CME will be expanding the strike listing range for the E-Mini S&P 500 options contract. Exercise prices divisible by 25 without remainder within a range of 250 index points will be added.  This amendment will be effective for existing contracts including those to be listed in the future beginning with the March 2006 contract following the September 2005 expiration. Amended rules follow with additions underlined and deletions bracketed and struck out.

358A01.E.  Exercise Prices
The exercise prices shall be stated in terms of the E-Mini Standard and Poor's 500 Stock Price Index futures contract which is deliverable upon exercise of the option.  The exercise prices shall be integers divisible by [10] 25 without remainder, e.g., 1000, 1025 [10], 1050 [20], etc.

At the commencement of trading for E-Mini S&P 500 option contracts the Exchange shall list all eligible exercise prices in a range of [1]250 basis points above and below the previous day's settlement price of the S&P 500 futures contract.  Within a range of 150 index points above and below the previous day's settlement price of the S&P 500 futures contract, exercise prices that are integers divisible by 10 without remainder shall be added, if they have not already been listed. Within a range of 50 index points above and below the previous day's settlement price of the S&P 500 futures contract, exercise prices that are integers divisible by 5 without remainder shall be added, if they have not already been listed.

Thereafter, when a daily 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 with all eligible exercise prices in the above ranges.

The Board may modify the provisions governing the establishment of exercise prices as it deems appropriate. 

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.