As a reminder, effective Sunday, May 13, 2007
, the following changes to CME Eurodollar Options on Futures will be implemented:
Strike Price Listing Change
The strike price listing rules for select CME Eurodollar options
contract months (including 1, 2 and 5-year mid-curve options) are being expanded at the request of
our customers, to include strike prices at
12.5 basis point intervals within a 150 point range
(6 strike prices above and below the at-the-money strike price).
Strikes outside of the 150 point range will be listed at 25 point intervals.
Contracts that will be subject to the additional 12.5 point strike
prices are:
CME Eurodollar options:
·
Four nearest-expiring quarterly contracts
·
Serial months
1-Year MidCurve Options:
- Four Weekly Options
- Two Serial months
- Two Quarterly months
2-Year MidCurve Options
·
Two Quarterly months
5-Year MidCurve Options
·
One Quarterly month
Quarter Tick Eligible Months
Also effective
Sunday, May 13, 2007, CME will expand the number of months eligible for quarter
tick price increments in CME Eurodollar Options, to include outrights and spreads in the first two
quarterly and serial months, if the premium of the outright or net differential is between -5 and 5
points.
For RLC Message Users Only
For RLC message users, the RLC impact of this change results in
employing a Variable Tick Table (VTT) to determine the tick size. The VTT invoked is VTT #12.
The Variable Tick Table is displayed below for your convenience. The Variable Tick Table Index Code resides in
positions 576-577 of the Instrument Creation (MO) Message.
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VTT 12 for CME Eurodollar Options on Futures
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Current Price (P)
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CME Globex
® Tick Size
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P < -5
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0.50
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-5 <= 5
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0.25
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P > 5
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0.50
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Important Note:
While all CME Eurodollar options (except the spot
month) will use VTT 12, only the first two quarterly and serial months are eligible to trade at a
quarter ticks. Additionally, CME Rules
prohibit quarter tick orders and trades for all mid-curve options and for all quarterly
options beyond the first two. However, if any leg of an option spread is eligible
to trade at a quarter tick, then the entire spread is eligible.
Additional information on VTT is available in
CME Market Data Platform SDK: Core Functionality, section 4.5.3: “Calculating
Tick Size Based on Instrument Creation (MO) Message”.
The change to support VTT 12 has been deployed in the New Release
Certification environment for testing.
Please contact
MarketDataOps@cme.com and the Market Data Hotline
312.634.8395 if you have any questions.
Thank you.
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