On Monday, October 9, 2006, during open auction trading in Wheat futures, a number of December 2006/July 2007 Wheat spreads were executed at differential prices that resulted in one of the spread legs being priced outside of the daily price limits.

In accordance with the established contract specifications for Wheat futures and Regulation 352.01, which requires that all sides of a spread be priced within the daily price limits, transactions executed outside of the price limits cannot stand and will not clear.  As such, and consistent with past precedent, all affected Wheat spreads must be repriced such that the differential price is within the limit levels for the respective legs of the spread. 

On October 9, 2006, the upper limit in December 2006 Wheat was 4.94 and the lower limit in July 2007 Wheat was 4.38½, a difference of 55½ cents.  Therefore, the December/July spread was not permitted to trade in excess of 55½ cents.  All trades executed at higher levels must be repriced to 55½ cents and submitted for clearing on behalf of the accounts for which the spreads were executed.

Parties to trades executed at prices beyond the permissible limits may make cash adjustments as appropriate to resolve discrepancies between the traded price of the spread and the upper price limit for the spread.  Unresolved disputes regarding adjustments may be arbitrated through Exchange arbitration facilities. 

Questions regarding this issue may be directed to the following individuals at the CBOT:

    Thomas Hammond, Managing Director, Exchange Operations    (312) 341-7484

    Dean Payton, Vice President, Office of Investigations & Audits  (312) 435-3658