Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | 3-Way Call Spread Naming Convention Changes - Effective Sunday, July 15, 2007
Notice Date | 2007-06-27
Notice Number | Q2007-163
Effective Date | 2007-07-15
Effective Sunday, July 15, 2007 , the naming convention for 3-Way Call Spreads will change. 3-Way Put Spreads are unaffected by this change. Currently, 3-Way Call Spreads are configured in this manner: Leg 1 (Buy Call @ strike price), Leg 2 (Sell Put @ lower strike price), and Leg 3 (Sell Call at higher strike price) The new naming convention will switch the order of the second and third legs of the spread: Leg 1 (Buy Call @ strike price), Leg 2 (Sell Call @ higher strike price) and Leg 3 (Sell Put @ lower strike price)