Client Management Advisory Notices
To | Back Office Managers
From | CME Client Management Operations
Subject | Special Executive Report S-4059: Strike Price Interval Change For Russian Ruble Options, Effective Tuesday, February 3, 2004
Notice Date | 2004-02-02
Notice Number | CMO#0012
Effective Date |
S-4059 February 3, 2004 Strike Price Interval Change For Russian Ruble Options, Effective Tuesday, February 3, 2004 Effective Tuesday, February 3, 2004, the strike price interval for Russian ruble options has been decreased to $0.00025. Previously, the strike price interval had been set at $0.0025. The initial put and call strike prices will continue to be listed at the nearest strike to the previous day’s settlement price and eight higher and eight lower regular exercise prices for options on Russian ruble futures. New strikes are added the next day, at the next unlisted level higher or lower as the underlying futures prices occur within a half-strike interval of the eighth higher or lower strike prices. The rule language to effect these changes can be found below with additions underlined and deletions bracketed and overstruck. 260A01.J. Exercise Prices Regular exercise prices shall be stated in terms of U.S. dollars per Russian ruble at intervals of [$0.0025] $0.00025, e.g., [$0.1675, $0.1700, $0.1725] $0.03500, $0.03525, $0.03550, etc. If you have any questions, please contact Mr. Scott Brusso, Director, Foreign Exchange, at (312) 930-3133 or Mr. Steven Youngren, Associate Director, Financial Product Development, at (312) 930-4583.