At 9:00 a.m. this morning, Wednesday, March 16, 2005, CME began disseminating the “Fixing Prices” related to the impending launch of CME European Style Euro-FX and Japanese Yen options on April 3, 2005.  Several distributors have inquired how best to display this data.  Below, we hope to provide you with some suggestions to assist you in this effort.

Obviously, with over forty direct distributors, we cannot begin to understand the complexities of each unique distribution system.  However, we can provide some insight as to the business requirements for market participants.  Consider the following facts about Fixing Prices relevant to European-Style Options:

• While we will distribute the fixing prices over Channel 3 (Index Channel) of the Market Data Network (MDN), it is best to think of the fixing price as a futures price substitute;
• The fixing price is the price against which one determines whether an European-Style Option is in-, at-, or out-of-the-money;
• Upon expiration, an in-the-money European-style option is exercised into a position in the underlying futures contract (both European-style and American-style options have the same underlying futures);
• European-style options, by definition, prohibit early exercise.

Display Suggestions

Hence, for display purposes, it would be beneficial to market participants if they could view the related fixing prices, underlying futures prices and Euro-style options prices simultaneously. 

If simultaneous viewing is not possible, a suitable alternative would be to display European-style options with links to underlying futures and fixing prices.

Finally, if neither of the above is possible, the ability to call up the fixing prices by their unique ticker symbols would be recommended.

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.