• Revised: Volatility-Quoted Foreign Currency Options - Launching Q1 2008

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 07-271
      • Notice Date
      • 12 February 2008
      • Effective Date
      • 12 February 2008
    • CME Group plans to offer volatility-quoted foreign currency options for trading on the CME Globex® electronic trading platform, launching first quarter 2008.  Volatility–based quoting facilitates “delta-neutral” trading, reducing the execution risk that is inherent to trading in premium-quoted options. 
      Important update:  The value of 'ExecInst' that indicates a volatility-quoted trade on the FIXML Trade Confirmation message, is "r", not "l" as previously indicated.
      A mock trading session on CME Globex for volatility-quoted FX options is scheduled for Saturday February 23.  Also, on any weekday, clearing firms may test the ability of their systems to recognize volatility-quoted trades in the Clearing ‘New Release’ test environment.  For more information please contact CME Clearing at 312-207-2525.


      For the full text of this advisory...