GLOBEX Advisory Notices
To |
From | CME
Subject | Reminder - Weekly Expirations for CME(R) Eurodollar One Year Mid-Curve Options
Notice Date | 2005-04-22
Notice Number | 042205-a
Effective Date |
Dear CME® Globex® Customers, The CME is launching weekly expirations on the CME Eurodollar One-Year Mid-Curve options on futures contracts for open-outcry and electronic trading. These options contracts will be available effective this Sunday, April 24, 2005 at 5:00 p.m. Central time (CT) on the CME Globex electronic trading platform; effective this Monday, April 25 at 5:10 a.m. (CT) on the CME Enhanced Options System; and effective this Monday, April 25 at 7:20 a.m. (CT) for open-outcry trading. Risk managers will be able to take advantage of opportunities to trade CME Eurodollar options with high gamma on one of the most actively traded CME Eurodollar futures expirations, the fifth quarterly or first "Red" contract. At the time of launch, the first Red contract will be the June 2006 futures contract. These new options contracts are currently available for testing in both the CME Globex and the CME Enhanced Options System certification environment. At any one time, there will be at least five expirations available, including the regular "Serial" or "Quarterly" One-Year Mid-Curve expiration which would normally expire during the calendar month. The options will expire at the conclusion of trading on each Friday that is not an expiration day for a Quarterly or a Serial One-Year Mid-Curve option. The first expiration will take place on Friday, April 29, 2005 - the same day as the scheduled release of the March Employment Cost Index, Personal Income & Spending, Michigan Consumer Sentiment survey and the Chicago PMI. The next expiration on Friday, May 6, will be the same day that the April Employment Situation data is released from the BLS. These weekly Mid-Curve option expirations are a new way for traders to take a view on upcoming economic releases and their effect upon the U.S. interest rate markets. For the April 24-25 launch, the following weekly expirations will be available:
Date | Mid-Curve Option (CME Trading Floor & Clearing Code) | Mid-Curve Option (CME Globex & CME Enhanced Options System Code)
Friday, April 29, 2005 | 5KJ5 - New weekly Mid-Curve | E05J5 - New weekly Mid-Curve
Friday, May 6, 2005 | 1KK5 - New weekly Mid-Curve | E01K5 - New weekly Mid-Curve
Friday, May 13, 2005 | E0K5 - Regularly scheduled Serial Mid-Curve expiration | GE0K5 - Regularly scheduled Serial Mid-Curve expiration
Friday, May 20, 2005 | 3KK5 - New weekly Mid-Curve | E03K5 - New weekly Mid-Curve
Friday, May 27, 2005 | 4KK5 - New weekly Mid-Curve | E04K5 - New weekly Mid-Curve
For more details, please see the following contract specifications:
Underlying Contract | One (1) CME Eurodollar futures contract that expires twelve (12) calendar months from the next March quarterly month that is nearest to the expiration of the option, e.g. for the weekly expiration of June 3, 2005, the underlying futures contract is the June 2006 CME Eurodollar futures contract. For the weekly expiration of June 17, 2005, the underlying futures contract is the September 2006 CME Eurodollar futures contract.
Expiration/ Last Day of Trading | Option trading terminates at the conclusion of trading on each Friday that is not an expiration day for a Quarterly or a Serial One-Year Mid-Curve Option.
Ticker/ Clearing Code | Open-Outcry/Clearing Code: 1K, 2K, 3K, 4K, 5K for the first through fifth weekly expiration respectively. The CME Globex Clearing Code: E01, E02, E03, E04, E05 for the first through fifth weekly expiration respectively. Note: in the case of a weekly expiration coinciding with a Serial or Quarterly expiration, the contract is identified as the Serial or Quarterly option.
Listing Cycle | Weekly expirations shall be listed such that, inclusive of the serial (or quarterly) expiration already listed, five (5) consecutive weekly expirations are available for trading; e.g. on April 24-25, 2005, the following expirations on the June 2006 Eurodollar futures shall be available for trading (clearing code in bracket): April 29 (5KJ5), May 6 (1KK5), May 13 (E0K5 - serial Mid-Curve option), May 20 (3KK5), and May 27 (4KK5).
Quotation/ Tick Increment | In IMM Index Points - each 0.01 IMM index point is equivalent to $25.00. Minimum price fluctuation of 0.005 IMM index point.
Strike Listing Convention | Same as the nearest Serial One-Year Mid-Curve Options - at 0.25 IMM index point intervals within 5.50 IMM index points of the at-the-money strike, plus the nearest half-strike above and below the at-the-money strike.
Block Trade Facility | From 7:00 a.m. to 4:00 p.m. (CT) Mondays - Fridays on regular business days minimum threshold of 4,000 contracts in outright trade; or 4,000 of at least one leg in a combination trade. For all hours outside of 7:00 a.m. to 4:00 p.m. (CT) Mondays - Fridays on regular business days minimum threshold of 500 contracts.
Trading Venue/ Trading Hours | Open-Outcry: 7:20 a.m. to 2:00 p.m. CT; CME Globex platform: 5:00 pm Sunday - Thursday to 5:00 a.m. (CT) next morning; CME Enhanced Options System: 5:10 a.m. - 4:00 p.m. (CT)
Vendor Codes
Vendor Name | Open-Outcry | CME Globex
CQG for Windows | G1K - G5K | EO1 - E05
E-Signal | 1K - 5K | E01 - E05
ILX Thomson | BL, BM, BN, BT, BW | BX, XH, XL, XR, XZ
Reuters IDN | 0#EGW+ | 0#GFW+
Reuters/Bridge BIS | us@1K.1 | us@1EG.1
Bloomberg | Please contact Bloomberg directly at 212.318.2000
If you have any questions, please contact Pete Barker at 312.930.8554, Craig Bewick at 312.648.3839, Larry Grannan at 312.454.8312, or Robin Ross at 312.559.4989. For questions regarding this CME Globex platform enhancement, please contact your CME Globex Account Manager at 312.634.8700; or at +1.44.207.623.2550 in Europe. Thank you, CME 1.800.331.3332