Client Management Advisory Notice
From | Client Management
Subject | Expanded Eurodollar Strike Price Range
Effective Date | 04/26/01
Notice Number | NP#0107
Effective Monday, April 30, 2001 , additional strike prices for options on Eurodollar futures will become available for trading, in response to customer demand. The current strike price ranges have been extended a uniform 25 basis points above and below current specifications.Please see the attached Special Executive Report for the specifics on the rule change. If you have any questions, please contact Lisa Amato at (312) 338-2654, or email her at lamato@cme.com. Thank you. S-3671 April 26, 2001 Expanded Eurodollar Strike Price Range Effective April 30th Additional strike prices for options on Eurodollar futures will become available for trade effective Monday, April 30th. This action is taken in response to customer demand. Specifically, the current strike price ranges have been extended a uniform 25 basis points above and below current specifications. This action is taken in response to customer demand. The amended Rules are shown below � additions are underlined while deletions are bracketed and overstruck. Chapter 50 � Options on Three-Month Eurodollar Futures 5001.E. Exercise Prices 1.Twenty-Five Point Exercise Prices Exercise prices shall be stated in terms of the IMM Index for the Eurodollar Time Deposit futures contract that is deliverable upon exercise of the option and shall be stated in intervals whose last two digits are 00, 25, 50, and 75 ("twenty-five point exercise prices") for all IMM Index levels, e.g., 88.00, 88.25, 88.50, 88.75, etc. For 5-Year bundle options, exercise prices shall be stated as in terms of the average price of the futures contracts in the underlying bundle. At the commencement of trading in a contract expiration, the Exchange shall list put and call options at the exercise price that is nearest the previous day's settlement price of the respective underlying futures contract. For contract expirations whose expiration date is up to and including 12 months away, all eligible exercise prices in a range of [1.50] 1.75 IMM Index points above and below the exercise price that is nearest the futures price shall be listed for trading. Thereafter, the Exchange shall add for trading all eligible exercise prices in a range of [1.50] 1.75 IMM Index points above and [1.50] 1.75 IMM Index points below the exercise price nearest the previous day's settlement price. For contract expirations whose expiration date is more than 12 months up to and including 15 months away, all eligible exercise prices in a range of [1.75] 2.00 IMM Index points above and below the exercise price that is nearest the futures price shall be listed for trading. Thereafter, the Exchange shall add for trading all eligible exercise prices in a range of [1.75] 2.00 IMM Index points above and [1.75] 2.00 IMM Index points below the exercise price nearest the previous day's settlement price. For contract expirations whose expiration date is more than 15 months away, all eligible exercise prices in a range of [2.25] 2.50 IMM Index points above and below the exercise price that is nearest the futures price shall be listed for trading. Thereafter, the Exchange shall add for trading all eligible exercise prices in a range of [2.25] 2.50 IMM Index points above and [2.25] 2.50 IMM Index points below the exercise price nearest the previous day's settlement price. New options may be listed for trading up to and including the termination of trading. 2. Special Listings of 12.5 Point Exercise Prices Additional exercise prices shall be stated in intervals whose last three digits are 12.5, 37.5, 62.5, and 87.5 ("twelve and a half point exercise prices") for all IMM Index levels, e.g., 93.125, 93.375, 93.625, 93.875, etc. For the nearest Options in the March Quarterly cycle and two nearest options not in the March Quarterly cycle having the same underlying futures contract, 12.5 point exercise prices shall be listed beginning on the Exchange business day following the expiration of the spot month Options in the March Quarterly Cycle. For the nearest options in the March Quarterly cycle and two nearest options not in the March Quarterly cycle 1�Year MidCurve options, and the nearest options in the March Quarterly cycle 2�year MidCurve options, 12.5 point exercise prices shall be listed beginning on the Exchange business day following the expiration of last contract month in the same listing cycle. The Exchange shall list put and call options at the 12.5 point exercise price that is nearest the previous day's settlement price of the underlying futures contract month and the 12.5 point exercise price above and the 12.5 point exercise price below the 12.5 point exercise price that is nearest the previous day's settlement price of the underlying futures contract. The Board may modify the provisions governing the establishment of exercise prices as it deems appropriate, subject to the provisions of Section 5a(a)(12)(A) of the Commodity Exchange Act and CFTC regulations thereunder.