Please note that, due to market conditions, the implementation date of the change described below has been moved up to this Sunday, May 4, 2008, from the originally announced date of Sunday, May 18, 2008.
CME Group is planning to reduce the number of MO messages generated for Eurodollar Option Strategies on CME Globex. Eurodollar Option Strategy MO messages will be generated based on the strike price of first leg of the strategy being within the current strike generation rules for the contract. The result of this change is that fewer Eurodollar Option Strategy MO messages will be generated. This is the same method that is currently used in generating MO messages for Equity and FX Option Strategies. You will be advised in advance when this change will take effect.
Currently, ED option strategies are left in production for the life of the product and many of these strategies have become stale as a result of market volatility changes.
Parties interested in trading ED option strategies with strike prices that are out of the current listing rule range can do so by creating User Defined Spreads (UDS).