Clearing House Advisory Notices
To | Clearing Member Firms
From | Clearing House Department
Subject | CME Group Equity Index Product Changes – Effective August 19, 2007
Notice Date | 2007-08-02
Notice Number | 07-180
Effective Date | 2007-08-19
CME Group will implement the following Equity Index product changes on Sunday, August 19, 2007: • Expand listed option contracts to include four (4) quarterly months on: o E-mini S&P 500 Options (ES) o E-mini NASDAQ-100 Options (NQ) o NASDAQ-100 Options (ND) o E-mini Russell 2000 Options (ER) • Expand End-Of-Month options to include six (6) consecutive month options listings, from the current listing of 2 serial months for: o S&P 500 EOM Options (EV) o E-mini S&P 500 EOM Options (EW) • Add S&P Mid-Cap 400 Options on CME Globex®. See Exhibit 1 (attached) for full contract specifications. • Change the existing S&P 600 SmallCap Futures contract from a full-size contract to an E-mini contract o Minimum tick value changes from $20 to $10 o Multiplier is halved from 200 to 100 o E-mini S&P 600 SmallCap futures will be fully fungible with the new “full-size” S&P 600 SmallCap futures contract (defined below) on a 5:1 basis o Clearing Product Code changes from EP to SMC. o All other specifications remain as originally detailed. Click here to see existing product specifications. • Add a new “full-size” SmallCap S&P 600 Futures Contract (Open Outcry only) -- please refer to Exhibit 2 (attached) for detailed product specifications. Highlights of the new contract are: o Multiplier is $500 o Minimum tick value is $.05 Index Points ($25 per contract) o “Full-size” CME Small Cap S&P 600 Futures contract is fully fungible with the new E-mini S&P 600 Small Cap Futures contract (immediately above) on a 1:5 basis For printer friendly version . . .