GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Equity Options Straddles and Strangles Spreads Changes
Notice Date | 2006-01-20
Notice Number | 012006-1
Effective Date | 2006-01-20
Dear CME Globex Customers, Effective this Sunday, January 22, 2006, to eliminate confusion regarding options on futures cabinet prices, CME is implementing new "Low Limit" field values for select CME Equity options Straddle and Strangle spreads on the CME Globex electronic trading platform. With this change, the lowest price allowed for CME Equity options Straddle and Strangle spreads (spread types ST and SG, respectively) will be two times the actual Low Limit price. A zero price will be rejected by the CME Globex platform. The CME Market Data MO (M-oh) message in RLC format will contain the new Low Limit field values. This CME Equity options spreads change will complete the Low Limit field value implementation which began with the outright CME Equity and CME Foreign Exchange (FX) options on futures on November 6, 2005. The new Low Limit field values will be implemented for the following options on futures Straddle and Strangle spreads:
Spread | New Low Limit
CME E-mini S&P 500® Strangles and Straddles | 10 (2 times the Low Limit leg price of 5)
CME E-mini NASDAQ-100® Strangles and Straddles | 10 (2 times the Low Limit leg price of 5)
CME E-mini Russell 2000® Strangles and Spreads | 10 (2 times the Low Limit leg price of 5)
For further information, please contact Tom Boggs, Associate Director, CME Equity Products, at 312.930.3038; or your CME Globex Account Manager at 312.634.8700, or in Europe at +44.207.623.2550. Thank you, CME ©2005 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, and CME® are trademarks of CME