• 30-Day Federal Funds Options Strike Expansions - Effective Sunday, February 8, 2009

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-020
      • Notice Date
      • 30 January 2009
      • Effective Date
      • 08 February 2009

    • Effective Sunday, February 8, 2009 (trade date Monday, February 9), at the request of our customers, all eligible 2009 30-Day Federal Funds option strikes above par (0000) will be listed for trading on CME Globex. Strikes will be generated per the CME rulebook listing rules, i.e., ten ± at the money (ATM) strikes at 6 ¼ basis points (0.0625) intervals, and ten ± ATM strikes at 12 ½ basis points (0.1250) intervals.

      Strikes will be listed following the standard 4-byte format for outrights and 3-byte format for strategies:

      Example 30-Day Federal Funds Options Strikes

       

      Underlying Future Price

      tag 107-SecurityDesc

      Option Outright

      tag 107-SecurityDesc

      Option Strategy

      Fed Fund Rate

      99.4375

      OZQMY C9943

      OZQ:STMYC943

      0.005625

      99.5

      OZQMY C9950

      OZQ:STMYC950

      0.005

      99.5625

      OZQMY C9956

      OZQ:STMYC956

      0.004375

      99.625

      OZQMY C9962

      OZQ:STMYC962

      0.00375

      99.6875

      OZQMY C9968

      OZQ:STMYC968

      0.003125

      99.75

      OZQMY C9975

      OZQ:STMYC975

      0.0025

      99.8125

      OZQMY C9981

      OZQ:STMYC981

      0.001875

      99.875

      OZQMY C9987

      OZQ:STMYC987

      0.00125

      99.9375

      OZQMY C9993

      OZQ:STMYC993

      0.000625

      100

      OZQMY C0000

      OZQ:STMYC000

      0.0

      100.0625

      OZQMY C0006

      OZQ:STMYC006

      -0.000625

      100.125

      OZQMY C0012

      OZQ:STMYC012

      -0.00125

      100.1875

      OZQMY C0018

      OZQ:STMYC018

      -0.001875

      100.25

      OZQMY C0025

      OZQ:STMYC025

      -0.0025

      100.3125

      OZQMY C0031

      OZQ:STMY C031

      -0.003125

      100.375

      OZQMY C0037

      OZQ:STMYC037

      -0.00375

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       

       For additional information, please contact Jeff Kilinski at 312.648.3817, or David Reif at 312.648.3839 in Interest Rate Products.

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