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changes, through our free automated mailing list, go to:
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As per the normal review of market volatility to ensure adequate collateral
coverage, CME Group Performance Bond staff approved volatility scan range changes for the following
products listed below. The Volatility Scan range is the amount by which the implied volatility
levels are changed for each option during the Span margining process. For those Span margin
scenarios that have implied volatility changes, the current implied volatility is moved either up
or down by the amount of the Volatility Scan Range. For a futures-only portfolio, the
Volatility Scan Range will have no effect. The rates will be effective with the launch of
these products on
Monday, August 18, 2008.
CME Interest Rate Futures Outright Rates
Eurodollar Calendar Spread Options (CME) (SPO)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Speculative - Old Crop
|
NA
|
$405
|
$300
|
|
Hedge/Member - Old Crop
|
NA
|
$300
|
$300
|
Volatility Scan Range – $25
Short Option Minimum – 1%
The volatility scan range is the change in implied volatility that is used in each
of SPAN’s 16 scenarios.
|