Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Exchange Approves Quarter-Tick Trading in Certain Eurodollar Option Combinations – Effective April 30, 2007
Notice Date | 2007-04-16
Notice Number | Q2007-098
Effective Date | 2007-04-30
Effective on the trade date of April 30, 2007, certain Eurodollar option spreads may trade in 0.0025 IMM index point, or quarter-tick, increments. Specifically, if the spread involves only options in the first two serial and/or first two quarterly months, and the net premium does not exceed 5 ticks, the spread can trade at ¼ tick increments. The text of the rule amendment is as follows, with additions underlined. Chapter 452A Options on Three-Month Eurodollar Futures 452A01.C. Minimum Fluctuations The price of an option shall be quoted in IMM Index points, except as provided in Rule 584 (GLOBEX Volatility Quotes). Each .01 IMM Index point (1 basis point) shall represent $25, except for 5 Year bundle options as specified in Paragraph 3. For example, a quote of 0.35 represents an option price of $875 (35 basis points x $25). 1. Contract Month Whose Underlying Futures Contract is the Nearest Expiring Futures Contract Month The minimum fluctuation shall be .0025 IMM Index point (also known as one-quarter tick). 2. All Other Contract Months The minimum fluctuation shall be .005 IMM Index point (also known as one–half tick). Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. Further, for spread and combination trades at a net premium of no more than .05 IMM Index points and consisting of options contracts involving the nearest and/or second nearest non-March quarterly months and/or the nearest and/or second nearest March quarterly months only, the options in the combination may trade in increments of .0025 IMM index points. For the purpose of Rule 813.–Settlement Prices, the minimum fluctuation shall be .0025 IMM Index point ($6.25, also known as one–quarter tick) 3. 5-Year Bundle Options The minimum fluctuation shall be .005 IMM Index point ($250, also known as one-half tick). 4. MidCurve Options The minimum fluctuation shall be .005 IMM Index point ($12.50, also known as one-half tick). Trades may also occur at a price of .0025 IMM Index point ($6.25, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade. For the purpose of Rule 813—Settlement Prices, the minimum fluctuation shall be .0025 IMM Index point ($6.25, also known as one-quarter tick). If options are quoted in volatility terms, the minimum fluctuations shall be 0.05 percent. [The remainder of Chapter 452A is unchanged.]