• Minimum Tick Increase for 30-Year U.S. Treasury Bond Futures Effective on Sunday, August 30, 2009 - ** INFORMATION UPDATE**

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-188
      • Notice Date
      • 27 August 2009
      • Effective Date
      • 30 August 2009
    • Effective Sunday, August 30, 2009 (trade date Monday August, 31), the minimum trading tick for 30-Year U.S. Treasury Bond outright futures will be increased from the current ½ of 1/32nd  to full 1/32nd (from $15.625 to $31.25). The minimum trading increments for futures intermonth and intercommodity spreads, as well as options, will be unchanged. This tick increase does not impact any other Treasury futures contracts.

      As a result of the tick size change, CME Group will modify the T-bond futures settlement procedure for Friday, August 28, 2009. In order to ensure that Friday settlement prices are in increments of a full 1/32nd , CME Group will calculate outright contract settlement prices by applying current settlement procedures and rounding them to the nearest 1/32nd price increment.

      Additional Information

      ·          The ITC fractional indicator will be modified from U to T

      ·          The new tick increment is currently available for quote vendor testing in New Release

      ·          ITC Ticker testing will be held on August 28, 2009 at approximately 5:00 p.m. Central Time.

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