Market Data Advisory Notices
To | Quote Vendors
From | Market Data Operations
Subject | $5 and $10 Dow Jones Strike Generation Modification - Effective June 23, 2008
Notice Date | 2008-06-04
Notice Number | Q2008-109
Effective Date | 2008-06-23
Effective June 22, 2008, (trade date June 23), CME Group will modify the strike generation rules for the $5 and $10 Dow Jones options. New strike prices shall be generated based on a quarterly reference price as are the current CME Equity products. The strike generation rules are as follows: · $10 Dow Jones Options strikes shall be listed at 50 percent of DJIA ($10 multiplier) at 100 point intervals and 20 percent of DJIA ($10 multiplier) at 50 point intervals · $5 Dow Jones Options strikes shall be listed at 50 percent of DJIA ($5 multiplier) at 100 point intervals and 20 percent of DJIA ($5 multiplier) at 50 point intervals · All current 200 point strike intervals shall remain through expiration of the corresponding contract month · The following EDS strategies will be eliminated for the electronic $5 (OYM) and $10 Dow (OZD) Jones options: 1X2 Ratios, BX (Box), CO (Condor), DB (Doubles), IC (Iron Condor), RR (Risk Reversals), and XT (Christmas Trees). These changes will be available for customer testing in the New Release environment on Wednesday, June 11, 2008 .