• SPAN File Formatting of 3-Year Eurodollar Mid-Curve Option Strike Prices Changing November 2, 2011 and November 4, 2011

      • To
      • Clearing Member Firms; Back Office Managers; Software Providers; SPAN Users
      • From
      • CME Clearing
      • #
      • 11-391
      • Notice Date
      • 02 November 2011
      • Effective Date
      • 02 November 2011

    • On Wednesday, November 1, 2011, beginning with the “early” SPAN file (produced daily between 3:30 pm and 4:00 pm Chicago time), strike prices for 3-Year Eurodollar Mid-Curve options (clearing code E3) will be adjusted in the New Release environment so that they will have the same characteristics as other Eurodollar options.  The same will be done in Production on November 4, 2011, beginning with the “early” SPAN file.

       

      If you have any questions, please call CCS at 312-207-2525, or email us at CCS@cmegroup.com

       

       

      11-391

       

       

      Click here for the full text of the advisory

       

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