Client Management Advisory Notice
From | Systems Liaison
Subject | Update# 4 Fortune e-50 index Futures, Options and Flex Options to be listed 9/5/2000
Effective Date | 08/14/00
Notice Number | NP#0005
CONTRACT NAME: E-mini Feeder Cattle Futures and Options LISTING DATE: September 19, 2000 for Futures Contracts, Options to follow at a later date. DESCRIPTION: E-mini Feeder Cattle 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 Feeder Cattle Index� per pound for 700 to 849 pound Medium Frame #1 and Medium and Large Frame #1 feeder steers. Options One option to buy, in the case of the call, or to sell, in the case of the put, one E-mini Feeder Cattle futures and options. GLOBEX2 TRADING HOURS: 9:05 a.m. � 1:00 p.m. CST. TRADING FLOOR HOURS - All-Or-None (AON) Trades Only: 9:05 a.m. � 1:00 p.m. CST. VALID CONTRACT MONTHS: Same as large Feeder Cattle contract: January, March, April, May, August, September, October, and November. INITIAL CONTRACT MONTHS: October 2000, November 2000 and January 2001. Only three contract months will be listed concurrently. TCC COMMODITY CODE/TICKER SYMBOL: FM AON TICKER SYMBOL: OF (AON Minimum order size of 41 contracts). MINIMUM PRICE INTERVALS: Minimum price fluctuations shall be in multiples of $.001 per pound. UNDERLYING FUTURES CONTRACT: The underlying futures contract is the futures contract for the month in which the option expires. DOLLAR VALUE PER TICK: Each tick ($.001 per pound) is equivalent to $10.00. GLOBEX2 PRICE LIMITS: There shall be no trading at a price more than $.015 per pound above or below the previous day�s settlement price. TERMINATION OF TRADING: Trading shall terminate on the last Thursday of the contract month, except: 1. The November contract shall terminate on the Thursday prior to Thanksgiving Day, unless a holiday falls on the Thursday or on any of the four weekdays prior to that Thursday, in which case trading shall terminate on the first prior Thursday that is not a holiday and is not so preceded by a holiday. Weekdays shall be defined as Monday, Tuesday, Wednesday, Thursday and Friday. 2. Any contract month in which a holiday falls on the last Thursday of the month or on any of the four weekdays prior to that Thursday shall terminate on the first prior Thursday that is not a holiday and is not so preceded by a holiday. 3. Options trading shall terminate on the same date and at the same 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 instruction delivered to the Clearing House by 7:00 p.m. on the business day following the termination of trading by the clearing member representing the option buyer, be exercised automatically. EXERCISE PRICES: The exercises prices shall be stated in terms of cents per pound. For all contract months, exercise prices shall be at intervals of 2 cents; e.g., $.60, .62, .64, etc. In addition, for the first two contract months, some exercise prices shall be at intervals of 1 cent; e.g., $.61, .62, .63, etc. For the expiring contract month, some exercise prices shall also be at intervals of .50 cents; e.g., $.6050, .6150, .6250, etc. FINAL SETTLEMENT: Cash settled upon the CME Feeder Cattle Index TM for 700 to 849 pound Medium Frame #1 and Medium and Large Frame #1 feeder steers for the seven days ending on the Thursday on which trading terminates, as calculated per Rule 2303. 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. ELIGIBLE MEMBERSHIP DIVISIONS: CME Division. GEM, IMM and IOM may trade as part of new product access program. PRICE CONVENTIONS: CONTRACT NAME: FORTUNE e-50 Index Futures, Options and Flex Options LISTING DATE: September 5, 2000 DESCRIPTION: The FORTUNE e-50 Index is a modified capitalization weighted composite index comprised of leading edge technology stocks CONTRACT SIZE: Each futures contract shall be valued at $20 times the FORTUNE e-50 Index. OPENING DAY TRADING HOURS: To be determined. GLOBEX� TRADING HOURS: 3:45 p.m. to 3:15 p.m. (next day), Monday � Thursday, and 5:30 p.m. to 3:15 p.m. (next business day), Sundays and Holidays. (Same as E-mini S&P 500 trading hours.) VALID CONTRACT MONTHS: Futures: Two March Quarterly Cycle months and one futures Calendar Spread (FEH1-FEZ0) and one inter-commodity ratio spread (FEZ0-NQZ0, 4:1). Options: March Quarterly Cycle months, plus nearest two months. (Options will not be listed at this time.) FLEX Options As agreed upon by the two parties to the trade. (FLEX Options will not be available at this time.) INITIAL CONTRACT MONTHS: Futures: Dec 2000 and March 2001. The September 2000 will not be listed due to the short time remaining to expiration. TCC COMMODITY CODE TICKER SYMBOL: FE AON TICKER SYMBOL: FJ (AON minimum order size of 31 contracts.) MINIMUM PRICE INTERVALS: Bids