Client  Management Advisory Notices
To Back Office Managers, Service Bureau Representatives, Independent Software Vendors
From Client Management Operations
Subject Additional AMendments To Options On CME Degree Days Index Future Rules- Effective September 8, 2003
Notice Date 2003-09-05
Notice Number CMO0403
Effective Date  

In addition, to the changes described in Client Management Operations Notice (CMO# -0402), the following amendments to Options on CME Degree Days Index Futures (Rule 403A01.E. Exercise Prices) shall apply. These amendments will become effective at the start of business on Monday, September 8, 2003 for all listed contract months.

FOR HDD ONLY

Exercise prices shall be stated in terms of the respective CME Degree Days Index futures contract that is deliverable upon exercise of the option.

For the first two contract months, exercise prices shall be at intervals of 50 CME Degree Days Index points (e.g., 700, 750, 800, etc.).  In addition, for options on the contract month nearest to expiration, some exercise prices shall also be at intervals of 10 index points (e.g., 710, 720, 730, etc.). 

At the commencement of option trading in a contract month, the Exchange shall list put and call options at intervals of 50 index points in a range of 100 index points above and below the previous day's settlement price of the underlying futures contract. Thereafter, when the settlement price in the underlying futures contract occurs at or passes through any exercise price, the Exchange shall list on the next trading day put and call options at the next higher (or lower) exercise price within a 100-point range above (or below) the settlement price.

Furthermore, for options on the contract month nearest to expiration, the Exchange shall list put and call options at intervals of 10 index points in a range of 100 index points above and below the previous day’s settlement price of the underlying futures contract.  Thereafter, when a settlement price in the underlying futures contract occurs at or passes through any exercise price, the Exchange shall list on the next trading day put and call options at the next higher (or lower) exercise price within a 100-point range  above (or below) the settlement price. New options may be listed for trading up to and including the termination of trading.

Please contact Neal Desai, (312) 634.8887, if you have any questions.