• Implied Functionality for 3-Month OIS vs. Eurodollar Intercommodity Spreads and Enabling All or None for Overnight Index Swap Futures -- Effective May 3, 2009

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-080
      • Notice Date
      • 09 April 2009
      • Effective Date
      • 04 May 2009
    • Effective Sunday, May 3, 2009 (trade date Monday, May 4), implied functionality will be enabled for the 3-month Overnight Index Swaps (Globex symbol = OSS, Floor symbol = OSP) vs. the Eurodollar futures Intercommodity spread. The Symbol (FIX tag 55) for the 3-month OIS futures and spreads will change to GE from F2. This change will be available in New Release on

      Monday, April 20, 2009.

      In addition, effective Monday, May 4, 2009, All or None (AON) on Overnight Index Swap Futures will be enabled. The AON code for OIS Futures is OIA and the minimum quantity is 2000. 

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