Client Management Advisory Notice

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From Client Management
Subject Special Executive Notice S-3750: ADDITIONAL STRIKES TO BE ADDED FOR OPTIONS ON CANADIAN DOLLAR FUTURES TRADED ON THE FLOOR, EFFECTIVE WEDNESDAY, DECEMBER 19, 2001
Effective Date 12/19/01
Notice Number CM#0189

ADDITIONAL STRIKES TO BE ADDED FOR OPTIONS ON CANADIAN DOLLAR FUTURES TRADED ON THE FLOOR, EFFECTIVE WEDNESDAY, DECEMBER 19, 2001

Effective Wednesday, December 19, 2001, under the CFTC exchange certification procedure, additional strikes will be listed for Canadian Dollar options traded on the floor. There will be no change in strike listings for Canadian Dollar options traded on GLOBEX� . Recently, there has been interest in these additional listings. For Canadian Dollar options traded on the floor, the Exchange will now list put and call options at the regular exercise price that is nearest the previous day�s settlement price of the underlying futures contract and the next eight higher and the next eight lower regular exercise prices. Previously, the Exchange listed put and call options at the regular exercise price that is nearest the previous day�s settlement price of the underlying futures contract and the next four higher and the next four lower regular exercise prices. The amendments are as follows, with additions underlined.

4603. LISTING OF EXERCISE PRICES

A. Monthly Options in the March Quarterly Cycle ("Quarterly Options")

At the commencement of trading in a contract month, the Exchange shall list put and call options at the regular exercise price that is nearest the previous day's settlement price of the underlying futures contract. For options on Canadian Dollar Futures, the Exchange shall list put and call options at the next eight higher and next eight lower regular exercise prices. For options on Deutsche Mark Futures, options on Japanese Yen Futures, options on Swiss Franc Futures, and options on Pound Sterling Futures, the Exchange shall list put and call options at the next six higher and next six lower regular exercise prices. For all other options on a currency futures, the Exchange shall list put and call options at the next four higher and next four lower regular exercise prices.

When a sale, bid, offer, or settlement price in the underlying futures occurs within half a regular exercise price interval of the eighth highest or eighth lowest existing regular exercise price for Options on Canadian Dollar Futures, sixth highest or sixth lowest existing regular exercise prices for Options on Deutsche Mark Futures, Options on Japanese Yen Futures, Options on Swiss Franc Futures, or Options on Pound Sterling Futures, or the fourth highest or fourth lowest existing regular exercise price for any other option on a currency futures, put and call options at the next higher or next lower regular exercise price respectively shall be listed for trading on the next trading day. New options may be listed for trading up to and including the termination of trading.

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.

If you have any questions, please contact Mr. Scott Brusso, Director, Currency Products, at (312) 930-3133, Mr. Bryan Hunter, Director, Currency Products at (312) 466-7488 or Mr. Steven Youngren, Associate Director, Financial Product Development, at (312) 930-4583.