GLOBEX Advisory Notices
To | CME(R) Globex(R) Customers
From | CME(R) Globex(R) Account Management
Subject | New CME Exchange Traded Funds Futures Contracts on CME(R) Globex(R)
Notice Date | 2005-05-11
Notice Number | 051105-a
Effective Date |
Dear CME® Globex® Customers, Effective Monday, June 6, 2005, CME is scheduled to begin trading new Exchange Traded Funds Futures Contracts: NASDAQ-100 Index Tracking Stock® ("QQQQ"), Standard & Poor's 500 Depositary Receipts® ("SPY") and iShares Russell 2000 Index Fund™ ("IWM"). When launched, these new futures contracts will trade exclusively on the CME Globex platform and are scheduled to be available for testing in the CME certification environment beginning Sunday evening, May 22.
CONTRACT NAMES: | NASDAQ-100 Index Tracking Stock Futures Standard & Poor's 500 Depositary Receipts Futures iShares Russell 2000 Index Fund Futures
LISTING DATE: | Monday, June 6, 2005
DESCRIPTIONS: | Each futures contract represents one hundred shares of S & P 500 Exchange Traded Funds (SPY) or iShares Russell 2000 (IWM) or Two hundred shares of the NASDAQ-100 Index Tracking Stock (QQQ)
TRADING VENUE: | CME Globex only
TRADING HOURS: | 8:30 a.m. to 3:15 p.m. Mondays through Fridays (Central Time)
VALID CONTRACT MONTHS: | Two Quarterly and two Serial contract months.
INITIAL CONTRACT MONTHS: | Sept, Oct, Nov and Dec '05
TICKER SYMBOLS: | NASDAQ-100 Index Tracking Stock Futures: QQQ Standard & Poor's 500 Depositary Receipts Futures: SPY iShares Russell 2000 Index Futures: IWM
COMMODITY CODES: | NASDAQ-100 Index Tracking Stock Futures: QQ Standard & Poor's Depositary Receipts Futures: PY iShares Russell 2000 Index Futures: IW
MINIMUM PRICE INTERVALS: | NASDAQ-100 Tracking Stock Futures: $0.01 or $2.00/contract Standard & Poor's 500 Depositary Receipts Futures: $.01 or $1.00/contract iShares Russell 2000 Index Futures: $.01 or $1.00/contract
DAILY PRICE LIMITS: | None
NO BUST RANGE: | NASDAQ-100 Index Tracking Stock Futures: 0.50 Standard & Poor's 500 Depositary Receipts Futures: 0.60 iShares Russell 2000 Index Futures: 0.60
PRICE BANDING: | NASDAQ-100 Index Tracking Stock Futures: 1.00 Standard & Poor's 500 Depositary Receipts Futures: 1.20 iShares Russell 2000 Index Futures: 1.20
TRADING HALTS: | Trading halts are coordinated with halts in the underlying Exchange Traded Fund.
TERMINATION OF TRADING: | Trading terminates at the normal close of business time on the third Friday of the contract month.
FINAL SETTLEMENT: | Final Settlement is accomplished through delivery of the requisite number of ETF shares. The invoice amount is established per Rule 71002.B., Final Settlement Price as the closing price of the security on the last day of trading on the security's primary exchange.
DELIVERY: | Physical delivery. Three business days after the last trading day for an expiring contract, the National Securities Clearing Corporation and Depository Trust Corporation will facilitate delivery of, and payment for, the underlying common stock, American Depository Receipts, shares of exchange-traded funds, shares of closed-end management investment companies, or trust-issued receipts whereby: a seller (i.e., the holder of a net short position) delivers the securities underlying the contract to a respective buyer (i.e., the holder of a net long position); and in exchange, that buyer pays his respective seller the aggregate dollar amount of the Expiration Day Settlement Price multiplied by the quantity of the underlying securities delivered.
POSITION LIMITS: | NASDAQ-100 Tracking Stock Futures: 11,250 Standard & Poor's 500 Depositary Receipts Futures: 22,500 iShares Russell 2000 Index Futures: 13,500
MINIMUM REPORTABLE LEVEL: | 25 contracts
CFTC REPORTABLE NUMBER: | Contact Judy Sepsey or Maggie Sweet, CFTC, at 312.596.0609
PERFORMANCE BOND REQUIREMENTS: | To be published by the CME Clearing House.
CLEARING FEES: | To be published by the Audit Department.
PRICE CONVENTIONS
Contract Name | Nasdaq-100 Index Tracking Stock Futures | Standard & Poor's 500 Depositary Receipts Futures | iShares Russell 2000 Index Futures
Actual Price/FIXML format | 35.88 | 117.92 | 119.04
TREX/TES Format | 0003588 | 0011792 | 0011904
Trade Register | 35.88 | 117.92 | 119.04
Trade Register File | 3.588 | 11.792 | 11.904
Settlement Price File | 0003588 | 0011792 | 0011904
SPAN File | 0003588 | 0011792 | 0011904
CME Globex Price Entry | 35.88 | 117.92 | 119.04
APS File Format | 0003588 | 0011792 | 0011904
For more information, please visit the CME Clearing House's New Contract Notice. For questions regarding this CME Globex product launch, please contact your CME CME Globex Account Manager at 312.634.8700 in North America or +1.44.207.623.2550 in Europe. For specific inquiries regarding the new Exchange Traded Funds futures contracts, please call David Lerman at 312-648-3721. Thank you, CME