| Clearing House Advisory Notices |
| To |
Clearing Member Firms |
| From |
CME Clearing |
| Subject |
Volatility-Quoted Foreign Currency Options – Will Be Listed For Trading March, 09, 2008 |
| Notice Date |
2008-03-06 |
| Notice Number |
08-37 |
| Effective Date |
2008-03-09
|
As a reminder, volatility-quoted foreign currency options will be
listed for trading on the CME Globex
® electronic trading platform on Sunday, March 9, 2008 for trade date March 10, 2008.
Volatility–based quoting facilitates “delta-neutral” trading, reducing the execution risk that is
inherent to trading in premium-quoted options. The volatility quoted options were previously
announced in Clearing Advisory 07-271 dated November 9, 2007. Please see below link for more
details:
http://www.cme.com../files/Chadv07-271.pdf
For questions regarding this notice, please contact CME Clearing
Services at (312) 207-2525.
Thank you.
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