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3-Month Overnight Index Swaps (OIS) Options
Type
| 3-Month Overnight Index Swap (OIS) Options | |||||
|---|---|---|---|---|---|
| Underlying Instrument | One 3-Month OIS Futures contract of a specified expiry month. | ||||
| Tick Size (minimum fluctuation) |
Nearby quarterly contract month (when underlying futures trades in one-quarter of one basis point): One-quarter of one basis point (0.0025 = $6.25 per contract). All other contract months: One-half of one basis point (0.005 = $12.50 per contract). First two serials and first two quarterlies: One-quarter of one basis point (0.0025 = $6.25 per contract), provided that the total premium of the outright or spread combination is five bps or less. |
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| Strike Price Interval | The following strike prices will be listed in intervals of 25 basis points: All strikes in a range of 550 basis points above and 550 basis points below the strike closest to the previous day's underlying futures settle price. Additional strike prices will be listed in intervals of 12.5 basis points in a range of 150 basis points above and 150 basis points below the strike closest to the previous day's underlying futures settle price. | ||||
| Contract Months | Two serial expiries plus four consecutive expiries in the March, June, September, and December quarter cycle. Serial options exercise into the underlying futures contract that expires either four or five months after the corresponding option contract. Quarterly options exercise into the underlying futures contract that expires three months after the corresponding option contract. For example: October, November, and December options exercise into March futures; January, February and March options exercise into June futures, etc. | ||||
| Last Trading Day | The Friday before the third Wednesday of the option contract month. Trading in expiring contracts ceases at 4:00 p.m. CT on the last trade date. If such Friday is not a business day, the last day of trading shall be the business day prior to such Friday. | ||||
| Exercise | Options are American-style and are exercised by notifying the Clearing House by 7:00 p.m. on the day of exercise. Unexercised options shall expire at 7:00 p.m. CT on the last trading day. In-the-money options that have not been exercised shall be automatically exercised following expiration in the absence of contrary instructions. | ||||
| Position Limits | None | ||||
| Block Minimum | Not Available | ||||
| All or None Minimum | Not Available | ||||
| Rulebook Chapter | CBOT Chapter 460A | ||||
| Trading Hours (All times listed are Central Time) |
OPEN OUTCRY |
MON - FRI: 7:20 a.m. - 2:00 p.m.
|
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| CME GLOBEX |
SUN-FRI: 5:00 p.m. - 4:00 p.m.
|
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| Ticker Symbol | OPEN OUTCRY |
OSP
|
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| CME GLOBEX |
OSS
|
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| Exchange Rule | These contracts are listed with, and subject to, the rules and regulations of CME. | ||||
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