index futures and options contracts.

BM&FBOVESPA, the largest exchange in Latin America, recently received regulatory approval enabling market participants with a U.S.-based account to trade futures and options for the world renowned Ibovespa stock index.

With this approval, the Ibovespa contracts have now been listed on the CME Globex electronic trading platform as part of the order routing agreement between BM&FBOVESPA and CME Group that was initiated in September 2008.

Financial SPCTR futures, which were re-launched in late July 2009 with an increased contract multiplier (along with Technology SPCTR futures), enable you to target and express your views on the direction of financial sector stocks in the benchmark S&P 500 index.

Traction continues to build in the contracts, which averaged over 120 contacts a day during the last two weeks of August corresponding to a market maker program expansion.

InformationWeek recently named CME Group the #1 technology innovator in this year’s InformationWeek 500. We are continually striving to offer you faster, even more reliable and globally accessible technology. The average round trip time for CME Globex trades now averages less than 7 milliseconds, with some markets trading at 2.5 milliseconds. We are working to make sure that response times in all of our product areas are under 1 millisecond by the end of 2010, ensuring that the speed with which you can do business continues to get even faster.

Decommissioning of Exchange-Defined Option Spreads

Currently, approximately 360,000 option spreads per week are pre-listed on CME Globex, commonly known as Exchange-Defined Spreads (EDS). Less than one percent of these EDS have activity. In response to customer and system provider demand, CME Group has chosen to remove all EDS and make all option strategies 100 percent user defined. A User Defined Spread (UDS) is an option spread that a trader creates by defining the underlying legs and their ratios. CME Globex takes the legs and creates a tradable instrument that is disseminated to the entire market. If the created spread matches a known CME Group spread type (e.g., a straddle), CME Globex will properly identify the spread as that specific type.

11/1/2009

• CME Group will add the following as recognized spread types: Jelly Roll, Iron Butterfly, Guts, 3-Way Straddle vs. Call, 3-Way Straddle vs. Put, and Vertical.
   Click here to see list of CME recognized spread types
• CME Group will cease pre-listing option spreads. All option spreads must be created by traders using their trading software’s UDS functionality.
• Horizontals (HO) UDS will be harmonized so all product complexes have the same construction:
  
  • Buy deferred front leg with strike 1
  • Sell near back leg with strike 1

Last Sunday, September 13, 2009, a new feature called the Strategy Builder Window was added to CME EOS Trader. This feature:

• Offers a faster, more intuitive way to create and trade common options strategies and User-Defined Spreads on CME Globex
• Simplifies creation of Delta Neutral or “Covered” contracts
• Adds the ability to select a strategy or outright from the List window and incorporate it into another strategy
• Combines two current windows into one view – without eliminating existing functionality