Options on Euro Short-Term Rate (€STR) futures (Globex code: ESR) contracts offer investors a financial vehicle to participate in the €STR futures marketplace. The Euro Short-Term Rate (€STR) is administered by the European Central Bank (ECB) and is published at 8:00 a.m. CET on each TARGET2 business day. Investors looking to precisely manage their risk around shifting ECB rates now have a means to do so by trading CME Group options on the €STR futures contract.
Understanding €STR options
€STR options are quoted in Underlying Instrument price points, at €2,500 per point per contract. The tick increment for €STR options contracts are ¼ of 0.01 IMM index points, or €6.25. The last day of trading for €STR options is the Friday prior to the third Wednesday of the contract month that lines up with the IMM calendar. Daily settlement happens at 4:00 p.m. London time.
The listing schedule for €STR options is four quarterly and four serial contracts. For more information on settlement dates, refer to the CME Group expiration calendar.
Strike prices for €STR options will be listed in intervals of 6.25 basis points (0.0625 price points) in a range of 150 basis points above and 150 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract.
The strike price for the farther range of 550 basis points above and 550 basis points below the strike price closest to the previous daily settlement price for the underlying futures contract will be available in increments of 25 basis points (0.25 price points).
€STR options are deliverable into the underlying futures contract and are exercised in the American style. Therefore, the option buyer has the right to exercise the option on any day they are traded by notifying the Clearing House by 5:30 p.m. CT on the day of exercise. Unexercised options expire at 5:30 p.m. CT on the last trading day. In-the-money options that aren’t exercised are automatically exercised following expiration.
€STR options are available to trade on the CME Globex platform and for submission for clearing on CME ClearPort under the symbol ESR.
For more information, visit cmegroup.com/ESTR.
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