• Minimum Tick Size Modification for 30-Year Treasury Bond Futures, 5-Year Treasury Note Futures & Options, and 5-Year Treasury Note Flexible Options Contracts - UPDATED INFORMATION

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      • #
      • Q2008-035
      • Notice Date
      • 13 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  to 1/4th 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)
      ·          5-Year U.S. Treasury Note Flexible Options from 1/64th to ½ of 1/64th from ($15.625 to $7.8125)*
       
      In addition to 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
      message display formats.
       
      Contract Name
      30-Year U.S. Treasury Bond Futures
      5-Year U.S Treasury Note Futures
      5-Year U.S Treasury Note Options
      5-Year U.S Treasury Note Flexible Options
      Instrument Type
      Interest Rate
      Interest Rate
      Interest Rate
      Interest Rate
      Ticker Symbol(s)
      Floor: US Globex: ZB
      Floor: FV Globex: ZF
      Floor: FL/FP Globex: OZF
      Floor: American: AFC/AFP
      European: EFC/EFP
      Trading Venue
      Floor/Globex
      Floor/Globex
      Floor/Globex
      Floor
      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.
      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
      5.5/64
      ITC Transmission Formats
      106280
      106280
      50
      50
      106285
      106282
      55
      55
      106290
      106285
      60
      60
      106295
      106287
      66
      66
      ITC Fractional Indicator
      U
      V
      Y
      Y
      RLC Price Format
      106000
      106280
      50
      N/A
      106005
      106282
      55
      N/A
      106010
      106285
      60
      N/A
      106015 up to 315
      106287 up to 317
      65
      N/A
      RLC Display Format
      EH
      EQ
      FH
      N/A
      RLC Decimal Format
      3
      3
      3
      N/A
      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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