Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Expansion of Eurodollar Options Strike Range, Effective Thursday, May 13, 2004
Notice Date | 2004-05-12
Notice Number | Q2004-52
Effective Date |
Effective Thursday, May 13, 2004, the strike price range will be expanded for all Eurodollar options (including Mid-Curve and 5-Year Bundle options). Recently, there has been interest in these additional listings. At the start of trading in a contract expiration, the Exchange will now list put and call options at the regular exercise price that is nearest the previous day’s settlement price of the underlying futures contract and all eligible exercise prices in a range of 5.50 IMM Index points above and below the exercise price that is nearest the futures price. Thereafter, the Exchange shall add for trading all eligible exercise prices in a range of 5.50 IMM Index points above and 5.50 IMM Index points below the exercise price nearest the previous day’s settlement price. Previously, the Exchange listed Eurodollar put and call options at the regular exercise price that is nearest the previous day’s settlement price of the underlying futures contract and all eligible exercise prices in a range of 1.75 IMM Index points above and below the exercise price that is nearest the futures price for contract expirations whose expiration date is up to and including 12 months away, 2.00 IMM Index points above and below the exercise price that is nearest the futures price for contract expirations whose expiration date is more than 12 months up to and including 15 months away and 2.50 IMM Index points above and below the exercise price that is nearest the futures price for contract expirations whose expiration date is more than 15 months away. If you have any questions, please contact Lisa Amato at (312) 338-2654, or e-mail at lamato@cme.com, or Marilee Radecki at (312) 930-8193, or e-mail at mradecki@cme.com. Thank you.