Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Modification On One-Half Strike Price Listing Rules For Options On Eurodollar Futures - Effective Monday, June 16, 2003.
Notice Date | June 9, 2003
Notice Number | Q2003-44
Effective Date |
Effective for the trade date of Monday, June 16, 2003, One-Half (12.5 Basis Point) Strike prices will be available for the two outstanding Serial options (there are only two listed), and the first two Quarterly options (there are a total of eight). Current strike listing procedure for Eurodollar options calls for strike listings at intervals of 25 basis points, e.g. 98.50, 98.75, 99.00. Additional strikes at “half-strikes” of 12.5 basis points above and below the at-the-money strike, are listed for the options with the nearest quarterly Eurodollar futures as the underlying instrument. As such, the nearest quarterly options, as well as up to two serial options are eligible for the half-strike listings. Under the amended rules, effective for the trades valued June 16, 2003, the two nearest serial option contract months and the two nearest quarterly option contract months are eligible for half-strike listings at all times. The strike listing rules for Mid-Curve options shall remain unchanged. Therefore, as of June 16, 2003, half-strike listings will be available for the July 2003, August 2003 Serial Eurodollar options and the September 2003 and December 2003 Quarterly Eurodollar Options. On July 14, after the July 2003 Serials have expired, half-strikes will be available on the October 2003 Serial options, which track the December 2003 Eurodollar Futures. Questions regarding this notice may be directed to: Jackie Perun jperun@cme.com