GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | Variable Tick Threshold Change for CME Equity Options
Notice Date | 2006-03-09
Notice Number | 030906-4
Effective Date | 2006-03-09
Dear CME Globex Customers, Effective Sunday, April 2, 2006 (trade date April 3), to better support spread trading, CME is increasing the variable tick threshold from 3.00 to 5.00 index points for the following options on futures and option spreads: CME E-Mini S&P 500® CME S&P 500 CME S&P 500/Citigroup Growth CME S&P 500/Citigroup Value This change will be available for testing in the CME certification environment Monday, March 20, via the 8A (equivalent to the CME E-mini S&P 500 options) and 8B (equivalent to the CME S&P 500, CME S&P 500/Citigroup Growth and CME S&P 500/Citigroup Value options).
Options on Futures | Current Variable Tick Threshold | New Variable Tick Threshold
CME E-mini S&P 500 | Premiums > 3.00 = 0.25 tick Premiums < 3.00 = 0.05 tick | Premiums > 5.00 = 0.25 tick Premiums < 5.00 = 0.05 tick
CME S&P 500 | Premiums > 3.00 = 0.10 tick Premiums < 3.00 = 0.05 tick | Premiums > 5.00 = 0.10 tick Premiums < 5.00 = 0.05 tick
CME S&P 500/Citigroup Growth | Premiums > 3.00 = 0.10 tick Premiums < 3.00 = 0.05 tick | Premiums > 5.00 = 0.10 tick Premiums < 5.00 = 0.05 tick
CME S&P 500/Citigroup Value | Premiums > 3.00 = 0.10 tick Premiums < 3.00 = 0.05 tick | Premiums > 5.00 = 0.10 tick Premiums < 5.00 = 0.05 tick
For more information, please contact Tom Boggs, CME Equity Products, at 312.930.3038; or Ariel Hantin, CME Research & Product Development, at 312.559.4951; or your CME Globex Account Manager at 312.634.8700; or in Europe at +44.201.623.2550. Thank you, CME ©2006 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini® and CME® are trademarks of CME