Client Management Advisory Notice
From | Systems Liaison
Subject | Update# 2 E-mini Lean Hogs futures to be listed July 25th.
Effective Date | 07/13/00
Notice Number | NP#0004
CONTRACT NAME: E-mini Lean Hogs Futures and Options LISTING DATE: July 25, 2000 for futures only; options on futures to follow at a later date. DESCRIPTION: E-mini Lean Hogs Futures will be traded electronically on GLOBEX; All-or-None (AON) futures will be traded in the pit on the Trading Floor. CONTRACT SIZE: Futures Each Futures contract shall be valued at 10,000 pounds times the CME Lean Hog Index�. The CME Lean Hog Index� is a two-day weighted average price per pound for pound for packer base weight hogs, 51-52% lean/.80 - .99 inches of backfat at the last rib or equivalent. Options One option to buy, in the case of the call, or to sell, in the case of the put, one E-Mini Lean Hogs futures contract. OPENING DAY HOURS: 10:00 a.m. to 1:00 p.m. GLOBEX2 TRADING HOURS: 9:10 a.m. to 1:00 p.m. TRADING FLOOR HOURS � ALL OR NONE TRADES ONLY: 9:10 a.m. to 1:00 p.m. ALL OR NONE MINIMUM SIZE: Orders over 40 contracts (41 or more) must be executed as All or None (AON). VALID CONTRACT MONTHS: Futures contract months are February, April, June, July, August, October and December. INITIAL CONTRACT MONTHS: October and December 2000 and February 2001. TCC COMMODITY CODE/ TICKER SYMBOL: HM AON TICKER SYMBOL: 0H (zero H) MINIMUM PRICE INTERVALS: Minimum price fluctuations shall be in multiples of $.001 per pound (one tick). Options Cabinet trades may occur at $.0005 per pound ($5.00, or one-half tick). UNDERLYING FUTURES CONTRACT: The underlying futures contract is the futures contract for the month in which the option expires. DOLLAR VALUE PER TICK: Each tick ($.001 per pound) is equivalent to $10.00. GLOBEX2 PRICE LIMITS: There shall be no trading at a price more than $.02 per pound above or below the previous day�s settlement price, except that during the last 2 days of trading in the expiring contract month the daily price limit shall be $.03 per pound. TERMINATION OF TRADING: Futures trading shall terminate on the tenth business day of the contract month. Options shall terminate on the same date and time as the underlying futures contract. EXERCISE: An option may be exercised by the buyer on any business day that the option is traded. To exercise an option, the clearing member representing the buyer shall present an exercise notice to the Clearing House by 7:00 p.m. on the day of exercise. An option that is in-the-money and has not been liquidated or exercised prior to the termination of trading shall, in the absence of contrary instructions delivered to the Clearing House by 7:00 p.m., on the second business day following the termination of trading by the clearing member representing the option buyer, be exercised automatically. EXERCISE PRICES: The exercise prices shall be stated in terms of cents per pound. For all contract months, exercise prices shall be at intervals of $.02; e.g., $.60, .62, .64, etc. In addition, for the first two contract months, some exercise prices shall also be at intervals of $.01; e.g., $.60, .61, .62, etc. At the commencement of option trading in a contract month, the Exchange shall list put and call options in a range $.14 above and below the previous day�s settlement price of the underlying futures contract. When a sale, bid, offer or settlement price in the underlying futures contract occurs at, or passes through an exercise price, the Exchange shall list on the next trading day put and call option contracts at the next higher (or next lower) exercise price within a $.14 range above (or below) the exercise price at which or through which the underlying futures sale, bid, offer or settlement price occurred. When a contract becomes the second nearest contract month, the Exchange shall add exercise prices at $.01 intervals at a range $.06 above and below the previous day�s settlement price. Thereafter, when a sale, bid, offer or settlement price occurs at, or passes through, any exercise price, the Exchange shall on the next trading day list put and call options at the next higher (or next lower) exercise price within a $.06 range above (or below) the exercise price through which the underlying futures sale, bid, offer or settlement price occurred. In addition, when a sale, bid, offer or settlement price occurs at, or passes through, any even-numbered exercise price; e.g., $.60, .62, .64, the Exchange shall on the next trading day list put and call options at the next higher (or next lower) even-numbered exercise price within a $.14 range above (or below) the exercise price through which the underlying futures sale, bid, offer or settlement price occurred. New options may be listed for trading up to and including the termination of trading. FINAL SETTLEMENT: Cash settled upon the CME Lean Hog IndexTM for the two-day period ending on the day on which trading terminates, as calculated per Rule 1603. DAILY PRICE LIMITS: There shall be no trading at a price more than $.020 per pound above or below the previous day�s settlement price, except that during the last 2 days of trading in the expiring contract month the daily price limit shall be $.030 per pound. POSITION LIMITS: No person shall own or control a combination of full-size Lean Hogs and E-Mini Lean Hogs futures that exceeds: 1. 2400 full-size equivalent Lean Hogs contracts long or short in any contract month. 2. 950 full-size equivalent Lean Hogs contracts long or short in the expiring contract month as of the close of business on the fifth business day of the contract month. For the purposes of this rule, an E-Mini Lean Hogs futures contract shall be deemed to be equivalent to one-quarter (0.25) of a full-size Lean Hogs futures contract. For positions involving options on E-Mini Lean Hogs futures, this rule is superseded by the option speculative position limit rule. DELIVERY: Cash settlement. MINIMUM REPORTABLE LEVEL: 25 contracts or greater. CFTC REPORTABLE NUMBER: Contact Judy Sepsey, CFTC, at (312) 353-9028 PERFORMANCE BOND REQUIREMENTS: To be published by the Clearing House. CLEARING FEES: To be published by the Audit Department at the end of July. ELIGIBLE MEMBERSHIP DIVISIONS: CME Division. IMM, IOM and GEM may trade as part of new product access program. PRICE CONVENTIONS:
| Trade Price | Premium (Trade Price) | Exercise Price
Actual Price: | 62.30 | 1.300 | 63.000
TREX/TES Format: | 62300 | 1300 | 0630
Trade Register: | 62.300 | 1.300 | 63.000
Recap Ledger: | n/a | n/a | 0630
Unmatched Trade Notice: | 62300 | 1300 | 0630
Cabinet Price Format: | N/A | CAB or 9999999 | 0630
Trade Register File: | 62.300 | 1.300 | 0630
Settlement Price File: | 62300 | 1300 | 0000630
SPAN File (SPAN): | 62300 | 1300 | 0000630
GLOBEX Price Entry Format | 6230 | 130 | 63.000
GLOBEX Cabinet Price Format: | n/a | 0 | 63.000
APS/GUS File Format: | 62300 | 1300 | 000063
FOR FURTHER INFORMATION: Please contact one of the following for further information: Settlement/Delivery Information: John Verde (312) 930-3185 & Linda Elliott (312) 930-3174 Performance Bond Information: Risk Management Department (312) 648-3888 Position Limits: Ken Lovett (312) 648-3259 GLOBEX Information John Restivo (312) 649-5475 General Information Steve Mazur (312) 930-2035 & Lisa Amato (312) 338-2654