Effective November 29, 2007, CME and CBOT adopted common rule language with respect to Rule 534 (“Wash Sales Prohibited”).  The rule is presented in its entirety below and applies to both open outcry and electronic trading.

Rule 534 (“Wash Sales Prohibited”)

No person shall place for the same beneficial owner buy and sell orders for the same product and expiration month, and, for a put or call option, the same strike price, at or about the same time with the intent to avoid a bona fide market position exposed to market risk (transactions commonly known or referred to as wash sales).  Buy and sell orders placed for the same beneficial owner in the same product and expiration month, and, for a put or call option, the same strike price, must be entered in good faith for the purpose of executing bona fide transactions that result in a change of ownership.  Additionally, no person shall accept, execute or accommodate the execution of orders which are prohibited by this rule with knowledge of their character.

An FAQ document addressing common questions related to Rule 534 is attached to this document.

Questions regarding this advisory may be directed to the following individuals in Market Regulation:
Jennifer Baum, Associate Director, 312.341.3124
Greg Benbrook, Associate Director, 312.930.4529
Robert Sniegowski, Associate Director, 312.648.5493

 - Wash Sales Prohibited & FAQ - 12.13.2007