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Mid-Curve Options Products

Mid-Curve options are short-dated American-style options on long-dated Eurodollar futures. These options, with a time to expiration of three months to one year, have as their underlying instrument Eurodollar futures one, two, or five years out on the yield curve. The availability of these products provides a wide variety of hedging and trading opportunities on the mid-range of the yield curve, hence the name “Mid-Curve” options. Because the options are short-dated, they offer a low premium, high time decay option alternative for trading this part of the curve.

In addition to the 1-year, 2-year, and 5-year Mid-Curve options, CME Group also offers Weekly Mid-Curve options and Treasury Matched Mid-Curve options (TOMMi), which have extended expirations to match the longer-dated U.S. Treasury options. Weekly Mid-Curve options allow risk managers to trade Eurodollar options with high gamma on one of the most actively traded Eurodollar futures expirations, the fifth quarterly or first "Red" contract. TOMMi options remove the date mismatch between Treasury and mid-curve options, facilitate more precise volatility spreading, and allow more spreading opportunities with Eurodollar, Treasury and other OTC options.

In any given month there will be at least one Mid-Curve expiration and one TOMMi option expiration. In addition to these, there will also be weekly expirations on the remaining Fridays:

 

Mid-Curve Options Contract Specifications
Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m., Central Time, Monday through Friday
CME Globex Electronic Market: 5:00 p.m. – 4:00 p.m, Sunday through Friday
Symbols Open outcry: E0, E2, E5
CME Globex: GE0, GE2, GE5
Listed Mid-Curve: Four quarterlies along with two front month serials
2-Year and 5-Year Mid-Curves: 4 quarterly months each
Underlying Contract Quarterly Eurodollar future that expires one, two or four years after the option
Last Trading Day 2:00 p.m. Central time (open outcry) 4:00 p.m. (CME Globex) on the Friday preceding the third Wednesday of the contract month
Settlement/Exercise Quarterly options: Position in the corresponding futures contract expiring either one, two or four years after the option expires.
Serial options: Position in the next quarterly futures contract expiring one year after the option expires.
Strike Increment .125 increments for 150 basis points from ATM
.25 increments outside of that
Minimum Fluctuation .0025=$6.25 for two serials and first two quarterlies providing the premium is
below 5 tics
.005=$12.50 for all other expirations.

Weekly Mid-Curve Options Contract Specifications
Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m., Central Time, Monday through Friday
CME Globex Electronic Market: 5:00 p.m. – 4:00 p.m., Sunday through Friday
Symbols Open outcry: 1K, 2K, 3K, 4K, 5K
CME Globex: E01, E02, E03, E04, E05
Listed Weekly expirations shall be listed such that including the serial (quarterly) Mid-Curve and Tommi options, five consecutive weekly expirations are available for trading
Underlying Contract Quarterly Eurodollar futures that expires one year from the nearest non-expired
Quarterly Mid-Curve.
Example:
- June 8, 2007 underlying futures contract is June 2008 CME Eurodollar
- June 22, 2007 underlying futures contract is September 2008 because the
June Mid-Curve has already expired.
Last Trading Day Weekly options trading terminates at the conclusion of trading on each Friday that is not an expiration day for a Quarterly, Serial or TOMMi Mid-Curve Option.
Settlement/Exercise Position in the corresponding futures contract
Strike Increment .125 increments for 150 basis points from ATM
.25 increments outside of that
Minimum Fluctuation .005=$12.50

Treasury Matched Mid-Curve Options (TOMMi) Contract Specifications
Trading Hours Open Outcry: 7:20 a.m. – 2:00 p.m., Central Time, Monday through Friday
CME Globex Electronic Market: 5:00 p.m. – 4:00 p.m, Sunday through Friday
Symbols Open outcry: E0T (E-zero-T)
CME Globex: TE0 (T-E-zero)
Listed

TOMMi options will be listed on a schedule corresponding to U.S. Treasury options listings. A new contract is listed the day after the front month expires.

U.S. Treasury Options Listings:
The first three consecutive contract months (two serial expirations and one quarterly expiration) plus the next four months in the quarterly cycle (Mar, Jun, Sep, Dec).
Underlying Contract Quarterly Eurodollar futures that expires one year from the nearest non-expired
Quarterly Mid-Curve.
Last Trading Day

TOMMi options will expire on a schedule that is consistent with the
corresponding Treasury options expiration.

Treasury Options Expiration: Treasury options cease trading on the last Friday which precedes by at least two business days, the last business day of the month preceding the option month. Note: if the Friday of expiration is a holiday, this date may be changed by exchange rule.
Example: TE0J8 expires on Thursday, March 20, 2008 because of Good
Friday. TE0M8 expires on Friday, May 23, 2008.
Settlement/Exercise Position in the corresponding futures contract.
Strike Increment .125 increments for 150 basis points from ATM
.25 increments outside of that
Minimum Fluctuation .005=$12.50