Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Additional Amendments To Options On CME Degree Days Index Future Rules Effective September 8, 2003
Notice Date | 2003-09-05
Notice Number | Q2003-63
Effective Date |
In addition, to the changes described in Quote Vendor Notice (QVN# Q2003-62), the following amendments to Options on CME Degree Days Index Futures (Rule 403A01.E. Exercise Prices) shall apply. These amendments will become effective at the start of business on Monday, September 8, 2003 for all listed contract months. FOR HDD ONLY Exercise prices shall be stated in terms of the respective CME Degree Days Index futures contract that is deliverable upon exercise of the option. For the first two contract months, exercise prices shall be at intervals of 50 CME Degree Days Index points (e.g., 700, 750, 800, etc.). In addition, for options on the contract month nearest to expiration, some exercise prices shall also be at intervals of 10 index points (e.g., 710, 720, 730, etc.). At the commencement of option trading in a contract month, the Exchange shall list put and call options at intervals of 50 index points in a range of 100 index points above and below the previous day's settlement price of the underlying futures contract. Thereafter, when the settlement price in the underlying futures contract occurs at or passes through any exercise price, the Exchange shall list on the next trading day put and call options at the next higher (or lower) exercise price within a 100-point range above (or below) the settlement price. Furthermore, for options on the contract month nearest to expiration, the Exchange shall list put and call options at intervals of 10 index points in a range of 100 index points above and below the previous day’s settlement price of the underlying futures contract. Thereafter, when a settlement price in the underlying futures contract occurs at or passes through any exercise price, the Exchange shall list on the next trading day put and call options at the next higher (or lower) exercise price within a 100-point range above (or below) the settlement price. New options may be listed for trading up to and including the termination of trading. Questions regarding this notice may be directed to: Neal Desai 312.634.8887 ndesai@cme.com