• Minimum Tick Size Modification for 30-Treasury Bond Futures, and 5-Year Treasury Note Futures and Options Contracts - Effective March 3, 2008

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      • Market Data Distributors
      • From
      • Market Data Operations
      • #
      • Q2008-024
      • Notice Date
      • 01 February 2008
      • Effective Date
      • 03 March 2008

    • Effective March 3, 2008, CME Group will reduce the minimum tick size for the following Treasury contacts:

       

      ·          30-Year U.S. Treasury Bond Futures from 1/32nd to ½ of 1/32nd (from $31.25 to $15.625)

      ·          5-Year U.S. Treasury Note futures from ½ OF 1/32nd (from $15.625 to $7.8125)

      ·          5-Year U. S. Treasury Note options from 1/64th to ½ of 1/64th from ($15.625 to $7.8125)

       

      In addition the minimum tick size changes, the 5-Year Treasury Reduced Tick Spread will be converted into a traditional calendar spread, with the strategy code changing from RT to SP.

       

      Please reference the product modification table below for changes to Minimum Price Intervals, ITC Fractional Indicators and RLC Display Formats.

       

      Contract Name

      30-Year U.S. Treasury Bond Futures

      5-Year U.S Treasury Bond Futures

      5-Year U.S Treasury Bond Options

      Instrument Type

      Interest Rate

      Interest Rate

      Interest Rate

      Ticker Symbol(s)

      Floor: US Globex: ZB

      Floor: FV Globex: ZF

      Floor: FL/FP Globex: OZF

      Trading Venue

      Floor/Globex

      Floor/Globex

      Floor/Globex

      Minimum Price Intervals and Value Per Tick

      1/2 of 1/32 of a point ($15.625 per contract) rounded up to the nearest cent.

      1/4 of 1/32 of a point ($7.8125 per contract) rounded up to the nearest cent.

      1/2 of 1/64 of one point ($7.8125 per contract); rounded up to the nearest cent per contract.

      Price Conventions

      Actual Price

      106 28.5/32

      106 28.25/32

      5.5/64

      ITC Transmission Formats

      0106280

      0106285

      0106290

      0106295

      0106280

      0106282

      0106285

      0106287

      0000050

      0000055

      0000060

      0000066

      ITC Fractional Indicator

      U

      V

      Y

      RLC Price Format

      106000

      106005

      106010

      106015 up to 315

      106280

      106282

      106285

      106287 up to 317

      000050

      000055

      000060

      000065

      RLC Display Format

      EH

      EQ

      FH

      RLC Decimal Format

      3

      3

      3

      ITC Ticker Testing Date(s)/Time(s)

      ITC Ticker testing will be held on Friday, February 15 and Friday, February 22, 2008 at approximately 5:00 p.m. Central Time.

      RLC Testing in CME Certification Environment

      February 18, 2008 (NR) , March 1, 2008 (Cert/Pre-Prod)

       

       

      Please contact mdo@cmegroup.com if you have any questions concerning this notice. Thank you

       

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