Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Daily Settlement Prices for “Red” CME® Eurodollar Futures Will Be Based on CME Globex® Price Activity – Beginning Monday, April 4, 2005
Notice Date | 2005-03-30
Notice Number | Q2005-39
Effective Date |
Beginning Monday, April 4, 2005 Daily settlement prices for “Red” CME® Eurodollar futures contracts to be based on CME Globex® price activity Expands on CME Globex-based settlement of “White” contracts implemented March 7, 2005; Will now also include first serial Eurodollar futures expiration. Beginning Monday, April 4, 2005, CME will further enhance the process used to determine daily settlement prices for CME Eurodollar futures contracts. As of that date, daily settlement prices for the first eight quarterly CME Eurodollar futures contracts and the first serial contract month will be derived from both trades and market bid/ask occurring between 1:59 p.m. and 2:00 p.m. on CME Globex. The daily settlement price of the designated contracts will be the average of all traded prices and bids and offers in outright contracts, rounded to the tick nearest the previous day’s settlement price. For example, if CME Eurodollar futures price activity between 1:59 p.m. and 2:00 p.m. consists of a 9668.5 trade, the market is 9668 bid, 9668.5 offer, and the market is higher on the day, the settlement price would be 9668. If you have any questions regarding this notice, please contact: Marilee Radecki 312.930.8193 mradecki@cme.com Kevin Brady 312.648.3653 kbrady@cme.com Thank you.