and offers shall be quoted in terms of the FORTUNE e-50 Index. The minimum fluctuation of the futures contract shall be .50 index points, equivalent to $10.00 per contract. Cabinet = .25 Index Points or $5.00. DOLLAR VALUE PER TICK: .50 Index points, or $10.00 per contract. DOLLAR VALUE OF ONE CONTRACT: As of December 31, 1999, the Index was near 1,000 Index Points, equivalent to approximately $20,000. GLOBEX� PRICE LIMITS: There shall be no trading of FORTUNE e-50 Index futures at a price more than 2.5% Price Limit above or below the Reference RTH price. TERMINATION OF TRADING: Futures: Trading can occur up to 8:30 a.m. (Chicago time) on the third Friday of the contract month. Options: Same as Futures. FLEX Options: Flexible option expiration dates may be specified for any Exchange business day up to and including the day of determination of the Final Settlement Price of the underlying futures contract. If a flexible option expiration occurs on the same day as the day of determination of the Final Settlement Price of its underlying futures contract, flexible options trading shall terminate at the same time as the underlying futures on the business day immediately preceding the day of determination of the Final Settlement Price of the underlying futures contract. Otherwise, flexible options trading shall terminate at the close of trading on the expiration date specified for the flexible option. FINAL SETTLEMENT: The Final Settlement Price shall be determined on the third Friday of the contract month or, if the FORTUNE e-50 Index is not scheduled to be published for that day, on the first earlier day for which the Index is scheduled to be published. DELIVERY: Cash settled EXERCISE: An option may be exercised by the buyer on any business day that the option is traded. Exercise of an option is accomplished by the clearing member representing the buyer presenting an exercise notice to the Clearing House by 7:00 p.m. on the day of exercise. Flex Options: Flexible options may be specified to have either American-style or European-style exercise. If American-style, the option may be exercised by the buyer on any business day that the option is traded and also on its expiration date. If European-style, the option may be exercised by the buyer only on the day that the option expires. To exercise the 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. EXERCISE PRICE INTERVALS: 5 Index Points. Exercise prices shall be stated in terms of the FORTUNE e-50 Index futures contract which is deliverable upon exercise of the option. The exercise prices shall be integers divisible by 20 without remainder., e.g., 1000, 1020, 1040, 1060, etc. FLEX OPTIONS EXERCISE PRICE INTERVALS: .50 Intervals. Exercise prices shall be stated in terms of the FORTUNE e-50 Index futures contract that is deliverable upon exercise of the option and may be at intervals of .50 for all FORTUNE e-50 Index levels from 0 through 100,000, e.g., 1,000.50, 1001.00, 1,001.50, etc. INITIAL EXERCISE PRICES: The Exchange shall list all eligible exercise prices in a range of 100 index points above and below the previous day�s settlement price of the FORTUNE e-50 Index futures contract. MINIMUM REPORTABLE LEVEL: 25 contracts or greater. FLEX OPTIONS MINIMUM TRADING UNIT: The minimum size for requesting a quote and/or trading in a flexible option series is 10 contracts. PERFORMANCE BOND REQUIREMENTS: To be published by the Clearing House. ELIGIBLE MEMBERSHIP DIVISIONS: Same as for E-mini Nasdaq 100. PRICE CONVENTIONS:
| Trade Price | Premium (Trade Price) | Exercise Price
Actual Price: | 1021.50 | 21.50 | 1000.00
TREX/TES Format: | 102150 | 2150 | 1000
Trade Register: | 1021.50 | 21.50 | 1000
Recap Ledger: | n/a | n/a | 1000
Unmatched Trade Notice: | 102150 | 2150 | 1000
Cabinet Price Format: | N/A | CAB or 9999999 | 1000
Trade Register File: | 102.150 | 2.150 | 1000
Settlement Price File: | 102150 | 2150 | 0001000
SPAN File (SPAN): | 102150 | 2150 | 0001000
GLOBEX Price Entry Format | 102150 | 2150 | 1000.00
GLOBEX Cabinet Price Format: | n/a | 0 | 1000.00
APS/GUS File Format: | 1021.50 | 2150 | 0001000
