• Block Trading Approved for CBOT Interest Rate Products - Effective January 28, 2008

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      • Market Data Distributors
      • From
      • Market Data Operations
      • #
      • Q2008-020
      • Notice Date
      • 24 January 2008
      • Effective Date
      • 28 January 2008
    • Effective January 28, 2008, CME Group will begin disseminating Block trades via the Market Data Platform (MDP) for CBOT Interest Rate Products. All Block trades will be disseminated via the CBOT ITC Floor Channel 100 and will include the following: 
      •          Exchange ID of “B”  
      •      Open Outcry Ticker Symbol (even though the Block Trade is done on Globex)
      •         Category Code ”E” message with an Exceptional Indicator Code “B” 
       
      Please be aware that block trades should not update (Open(s), High(s), Low(s) or Last(s)) and should be processed in the same manner as current CME products which allow block trading.
       
      Below is key information concerning Block trading for CBOT Interest Rate products: 
       
      Monday-Friday, 7:00 a.m. - 4:00 p.m. CT
      Products
      2-Year T-Note
      5-Year T-Note
      10-Year T-Note
      30-Year T-Bond
      30-Day Fed Funds
      FUTURES
      Outrights
      5,000
      3,000
      2,000
      Calendar Spreads
      Prohibited
      The sum of the legs must be at least 2,000 contracts, or 1,000 contracts if at least 1,000 contracts are transacted in months 4-12
      OPTIONS (Standard and Flex)
      Outrights
      1,500
      7,500
      1,500
      Spreads
      1,500 (each leg)
      10,000 (each leg)
      1,500 (each leg)
      BLOCK QUANTITY THRESHOLDS DURING EXTENDED TRADING HOURS
      FUTURES
      Outrights
      2,500
      1,500
      1,000
      Calendar Spreads
      Prohibited
      The sum of the legs must be at least 1,000 contracts, or 500 contracts if at least 500 contracts are transacted in months 4-12
      OPTIONS (Standard and Flex)
      Outrights
      750
      3,750
      750
      Spreads
      750 (each leg)
      5,000 (each leg)
      750 (each leg)
      Block trades in Interest Rate Swap futures continue to be permitted subject to the thresholds below.
      BLOCK QUANTITY THRESHOLDS FOR INTEREST RATE SWAP FUTURES
      All Hours
      Products
      5-Year Interest Rate Swaps
      10-Year Interest Rate Swaps
      Outrights
      2,000
       
       

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