Half-Tick Trading in All CME(R) Eurodollar Options

GLOBEX Advisory Notices

From

Chicago Mercantile Exchange

Subject

Half-Tick Trading in All CME(R) Eurodollar Options

Notice Date

2004-10-21

Notice Number

102104-2

Effective Date

Dear CME^® Globex^® Customers,

Effective Sunday, November 14, 2004, CME will simplify the rules governing the minimum price fluctuations for all options on CME Eurodollar futures. All Serial, Quarterly, Mid-Curve and 5-year Bundle options will be eligible to trade in increments of 0.005. However, the nearest expiring regular quarterly options on CME Eurodollar futures contracts will still be eligible to trade in increments of 0.0025 ($6.25) if the underlying quarterly future is eligible to trade in quarter-ticks.

Please see the following table for further details.

CME Eurodollar Option Minimum Price Fluctuation (Full-tick = 0.01 IMM Index point = $25.00)
Contracts:	Options on CME Eurodollar Futures	One-Year Mid-Curve Options	Two-Year and Gold Mid-Curve Options	5-year Bundle Options*
New Rules (Effective Sunday, November 14, 2004)	Quarterly Options: 1^st - 8^th: Half-tick (Expiring can trade in quarter-tick if underlying future can trade in quarter-tick)	Quarterly Options: 1^st - 4^th: Half-tick	Quarterly Options: 1^st - 4^th: Half-tick	Quarterly Options: 1^st & 2^nd: Half-tick
New Rules (Effective Sunday, November 14, 2004)	Serial Options: 1^st - 2^nd: Half-tick	Serial Options: 1^st - 2^nd: Half-tick	Serial Options: None	Serial Options: 1^st - 2^nd: Half-tick
Current Rules (Through Friday, November 12, 2004)	Quarterly Options: 1^st - 4^th: Half-tick (Expiring can trade in quarter-tick if underlying future can trade in quarter-tick) 5^th - 8^th: Full-tick (half-tick at or below 5 ticks)	Quarterly Options: 1^st & 2^nd: Half-tick 3^rd & 4^th: Full-tick (half-tick at or below 5 ticks)	Quarterly Options: 1^st & 2^nd: Half-tick 3^rd & 4^th: Full-tick (half-tick at or below 5 ticks)	Quarterly Options: 1^st & 2^nd: Full-tick (half-tick at or below 3 ticks)
Current Rules (Through Friday, November 12, 2004)	Serial Options: 1^st - 2^nd: Half-tick	Serial Options: 1^st - 2^nd: Half-tick	Serial Options: None	Serial Options: 1^st - 2^nd: Full-tick
* Full-tick = $500

If you have any questions please call Peter Barker, Director, CME Products & Services at (312) 930-8554; or Larry Grannan, Associate Director, CME Products & Services at (312) 454-8312.

Thank you,

Chicago Mercantile Exchange