Client Management Advisory Notice
From | Client Management
Subject | � Tick Daily Settlements for Eurodollar Options � Effective Monday, October 1, 2001
Effective Date | 09/28/01
Notice Number | NP#0124
� Tick Daily Settlements for Eurodollar Options � Effective Monday, October 1, 2001 Effective Monday, October 1, 2001, all Eurodollar Options and Mid-Curve Eurodollar Options will be allowed to settle at quarter-tick increments. This rule change expands the existing quarter-tick increment settlement rule, which previously applied only up to 10 ticks, effectively removing the 10 tick limit. The text of the rule changes is attached. Amendment of the Quarter-tick Settlement Rule for Eurodollar Options and Mid-Curve Eurodollar Options Effective Monday October 1, 2001 At its meeting on September 25, 2001, the Board approved amendments to the quarter-tick daily settlement rules for Eurodollar Options and Mid-Curve Eurodollar Options. Prior to the amendments, Eurodollar Options and Mid-Curve Eurodollar Options are allowed to settle at quarter-tick increments (0.0025 IMM index points) up to 10 ticks, or 0.10 IMM index points. Under the amended rules, all Eurodollar Options and Mid-Curve Eurodollar Options are allowed to settle at quarter-tick increments. The rule amendment will be effective on October 1, 2001. The text of the rule amendments is as follows. Additions are underlined while deletions are bracketed and overstruck. CHAPTER 50 � OPTIONS ON THREE-MONTH EURODOLLAR FUTURES 5001. C. Minimum Fluctuations The price of an option shall be quoted in IMM Index points, except as provided in Rule 584 (GLOBEX Volatility Quotes). Each .01 IMM Index point (1 basis point) shall represent 25 dollars, except for the 5-Year bundle options as specified in Paragraph 3. For example, a quote of 0.35 represents an option price of 875 dollars (35 basis points x 25 dollars). Contract Month Whose Underlying Futures Contract is the Nearest Expiring Futures Contract Month The minimum fluctuation shall be .0025 IMM Index point (also known as one-quarter tick). First Four Contract Months in the March Quarterly Cycle and First Two Months Not in the March Quarterly Cycle Excluding the Contract Month Whose Underlying Futures Contract Month is the Nearest Expiring Futures Contract Month. The minimum fluctuation shall be .005 IMM Index point (also known as one�half tick). Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. For the purpose of Rule 813.�Settlement Prices, the minimum fluctuation shall be .0025 IMM Index point ($6.25, also known as one�quarter tick) [for options whose premiums are less than .10 IMM Index point] . Second Four Contract Months in the March Quarterly Cycle The minimum fluctuation shall be .01 IMM Index point ($25, also known as one tick). Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. During the RTH, a trade may also occur at a price of .015 IMM Index points ($37.50, also known as one and one-half ticks), .025 IMM Index points ($62.50, also known as two and one-half ticks), .035 IMM Index points ($87.50, also known as three and one-half ticks, and .045 IMM Index points ($112.50, also known as four and one-half ticks). For the purposes of Rule 813�Settlement Prices, the minimum fluctuation shall be .0025 [.005] IMM Index point ($6.25[12.50], also known as one-quarter [one-half] tick). [In addition, for options whose premiums are less than .10 IMM Index point, the minimum fluctuation shall be .0025 IMM Index point ($6.25, also known as one�quarter tick). ] All Other Contract Months The minimum fluctuation shall be .01 IMM Index point (also known as one tick). Trades may also occur at a price of .005 IMM Index point ($12.50, also known as one�half tick), whether or not such trades result in the liquidation of positions for both parties to the trade. Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. For the purpose of Rule 813�Settlement Prices, the minimum fluctuation shall be .0025 [.005] IMM Index point ($6.25[12.50], also known as one-quarter [one-half] tick). [In addition, for options whose premiums are less than .10 IMM Index point, the minimum fluctuation shall be .0025 IMM Index point ($6.25, also known as one�quarter tick). ] 5-Year Bundle Options The minimum fluctuation shall be .01 IMM Index point ($500, also known as one tick). Trades may also occur at a price of .005 IMM Index point ($250, also known as one-half tick), whether or not such trades result in the liquidation of positions for both parties to the trade. During RTH, a trade may also occur at a price of .015 IMM Index points ($750, also known as one and one-half ticks), and .025 IMM Index points ($1250, also known as two and one-half ticks). Mid-Curve Options For the first two contract months in the March Quarterly Cycle and the first two months not in the March Quarterly Cycle, the minimum fluctuation shall be .005 IMM Index point ($12.50, also known as one-half tick). Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. For all other contract months, the minimum fluctuation shall be .01 IMM Index point ($25, also known as one tick). Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. During RTH, a trade may also occur at a price of .015 IMM Index points ($37.50, also known as one and one-half ticks), .025 IMM Index points ($62.50, also known as two and one-half ticks), .035 IMM Index points ($87.50, also known as three and one-half ticks), and .045 IMM Index points ($112.50, also known as four and one-half ticks). For the purpose of Rule 813�Settlement Prices, the minimum fluctuation shall be .0025 [.005] IMM Index point ($6.25[12.50], also known as one-quarter [one-half] tick). [In addition, for options whose premiums are less than .10 IMM Index point, the minimum fluctuation shall be .0025 IMM Index point ($6.25, also known as one�quarter tick). ] Please contact Richard Co, Product Development at 312-930-3227, or Peter Barker, Product Marketing at 312-930-8554 for further information.