Clearing House Advisory Notices
To Clearing Member Firms
From Clearing House Department
Subject 3-Way Call Spread Naming Convention Changes-Effective July 15, 2007
Notice Date 2007-06-26
Notice Number 07-152
Effective Date 2007-07-15

Effective Sunday, July 15, 2007, the naming convention for 3-Way Call Spreads will change.  3-Way Put Spreads are unaffected by this change. 

                  

Currently, 3-Way Call Spreads are configured in this manner: Leg 1 (Buy Call @ strike price), Leg 2 (Sell Put @ lower strike price), and Leg 3 (Sell Call at higher strike price)

 

The new naming convention will switch the order of the second and third legs of the spread:

 

Leg 1 (Buy Call @ strike price), Leg 2 (Sell Call @ higher strike price) and Leg 3 (Sell Put @ lower strike price)

 

For questions regarding this notice, please contact CME Clearing Services at (312) 207-2525.

 

Thank you.  

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