Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Minimum Tick Size Modification for 30-Treasury Bond Futures, and 5-Year Treasury Note Futures and Options Contracts - Effective March 3, 2008
Notice Date | 2008-02-01
Notice Number | Q2008-024
Effective Date | 2008-03-03
Effective March 3, 2008, CME Group will reduce the minimum tick size for the following Treasury contacts: · 30-Year U.S. Treasury Bond Futures from 1/32 nd to ½ of 1/32 nd (from $31.25 to $15.625) · 5-Year U.S. Treasury Note futures from ½ OF 1/32 nd (from $15.625 to $7.8125) · 5-Year U. S. Treasury Note options from 1/64 th to ½ of 1/64 th from ($15.625 to $7.8125) In addition the minimum tick size changes, the 5-Year Treasury Reduced Tick Spread will be converted into a traditional calendar spread, with the strategy code changing from RT to SP. Please reference the product modification table below for changes to Minimum Price Intervals, ITC Fractional Indicators and RLC Display Formats.
Contract Name | 30-Year U.S. Treasury Bond Futures | 5-Year U.S Treasury Bond Futures | 5-Year U.S Treasury Bond Options
Instrument Type | Interest Rate | Interest Rate | Interest Rate
Ticker Symbol(s) | Floor: US Globex: ZB | Floor: FV Globex: ZF | Floor: FL/FP Globex: OZF
Trading Venue | Floor/Globex | Floor/Globex | Floor/Globex
Minimum Price Intervals and Value Per Tick | 1/2 of 1/32 of a point ($15.625 per contract) rounded up to the nearest cent. | 1/4 of 1/32 of a point ($7.8125 per contract) rounded up to the nearest cent. | 1/2 of 1/64 of one point ($7.8125 per contract); rounded up to the nearest cent per contract.
Price Conventions
Actual Price | 106 28.5/32 | 106 28.25/32 | 5.5/64
ITC Transmission Formats | 0106280 0106285 0106290 0106295 | 0106280 0106282 0106285 0106287 | 0000050 0000055 0000060 0000066
ITC Fractional Indicator | U | V | Y
RLC Price Format | 106000 106005 106010 106015 up to 315 | 106280 106282 106285 106287 up to 317 | 000050 000055 000060 000065
RLC Display Format | EH | EQ | FH
RLC Decimal Format | 3 | 3 | 3
ITC Ticker Testing Date(s)/Time(s) | ITC Ticker testing will be held on Friday, February 15 and Friday, February 22, 2008 at approximately 5:00 p.m. Central Time.
RLC Testing in CME Certification Environment | February 18, 2008 (NR) , March 1, 2008 (Cert/Pre-Prod)
Please contact mdo@cmegroup.com if you have any questions concerning this notice. Thank you