• 30-Day Federal funds Options Strike Expansions – Effective Sunday, February 8, 2009

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-45
      • Notice Date
      • 03 February 2009
      • Effective Date
      • 08 February 2009
    • Effective Sunday, February 8, 2009 (trade date Monday, February 9), at customers' requests, all eligible 2009 30-Day Federal Funds option strikes above par (0000) will be listed for trading on CME Globex. Strikes will be generated per the CME rulebook listing rules, i.e., ten ± at the money (ATM) strikes at 6 ¼ basis points (0.0625) intervals, and ten ± ATM strikes at 12 ½ basis points (0.1250) intervals.
      Strikes will be listed following the standard 4-byte format for outrights and 3-byte format for strategies:
      Example 30-Day Federal Funds Options Strikes
       
      Underlying Future Price
      tag 107-SecurityDesc
      Option Outright
      tag 107-SecurityDesc
      Option Strategy
      Fed Fund Rate
      99.4375
      OZQMY C9943
      OZQ:STMYC943
      0.005625
      99.5
      OZQMY C9950
      OZQ:STMYC950
      0.005
      99.5625
      OZQMY C9956
      OZQ:STMYC956
      0.004375
      99.625
      OZQMY C9962
      OZQ:STMYC962
      0.00375
      99.6875
      OZQMY C9968
      OZQ:STMYC968
      0.003125
      99.75
      OZQMY C9975
      OZQ:STMYC975
      0.0025
      99.8125
      OZQMY C9981
      OZQ:STMYC981
      0.001875
      99.875
      OZQMY C9987
      OZQ:STMYC987
      0.00125
      99.9375
      OZQMY C9993
      OZQ:STMYC993
      0.000625
      100
      OZQMY C0000
      OZQ:STMYC000
      0.0
      100.0625
      OZQMY C0006
      OZQ:STMYC006
      -0.000625
      100.125
      OZQMY C0012
      OZQ:STMYC012
      -0.00125
      100.1875
      OZQMY C0018
      OZQ:STMYC018
      -0.001875
      100.25
      OZQMY C0025
      OZQ:STMYC025
      -0.0025
      100.3125
      OZQMY C0031
      OZQ:STMY C031
      -0.003125
      100.375
      OZQMY C0037
      OZQ:STMYC037
      -0.00375
       
       

       

       

       

       

       

       

       

       

       

      For additional information, please contact Jeff Kilinski at 312.648.3817or David Reif at 312.648.3839 in Interest Rate Products.

       

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