| Underlying Unit |
One 5-Year Interest Rate Swap futures contract of a specified delivery month. |
| Tick Size (minimum fluctuation) |
Option premium shall trade in Interest Rate Swap futures price points ($1,000 per contract), with a minimum increment of 1/64th of one point ($15.625 per contract), rounded up to the nearest cent per contract. For cabinet transactions only, the minimum increment shall be $1, from a minimum of $1 to a maximum of $15 per option contract.increments per option contract. |
| Strike Prices |
The minimum strike price range shall be 31 price levels in increments of Ω of one price point, comprising the at-the-money strike price (i.e., closest to the latest futures daily settlement price), plus the next 15 consecutively higher price levels and the next 15 consecutively lower price levels. |
| Contract Months |
Four quarterly expiries corresponding to the first four futures delivery months in the Mar-Jun-Sep-Dec quarterly cycle, plus two monthly serial expiries |
| Last Trading Day |
Mar-Jun-Sep-Dec quarterly expiries: Trading shall terminate at same hour and on same day as the corresponding Interest Rate Swap futures contract.
Monthly Serial Expiries: Friday before third Wednesday of option expiration month. Trading in expiring options ceases at the close of the regular CME Globex trading session for the corresponding futures contract. |
| Exercise |
European style, i.e., at expiry only. Any option expiring in-the-money shall be automatically exercised, unless specific instructions to the contrary are given to CME Clearing by 6:00 pm CT on its last day of trading. |
| Expiration |
Unexercised options shall expire at 7:00 pm CT on their last day of trading. |
| Position Limits |
None |
| Block Minimum |
500 contracts |
| All or None Minimum |
1000 Contracts |
| Rulebook Chapter |
24A |
Trading Hours
(All times listed are Central Time) |
Open Outcry (Trading Floor)
MON-FRI: 7:20 a.m. - 2:00 p.m.
CME Globex (Electronic Platform)
SUN-FRI: 5:30 p.m. - 4:00 p.m.
|
| Ticker Symbol |
Open Outcry
Calls: NGC. Puts: NGP
|
| Exchange Rule |
These contracts are listed with, and subject to, the rules and regulations of CBOT. |
