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Eurodollar Calendar Spread Options (CSOs) Options
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Type
 
Eurodollar Calendar Spread Options
Underlying Instrument Eurodollar Calendar Spread Options (CSO) are option contracts on the one-year Eurodollar futures calendar spread (i.e. "Whites" versus "Reds" futures spread). CSO call option is exercisable into one (1) long nearby Eurodollar futures contract and one (1) short deferred Eurodollar futures contract (e.g., long September 2008 and short September 2009 Eurodollar futures). An ED CSO put option is exercisable into one (1) short nearby Eurodollar futures contract and one (1) long deferred Eurodollar futures contract (e.g., short September 2008 and long September 2009 Eurodollar futures).

For quarterly ED CSOs, the nearby futures shall be the quarterly futures with the same expiration month as the option (e.g., September 2008 options shall be exercisable into the EDU8-EDU9 spread). For serial ED CSOs, the nearby futures shall be the nearest quarterly futures following the expiration of the calendar spread options (e.g., October and November 2008 CSOs shall be exercisable into the EDZ8-EDZ9 spread).
Tick Size
(minimum fluctuation)		 Quoted in IMM Index points.
One-quarter of one basis point (0.0025 = $6.25) when the nearest contract month of the underlying ED futures calendar spread is the nearest expiring futures contract month and also for options with premiums below 0.05 IMM index points.
One-half of one basis point (0.005 - $12.50) for all other contract months.
Strike Price Interval At-the-money strike price plus/minus 20 strike prices in integral increments of 5 basis points (0.05 IMM index points).
Contract Months Four consecutive expiries in the Mar, Jun, Sep and Dec quarterly cycle plus two serial expiries not in the quarterly cycle.
Last Trading Day The Friday prior to the third Wednesday of the contract 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.
In-the-money ED CSOs shall settle by exercising into the underlying Eurodollar futures spread at the price differential determined by the option strike. For example, an ED CSO call option with a strike price of .75 exercises into a long nearby ED futures and a short deferred ED futures at a price .75 lower than that of the nearby futures. For an ED CSO put option with a strike price of .75, the option exercises into a short nearby ED futures and a long deferred ED futures at a price .75 lower than that of the nearby futures
Position Limits None
Block Minimum Block Minimums
All or None Minimum Not Available
Rulebook Chapter CME Chapter 452D
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