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Dear CME Globex Customers,
Effective yesterday, Sunday, November 6, 2005, to eliminate confusion regarding options on futures cabinet prices, CME implemented new "Low Limit" field values for select
CME Equity and CME Foreign Exchange (FX) options on the CME Globex electronic trading platform.
The CME Market Data MO (M-oh) message contains the new Low Limit field values. With this change, the lowest price allowed
is the actual cabinet price; a zero price will be rejected by the CME Globex platform.
The new Low Limit field values have been implemented for the following options on futures:
| Product |
New Low Limit |
| CME E-mini S&P 500® outright options
|
5 |
| CME E-mini NASDAQ-100® outright options
|
5 |
| CME E-mini Russell 2000® outright options
|
5 |
| CME Euro FX European-Style outright options |
0.5 |
| CME Euro FX European-Style weekly outright options |
0.5 |
| CME Japanese Yen European-Style outright options |
0.5 |
| CME Japanese Yen European-Style weekly outright options |
0.5 |
In addition, on November 6, a variable tick was instituted in the CME E-mini Russell 2000 options and option spreads, replacing the former static tick.
CME E-mini Russell 2000 options now trade with the current tick of 10 when above $3.00, and with a tick of 5 when below $3.00.
Please see page 92 of the CME Market Data Developer's Guide for more information about variable ticks.
For further information, please contact your CME Globex Account Manager at 312.634.8700; or in Europe at +44.201.623.2550.
Thank you,
CME
©2005 Chicago Mercantile Exchange Inc. All rights reserved.
The Globe Logo, Globex®, CME®, and E-mini® are trademarks of Chicago Mercantile Exchange.
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