GLOBEX Advisory Notices
To |
From | CME Globex(R) Account Management
Subject | Reminder - Half-Tick Trading in All CME(R) Eurodollar Options
Notice Date | 2004-11-12
Notice Number | 111204-1
Effective Date |
Dear CME® Globex® Customers, Effective Sunday, November 14, 2004, CME will simplify the rules governing the minimum price fluctuations for all options on CME Eurodollar futures. All Serial, Quarterly, Mid-Curve and 5-year Bundle options will be eligible to trade in increments of 0.005. However, the nearest expiring regular quarterly options on CME Eurodollar futures contracts will still be eligible to trade in increments of 0.0025 ($6.25) if the underlying quarterly future is eligible to trade in quarter-ticks. Please see the following table for further details.
CME Eurodollar Option Minimum Price Fluctuation (Full-tick = 0.01 IMM Index point = $25.00)
Contracts: | Options on CME Eurodollar Futures | One-Year Mid-Curve Options | Two-Year and Gold Mid-Curve Options | 5-year Bundle Options*
New Rules (Effective Sunday, November 14, 2004) | Quarterly Options: 1st - 8th: Half-tick (Expiring can trade in quarter-tick if underlying future can trade in quarter-tick) | Quarterly Options: 1st - 4th: Half-tick | Quarterly Options: 1st - 4th: Half-tick | Quarterly Options: 1st & 2nd: Half-tick
Serial Options: 1st - 2nd: Half-tick | Serial Options: 1st - 2nd: Half-tick | Serial Options: None | Serial Options: 1st - 2nd: Half-tick
Current Rules (Through Friday, November 12, 2004) | Quarterly Options: 1st - 4th: Half-tick (Expiring can trade in quarter-tick if underlying future can trade in quarter-tick) 5th - 8th: Full-tick (half-tick at or below 5 ticks) | Quarterly Options: 1st & 2nd: Half-tick 3rd & 4th: Full-tick (half-tick at or below 5 ticks) | Quarterly Options: 1st & 2nd: Half-tick 3rd & 4th: Full-tick (half-tick at or below 5 ticks) | Quarterly Options: 1st & 2nd: Full-tick (half-tick at or below 3 ticks)
Serial Options: 1st - 2nd: Half-tick | Serial Options: 1st - 2nd: Half-tick | Serial Options: None | Serial Options: 1st - 2nd: Full-tick
* Full-tick = $500
If you have any questions please call Peter Barker, Director, CME Products & Services at (312) 930-8554; or Larry Grannan, Associate Director, CME Products & Services at (312) 454-8312. Thank you, CME