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 Addendum to FORTUNE e-50 Specifications DAILY PRICE LIMITS AND TRADING HALTS, RTH: Daily price limits and trading halts of the FORTUNE e-50 Index futures contracts shall be coordinated with trading halts of the underlying securities listed for trading in the securities markets. For the purpose of this rule, the primary futures contract shall be defined as the futures contract trading in the lead month configuration in the pit and the Equity Price Limit Committee shall have the responsibility of determining whether the primary futures contract is limit offered. For the first day of trading in a newly listed contract, there will be an implied previous business day�s settlement price, created by the Exchange for the sole purpose of establishing price limits. The implied settlement price will be created by extrapolating the annualized percentage carry between the two contract months immediately prior to the newly listed contract. Price Limits: There shall be Price Limits corresponding to a 2.5%, 5.0%, 10.0%, 15.0% and 20.0% decline below the Settlement Price of the preceding RTH session calculated as provided below. The 2.5%, 5.0%, 10.0%, 15.0% and 20.0% Price Limits shall be calculated at the beginning of each calendar quarter, based upon the average closing price of the current primary futures contract, during the month prior to the beginning of the quarter (P) and rounded, as follows: 2.5% Price Limit equals one-half of the 5.0% Price Limit rounded down to the nearest integral multiple of 1 index point. 5.0% Price Limit equals one-half of the 10.0% Price Limit rounded down to nearest integral multiple of 1 index point. 10.0% Price Limit equals 10% of P rounded down to nearest integral multiple of 2 index points. 15.0% Price Limit equals 1.5 times the 10.0% Price Limit 20.0% Price Limit equals 2 times the 10.0% Price Limit Once the primary futures contract is limit offered at the 2.5% or 5.0% Price Limit, a 10-minute period shall commence. These price limits shall cease to be in effect at the end of the 10-minute period or 45 minutes preceding the scheduled close of trading. If the primary futures contract is limit offered at the end of the 10-minute period, or 45 minutes before the scheduled close of trading, trading shall terminate for a period of two minutes, after which time the market shall reopen. The next applicable Price Limit shall apply to such reopening. When the primary futures contract is limit offered at the 10.0% Price Limit, a 10-minute period shall commence. If the primary futures contract is limit offered at the end of the 10-minute period, trading shall terminate for a period of two minutes, after which time the market shall reopen. The next applicable Price Limit shall apply to such reopening. When the primary futures contract is limit offered at the 15.0% Price Limit, a 10-minute period shall commence. If the primary futures contract is limit offered at the end of the 10-minute period, trading shall terminate for a period of two minutes, after which time the market shall reopen. The 20% Price Limit shall apply to such reopening and shall represent the Total Daily Price Limit. Trading Halts: If there is a trading halt declared in the primary securities market , trading shall be halted. Once trading in the primary securities market resumes after a trading halt, trading on FORTUNE e-50 Index futures contract shall resume. Second Day Limits: If the primary futures contract is limit offered at the 20.0% Price Limit as of the close of Regular Trading Hours, the subsequent RTH trading session shall be subject to modified limits as follows: If, during a RTH trading session subject to Second Day Limits, the primary futures contract is limit offered at the 2.5%, 5.0%, 10.0% or 15.0% Price Limit, a 10-minute period shall commence. These price limits shall cease to be in effect at the end of the 10-minute period or 45 minutes preceding the scheduled close of trading. If the primary futures contract is limit offered at the 2.5%, 5.0%, 10.0% or 15.0% Price Limit at the end of the 10-minute period, or 45-minutes before the scheduled close of trading, trading shall terminate for a period of two minutes, after which time the market shall reopen. The next applicable Price Limit shall apply to such reopening. The 20% Price Limit shall represent the Total Daily Price Limit. If, during a RTH trading session subject to Second Day Limits, there is a trading halt declared in the primary securities market, trading shall be halted. Once trading in the primary securities market resumes after a trading halt, trading on the FORTUNE e-50 Index futures contract shall resume. GLOBEX Opening Time and Price Limit. Opening Time: The opening time of trading on GLOBEX will be the same as the opening time of GLOBEX trading of S&P 500 contracts. In particular, the opening time of GLOBEX trading will be delayed until 6:00 p.m. if GLOBEX trading of S&P 500 contracts is delayed until 6:00 p.m. During Electronic Trading Hours (ETH), there shall be no trading of FORTUNE e-50 Index futures at a price more than the 2.5% Price Limit above or below the Reference RTH Price. 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) 648-5475 General Information: Steve Mazur (312) 930-2035 & Lisa Amato (312) 338-2654