Clearing House Advisory Notices
To | Clearing Member Firms
From | Clearing House Department
Subject | Crush Spreads and SPAN Files
Notice Date | 2006-01-26
Notice Number | 06-22
Effective Date | 2006-01-26
SPAN file change to support CBOT crush spread options, to be introduced on Friday, February 10, 2006. In anticipation of the upcoming launch of CBOT crush spread options, a change will be introduced in the combined CBOT-CME SPAN® files on Friday, February 10, 2006. (Note that the crush spread options themselves will not be launched on that date.) Crush spread options, which will use clearing product code 31, are options where the underlying is a combination of futures, rather than a single future. For example, exercising a July crush spread call option, results in buying eleven of the July soy meal future, buying nine of the July soy oil future, and selling ten of the July soybean future. For the full text of this advisory. . .