| Underlying Instrument |
Quarterly
Corresponding quarterly Eurodollar futures contract month.
Serial
Corresponding quarterly Eurodollar futures contract month immediately following the serial (e.g., April serial option underlying is the June futures).
Mid Curve
One-Year, Two-Year, and Fifth-Year Quarterly Midcurve Options: The Quarterly Eurodollar futures contract month that expires one, two or four years after the option expires, respectively.
1-Year Serial Mid-Curve Options: The Quarterly Eurodollar futures contract month that expires one-year from the next quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the One-year Mid-Curve option that expires in January or February is the March futures in the next calendar year.
Weekly Mid-Curve
The Quarterly Eurodollar futures contract month that expires 12 calendar months from the nearest non-expired quarterly Mid-Curve option.
Examples:
On June 8, 2007, the underlying futures contract is the June 2008 contract
On June 22, 2007, the underlying futures contract is September 2008 contract because the June Mid-Curve has already expired.
Treasury Matched Mid-Curve
The Quarterly Eurodollar futures contract month that expires one year from the nearest non-expired quarterly Mid-Curve Option.
|
Tick Size
(minimum fluctuation) |
Quarterly and Serial
Quoted in IMM Index points. One-quarter of one basis point (.0025 = $6.25) for options when when underlying futures is nearest expiring month, and for the first two quarterly months and the first two serial months when the option premium is below five ticks. One-half of one basis point (0.005 = $12.50) for all other contract months.
All Mid-Curves
One-half of one basis point (0.005 = $12.50).
|
| Strike Price Interval |
Strike prices will be listed in intervals of 12.5 basis points (0.125) 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.
Strike prices will be listed in intervals of 25 basis points (0.25) 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. |
| Contract Months |
Quarterly
Eight quarterly options
Serial
Two front month serial options
Mid-Curve
1-Year Mid-Curve Options: Four quarterlies along with two front month serials.
2-Year and 5-Year Mid-Curve Options: Four quarterly months each
Weekly Mid-Curve
Weekly expirations including the serial/quarterly Mid-curve and TOMMi options.
Five consecutive weekly expirations available for trading.
Treasury Matched Mid-Curve
Corresponding to Treasury options expiration: The last Friday which precedes by at least two business days, the last business day of the month preceding the option month.
|
| Last Trading Day |
Quarterly
The second London bank business day before the third Wednesday of the contract month. Trading in expiring contracts ceases at 11:00 a.m. London Time on the last trading day.
Serial and Mid-Curve
The Friday immediately preceding the third Wednesday of the contract month.
Weekly Mid-Curve
Each Friday that is not an expiration day for a Quarterly or Serial one-year Mid-curve option.
Treasury Matched Mid-Curve
Corresponding to Treasury options expiration: The last Friday which precedes by at least two business days, the last business day of the month preceding the option month.
|
| Exercise |
Options are American Style and are exercised by notifying the Clearing House by 7:00 p.m. CT 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 |
Block Trading Minimums |
| All or None Minimum |
All or None Minimums |
| Rulebook Chapter |
CBOT Chapter 452A |
Trading Hours
(All times listed are Central Time) |
OPEN OUTCRY (RTH)
MON - FRI: 7:20 a.m. - 2:00 p.m.
CME GLOBEX (ETH)
SUN-FRI: 5:00 p.m. - 4:00 p.m.
|
| Ticker Symbol |
Quarterly and Serial
Open Outcry: ED CME Globex: GE All or None: WD
Mid-Curve
Open Outcry: E0, E2, E5 CME Globex: GE0, GE2, GE5
Weekly Mid-Curve
Open Outcry: 1K, 2K, 3K, 4K, 5K CME Globex: E01, E02, E03, E04, E05
Treasury Matched Mid-Curve
Open Outcry: E0T (E-zero-T) CME Globex: TE0 (T-E-zero)
|
| Exchange Rule |
These contracts are listed with, and subject to, the rules and regulations of CME. |
