In response to recent questions regarding the execution and pricing of certain CME Eurodollar options spread and combination trades, the Trading Floor Operations and Market Regulation Departments remind individuals who solicit, place or execute CME Eurodollar futures/options or CME Eurodollar options spread orders that the current allowable minimum price increment is a ½ tick (except when the expiring quarterly is ¼ tick eligible).  Further, all legs of spread or combination orders to be executed in the pit must be done openly in accordance with CME Rule 521 (“Pit Trading”).  Pit trading by other than open outcry may constitute a violation of the prohibition on prearranged trades under CME Rule 539 (“Prearranged, Pre-Negotiated and Noncompetitive Trades Prohibited”).

CME Rules prohibit the solicitation, acceptance or execution of one leg of a spread or combination at one price, with the understanding that the other leg(s) of the same trade will be executed at a prearranged price with the express intent of creating a price that is less than the accepted allowable minimum price increment.  Participation in such trades may result in charges being issued for a violation of Rule 514.A.9. (“Trading Infractions – Definition – conduct of an unbusinesslike nature”) or the matter may be referred to the Probable Cause Committee for consideration of other major or minor charges.

If you have any questions concerning this matter, please contact Greg Benbrook, Associate Director, Market Regulation, at 312/930.4529, Tom Lord, Associate Director, Trading Floor Operations, at 312/338.2881, or any of the Trading Floor Investigators.