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Dear CME® Globex® Customers,
On June 1, 2005, the CME Board approved the following changes to the CME E-miniTM NASDAQ-100® and NASDAQ-100 options on futures contracts:
- Both the CME E-mini NASDAQ-100 and NASDAQ-100 options contracts will follow a Variable Tick Table (VTT). Premiums greater
than $3.00 will tick in 0.25 increments. Premiums less than or equal to $3.00 will tick in 0.05 increments.
- Please note that the CME E-mini S&P 500® options contracts already use the same VTT the CME E-mini NASDAQ-100 and NASDAQ-100 options contracts will use. This VTT
is available below.
- The CME E-mini NASDAQ-100 strike listing rules will retain the 100 index point range, but with an increased interval from
10 to 25 index points. Five point intervals will be added in the lead month.
- The NASDAQ-100 strike listing rules will be based on a 15 percent reference index with 25 index point intervals. Five index
point intervals will be added in the lead month.
The variable tick will be implemented this Sunday, July 17, 2005 for the Monday, July 18 trade date. The change in strike intervals will be phased in as the current listings expire. The schedule is outlined below:
NASDAQ-100 Options Contracts Roll-Out
- July 17, 2005 [March 2006 - amended rules]
- July 17, 2005 [October 2005 - original rules]
- August 21, 2005 [November 2005 - original rules]
- September 18, 2005 [June 2006 - amended rules]
- All listed contracts following the October 2005 expiration will use the amended strike listing rules.
CME E-mini NASDAQ-100 Options Contracts Roll-Out
- July 17, 2005 [October 2005 - original rules]
- August 21, 2005 [November 2005 - original rules]
- September 18, 2005 [March 2006 - amended rules]
- All listed contracts following the October 2005 expiration will use the amended strike listing rules.
**Please note that the March 2006 NASDAQ-100 contract, scheduled to be listed on June 19, will be listed July 17, 2005**
For more information on VTTs, please see the Calculating Tick Size Based on MO Message document in the MDAPI 2.x Software Development Kit. VTT prices are currently available to test in the CME certification environment using the following symbol: ES.
The tables below compare the current and amended rules:
| Ticks |
| |
Current Rules |
Amended Rules |
CME E-mini
NASDAQ-100 |
0.05 |
0.25 for premiums > $3.00
0.05 for premiums ≤ $3.00
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| NASDAQ-100 |
0.05 |
0.25 for premiums > $3.00
0.05 for premiums ≤ $3.00
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| Strike Listings |
| |
Current Rules |
Amended Rules |
CME E-mini
NASDAQ-100 |
100 point range at 10 point intervals |
100 point range at 25 point intervals
lead month add in 5 point intervals
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| NASDAQ-100 |
30 percent reference index at 50 point intervals
15 percent reference index at 10 point intervals in 2 nearest quarterlies
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15 percent reference index at 25 point intervals
lead month add in 5 point intervals
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For more information, please contact Tom Boggs, Associate Director, CME Equity Products, at 312.930.3038; or Ariel Hantin,
Senior Research Analyst, CME Research & Product Development, at 312.559.4951.
Thank you.
CME
800.331.3332
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