Market Data Advisory Notices
To | Quote Vendors
From | Market Data Operations
Subject | 30 Day Fed Fund Futures Front Month Tick Change - Effective August 3, 2008
Notice Date | 2008-06-04
Notice Number | Q2008-110
Effective Date | 2008-08-03
Effective August 3, 2008, (trade date August 4) CME Group will implement the following changes to the 30 Day Fed Fund futures and options contracts: · The 30 Day Fed Fund Futures front month contract (expiring) tick size will change from ½ (.50) of one basis point to ¼ (.25) of one basis point. All remaining contract months shall remain in ½ (.50) of one basis point. The front month 30 Day Fed Fund Futures contract will always trade in¼ (.25 ) basis point increments beginning the first Sunday within the expiration month · The price format for the 30 Day Fed Funds futures and options will be modified to match the current Eurodollar price display convention. The CME Globex minimum tick for the (expiring) front month, underlying options and spread display will be 0.25 . All other contract months will display the minimum tick of 0.50 · Listing of 12-month futures strips for trading on CME Globex ® These changes will be available for customer testing in the New Release environment on Wednesday, July 16, 2008.