Market Data Advisory Notices
To Market Data Distributors
From Market Data Operations
Subject Minimum Tick Size Modification for 30-Treasury Bond Futures, 5-Year Treasury Note Futures & Options, and 5-Year Treasury Note Flexible Options Contracts - UPDATED INFORMATION
Notice Date 2008-02-13
Notice Number Q2008-035
Effective Date 2008-03-03
Effective March 3, 2008, CME Group will reduce the minimum tick size for the following Treasury contacts:
 
·         30-Year U.S. Treasury Bond Futures from 1/32 nd to ½ of 1/32 nd (from $31.25 to $15.625)
·         5-Year U.S. Treasury Note Futures from ½ OF 1/32 nd to 1/4 th of 1/32 nd (from $15.625 to $7.8125)
·         5-Year U. S. Treasury Note Options from 1/64 th to ½ of 1/64 th from ($15.625 to $7.8125)
·         5-Year U.S. Treasury Note Flexible Options from 1/64 th to ½ of 1/64 th from ($15.625 to $7.8125)*
 
In addition to the minimum tick size changes, the 5-Year Treasury Reduced Tick Spread will be converted into a traditional
calendar spread, with the strategy code changing from RT to SP.
 
Please reference the product modification table below for changes to Minimum Price Intervals, ITC Fractional Indicators and RLC
message display formats.
 
Contract Name
30-Year U.S. Treasury Bond Futures
5-Year U.S Treasury Bond Futures
5-Year U.S Treasury Bond Options
5-Year U.S Treasury Bond Flexible Options
Instrument Type
Interest Rate
Interest Rate
Interest Rate
Interest Rate
Ticker Symbol(s)
Floor : US Globex: ZB
Floor: FV Globex: ZF
Floor: FL/FP Globex: OZF
Floor: American: AFC/AFP
European: EFC/EFP
Trading Venue
Floor/Globex
Floor/Globex
Floor/Globex
Floor
Minimum Price Intervals and Value Per Tick
1/2 of 1/32 of a point ($15.625 per contract) rounded up to the nearest cent.
1/4 of 1/32 of a point ($7.8125 per contract) rounded up to the nearest cent.
1/2 of 1/64 of one point ($7.8125 per contract); rounded up to the nearest cent per contract.
1/2 of 1/64 of one point ($7.8125 per contract); rounded up to the nearest cent per contract.
Price Conventions
Actual Price
106 28.5/32
106 28.25/32
5.5/64
5.5/64
ITC Transmission Formats
106280
106280
50
50
106285
106282
55
55
106290
106285
60
60
106295
106287
66
66
ITC Fractional Indicator
U
V
Y
Y
RLC Price Format
106000
106280
50
N/A
106005
106282
55
N/A
106010
106285
60
N/A
106015 up to 315
106287 up to 317
65
N/A
RLC Display Format
EH
EQ
FH
N/A
RLC Decimal Format
3
3
3
N/A
ITC Ticker Testing Date(s)/Time(s)
ITC Ticker testing will be held on Friday, February 15 and Friday, February 22, 2008 at approximately 5:00 p.m. Central Time.
RLC Testing in CME Certification Environment
February 18, 2008 (NR) , March 1, 2008 (Cert/Pre-Prod)
 
  
Please contact mdo@cmegroup.com if you have any questions concerning this notice. Thank you.