Market Data Advisory Notices
To | Market Data Distributor
From | Market Data Operations
Subject | Tick Changes for CME Eurodollar Options - Effective July 15, 2007
Notice Date | 2007-07-05
Notice Number | Q2007-173
Effective Date | 2007-07-15
Effective Sunday, July 15, 2007 (for trade date Monday, July 16), the tick for CME Eurodollar options on futures on the CME Globex ® platform will change as detailed below.
CME Eurodollar Options Tick Changes
CME Eurodollar Options | Current Tick Size | New Tick Size
Outright Options
Spot Month Options | 0.25 | 0.25
All Serial Options | VTT 12 | VTT 12
First Two Quarterly Options | VTT 12
All Other Quarterly Options | 0.50
All MidCurve Options | 0.50
CME Eurodollar options spreads with at least one Spot Month leg will be eligible for a 0.25 tick. Spreads where all legs are VTT 12 will use VTT 12. All other option spreads will be eligible for 0.50 tick. Variable Tick Tables are defined in position 576-577, Variable Tick Table Index Code, in the Instrument Creation (MO) message. More information on VTT is available in CME Market Data Platform SDK: Core Functionality, section 4.5.3 "Calculating Tick Size Based on Instrument Creation (MO) Message". More information on MO messages is available in CME Market Data Platform SDK: RLC Message Specifications. These changes will be available in New Release for customer testing after the maintenance window on Wednesday, July 11.