Effective
Sunday, July 15, 2007 (for trade date Monday, July 16), the tick for CME
Eurodollar options on futures on the CME Globex
®
platform will change as detailed
below.
|
CME
Eurodollar Options Tick Changes
|
|
CME Eurodollar Options
|
Current Tick Size
|
New Tick Size
|
|
Outright Options
|
|
Spot Month Options
|
0.25
|
0.25
|
|
All Serial Options
|
VTT 12
|
VTT 12
|
|
First Two Quarterly Options
|
VTT 12
|
|
All Other Quarterly Options
|
0.50
|
|
All MidCurve Options
|
0.50
|
CME Eurodollar options spreads with at least one
Spot Month leg will be eligible for a 0.25 tick. Spreads where all legs are VTT 12 will use VTT 12.
All other option spreads will be eligible for 0.50 tick.
Variable Tick Tables are defined in position
576-577, Variable Tick Table Index Code, in the Instrument Creation (MO) message. More 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".
More information on MO messages is available in
CME Market Data Platform
SDK: RLC Message Specifications.
These changes will be available in New Release
for customer testing after the maintenance window on Wednesday, July 11.
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