• Agricultural Strike Range Listings to Reset – Effective August 17, 2008

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2008-153
      • Notice Date
      • 31 July 2008
      • Effective Date
      • 17 August 2008

    • Customer demand necessitates changes to the Corn, Wheat, Oats, Soybeans, Rough Rice, Soybean Oil, and Soybean Meal strike range listings by resetting the strike ranges quarterly based on the current market reference price. This change will be available for testing in the New Release environment August 3, 2008 and will be introduced to production for trade date August 17, 2008.

       

      Strike Listings

      Description

      Corn, Wheat, Oats

      Serial months list 5 cent strike intervals within 25% of reference price (545.0, 550.0, 600.0)

       

      Quarterlies months list 10 cent strike intervals within 50% of reference price (550.0, 560.0, 570.0)

       

      When Quarterly becomes the second deferred month, 5 cent interval strikes within 25% of reference price are added

      Soybeans

      Serial months list 10 cent strike intervals within 25% of reference price (550.0, 560.0, 570.0)

       

      Quarterlies months list 20 cent strike intervals within 50% of reference price (560.0, 580.0, 600.0)

       

      When Quarterly becomes the second deferred month, 10 cent interval strikes within 25% of reference price are added

      Soybean Oil

      List 1/2 cent strike intervals within 50% of reference price (25.000, 25.500, 26.000)

      Rough Rice

      List 20 cent strike intervals within 50% of reference price (1780.0, 1800.0, 1820.0)

      Soybean Meal

      List $5 strike intervals below $200 and $10 strike intervals above $200 within 50% of reference price (195, 200, 210)

       

      Using Corn as an example, assume it is March 1 and the March Corn contract settles at 600 cents (i.e., $6.00). To calculate the number of 10 cent strikes for the following quarter, multiply 600 by 50% and then divide by 10, resulting in 30 ten cent strikes above the ATM and 30 ten cent strikes below the ATM.

       

      Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.

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