Customer
demand necessitates changes to the Corn, Wheat, Oats, Soybeans, Rough Rice, Soybean Oil, and
Soybean Meal strikerangelistings by
resetting the strike ranges quarterly based on the current market reference price. This change will
be available for testing in the New Release environment August 3, 2008 and will be introduced to
production for trade date August 17, 2008.
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Strike
Listings
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Description
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Corn,
Wheat, Oats
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Serial
months list 5 cent strike intervals within 25% of reference price (545.0, 550.0, 600.0)
Quarterlies
months list 10 cent strike intervals within 50% of reference price (550.0, 560.0, 570.0)
When
Quarterly becomes the second deferred month, 5 cent interval strikes within 25% of reference price
are added
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Soybeans
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Serial
months list 10 cent strike intervals within 25% of reference price (550.0, 560.0, 570.0)
Quarterlies
months list 20 cent strike intervals within 50% of reference price (560.0, 580.0, 600.0)
When
Quarterly becomes the second deferred month, 10 cent interval strikes within 25% of reference price
are added
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Soybean
Oil
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List
1/2 cent strike intervals within 50% of reference price (25.000, 25.500, 26.000)
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Rough
Rice
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List 20
cent strike intervals within 50% of reference price (1780.0, 1800.0, 1820.0)
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Soybean
Meal
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List
$5 strike intervals below $200 and $10 strike intervals above $200 within 50% of reference price
(195, 200, 210)
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Using
Corn as an example, assume it is March 1 and the March Corn contract settles at 600 cents (i.e.,
$6.00). To calculate the number of 10 cent strikes for the following quarter, multiply 600 by 50%
and then divide by 10, resulting in 30 ten cent strikes above the ATM and 30 ten cent strikes below
the ATM.
Please contact Market Data Operations (MDO) at
mdo@cmegroup.com, if you have any questions concerning this
notice.
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