New Product Advisory Notices
To | Clearing Member Firms
From | CME Clearing
Subject | Update 4: CME Carville Hurricane Index Seasonal & SeasonBinary Options-Effective Monday, April 14, 2008
Notice Date | 2008-03-24
Notice Number | NP 08-01
Effective Date | 2008-04-14
Seasonal contracts pay a fixed amount -- $10,000 -- to the buyer if the combined total of the CME-Carvill Hurricane Index values for all hurricanes that make landfall within the specific geographical region equals or exceeds the strike price. Seasonal maximum contracts pay the fixed amount if the largest value for a hurricane that makes landfall within the region equals or exceeds the strike price. Note that only calls are listed, and that these are American-style options: they can be exercised at any time once they have gone into the money. Option prices range from 0.01 to 100.00, and reflect the market's estimation of the probability of the option going into the money. Processed in the clearing system as an option on a non-tradeable underlying synthetic future. For the full text of this advisory...