GLOBEX Advisory Notices
To |
From | Chicago Mercantile Exchange
Subject | CME(R) Globex(R) Equity Options Enhancements
Notice Date | 2004-10-08
Notice Number | 1008-1
Effective Date |
Dear CME® Globex® Users, Chicago Mercantile Exchange has approved several changes to the trading of its E-miniTM S&P 500® equity options. These include: Increasing the number of designated market maker participants; Providing members with a CME Globex fee cap of $200 per day, effective October 1, 2004; Waiving CME Globex fees for customers for nine months from October 1, 2004, through June 30, 2005. To support these initiatives, the following changes will be made to CME Globex in the coming weeks. Variable Tick Table for E-mini S&P Options Effective trade date November 8, 2004 (Sunday, November 7 on CME Globex), the tick increments for E-mini S&P 500 equity options will change from a standard tick size of 0.25 to a variable tick size. Please note that the S&P 500®, S&P/Barra GrowthTM and S&P/Barra ValueTM, already use a variable tick size, as detailed in the Variable Tick Table (VTT) below. For more information on VTTs, please see the Calculating Tick Size Based on MO Message component of the MDAPI 2.x Software Development Kit. VTT prices will be available to test in the certification environment beginning Tuesday, October 12 with the following symbols: 8A = E-mini S&P 500 options 8B = S&P 500 options E-mini S&P Options New Quantity Limit Also effective on trade date November 8, 2004 (Sunday, November 7 on CME Globex), the CME Globex order entry quantity limit for E-mini S&P 500 options will be reduced from 9,999 orders to 1,500. Reminder: Firms Must Choose to "opt in" for Options Market Data Effective October 24, Market Data API subscribers will need to "opt in" to receive CME Globex market data on options. For more information, please refer to the CME Globex Notice. For questions regarding these CME Globex changes, please contact your CME Globex Account Manager at 312.634.8700. Thank you, Chicago Mercantile Exchange CME GLOBEX Account Management 312.634.8700 Changes to Equity Options Tick Values Virtual Tick Table
E-mini S&P 500 | CURRENT | NEW (As of Nov. 7, 2004)
Large Tick | 0.25 index pts ($12.50) | Premium > 3.00 = 0.25 index pts ($12.50)
Small Tick | 0.25 index pts ($12.50) | Premium > or = 3.00 = 0.05 index pts ($2.50)
Cabinet Trade | 0.125 index pts ($6.25) | 0.05 index pts ($2.50)
S&P 500 | CURRENT | NEW (As of Nov. 7, 2004)
Large Tick | Premium > 2.00 = 0.10 index pts ($25) | Premium > 3.00 = 0.10 index pts ($25)
Small Tick | Premium >Premium > or = 2.00 = 0.05 index pts ($12.50) | Premium > or = 3.00 = 0.05 index pts ($12.50)
Cabinet Trade | 0.05 index pts ($12.50) | 0.05 index pts ($12.50)
S&P 500 Growth | CURRENT | NEW (As of Nov. 7, 2004)
Large Tick | Premium > 2.00 = 0.10 index pts ($25) | Premium > 3.00 = 0.10 index pts ($25)
Small Tick | Premium > or = 2.00 = 0.05 index pts ($12.50) | Premium > or = 3.00 = 0.05 index pts ($12.50)
Cabinet Trade | 0.05 index pts ($12.50) | 0.05 index pts ($12.50)
S&P 500 Value | CURRENT | NEW (As of Nov. 7, 2004)
Large Tick | Premium > 2.00 = 0.10 index pts ($25) | Premium > 3.00 = 0.10 index pts ($25)
Small Tick | Premium > or = 2.00 = 0.05 index pts ($12.50) | Premium > or = 3.00 = 0.05 index pts ($12.50)
Cabinet Trade | 0.05 index pts ($12.50) | Premium > or = 3.00 = 0.05 index pts ($12.50)