Market Data Advisory Notices
To | Market Data Distributors
From | CME Market Data Operations
Subject | CME Eurodollar Options Changes - Effective Sunday, May 13, 2007
Notice Date | 2007-05-10
Notice Number | Q2007-122
Effective Date | 2007-05-10
As a reminder, effective Sunday, May 13, 2007 , the following changes to CME Eurodollar Options on Futures will be implemented: Strike Price Listing Change The strike price listing rules for select CME Eurodollar options contract months (including 1, 2 and 5-year mid-curve options) are being expanded at the request of our customers, to include strike prices at 12.5 basis point intervals within a 150 point range (6 strike prices above and below the at-the-money strike price). Strikes outside of the 150 point range will be listed at 25 point intervals. Contracts that will be subject to the additional 12.5 point strike prices are: CME Eurodollar options: · Four nearest-expiring quarterly contracts · Serial months 1-Year MidCurve Options: Four Weekly Options Two Serial months Two Quarterly months 2-Year MidCurve Options · Two Quarterly months 5-Year MidCurve Options · One Quarterly month Quarter Tick Eligible Months Also effective Sunday, May 13, 2007, CME will expand the number of months eligible for quarter tick price increments in CME Eurodollar Options, to include outrights and spreads in the first two quarterly and serial months, if the premium of the outright or net differential is between -5 and 5 points. For RLC Message Users Only For RLC message users, the RLC impact of this change results in employing a Variable Tick Table (VTT) to determine the tick size. The VTT invoked is VTT #12. The Variable Tick Table is displayed below for your convenience. The Variable Tick Table Index Code resides in positions 576-577 of the Instrument Creation (MO) Message.
VTT 12 for CME Eurodollar Options on Futures
Current Price (P) | CME Globex ® Tick Size
P < -5 | 0.50
-5 <= 5 | 0.25
P > 5 | 0.50
Important Note: While all CME Eurodollar options (except the spot month) will use VTT 12, only the first two quarterly and serial months are eligible to trade at a quarter ticks. Additionally, CME Rules prohibit quarter tick orders and trades for all mid-curve options and for all quarterly options beyond the first two. However, if any leg of an option spread is eligible to trade at a quarter tick, then the entire spread is eligible. Additional 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”. The change to support VTT 12 has been deployed in the New Release Certification environment for testing. Please contact MarketDataOps@cme.com and the Market Data Hotline 312.634.8395 if you have any questions. Thank you.