As of Sunday, September 9, 2007 (trade date September 10, 2007), the Chicago Board of Trade will expand the number of 10-Year U.S. Treasury Note option contracts that have strike prices listed both in integral multiples of one-half point and in integral multiples of one full point. 

Under the current procedure, half point strikes in 10-Year U.S. Treasury Note options are listed only for the nearest two serial months and the nearest quarterly month. Under the revised procedure, half point strikes also will be listed for all deferred quarterly expirations. Therefore, beginning on trade date September 10, 2007, half point strikes will be available in 10-Year U.S. Treasury Note options for the March and June 2008 quarterly months as well as for the October and November 2007 serial months and the December 2007 quarterly month. 

At the commencement of trading, the CBOT will list the following strike prices in the applicable 10-Year Note options: 

1.)        the strike price closest to the previous day’s settlement price on the underlying 10-Year Note futures contract (i.e., the at-the-money strike price); 

2.)        the next 5 consecutive higher and the next 5 consecutive lower strike prices in integral multiples of one-half of one point closest to the ATM strike price; and 

3.)        the next 25 consecutive higher and the next 25 consecutive lower strike prices in integral multiples of one full point closest to the ATM strike price. 

The CBOT will add new strike prices in 10-Year Note options over time to ensure that at least 5 strike prices in half point intervals and at least 25 strike prices in one point intervals always exist above and below the previous day’s settlement price on the underlying 10-Year Note futures contract. The Exchange will add new strike prices prior to the opening of trading on the following business day. These changes will become effective in both the open auction and electronic trading environments. 

Questions or comments regarding this notice should be directed to the following individuals in the Products and Services Division: 

Jeff Kilinski (312) 648-3817 jeff.kilinski@cmegroup.com

Jonathan Kronstein (312) 435-7162 jonathan.kronstein@cmegroup.com