Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Board Approves Consumer Price Index (CPI) Futures Contracts
Notice Date | 2003-10-10
Notice Number | Q2003-82
Effective Date |
At its Regular Meeting on Wednesday, October 1, 2003, the Board of Directors approved contract specifications for Consumer Price Index (CPI) futures, representing our inaugural attempt at establishing a derivatives market in economic indicators. The CPI futures contract is designed so as to resemble the Eurodollar futures. It represents the inflation on a notional value of $1,000,000 for a period of three calendar months, implied by the Consumer Price Index – U.S. city average for all urban consumers, all items, not seasonally adjusted series published by the Bureau of Labor Statistics of the Department of Labor (CPI-U). The contract has the familiar IMM-style pricing structure of 100 minus the contracted inflation rate. It is anticipated that up to 12 consecutive quarterly contract months will be listed for trading. The futures contract will be listed for trading on GLOBEX® in early 2004. The launch date and further contract details will be announced at a later time. Any questions regarding this notice can be directed to Neal Desai @ 312.634.8887 or ndesai@cme.com