Effective Sunday, December 8, 2013 for trade date Monday, December 9, 2013, the Chicago Mercantile Exchange Inc. (CME or Exchange) will amend the trading rules for options on British Pound Sterling/U.S. Dollar (GBP/USD) futures (Rulebook Chapter 251A). Specifically, CME will reduce the strike price increment for GBP/USD options from 100 points (0.0100) to 50 points (0.0050). In addition, the Exchange will increase the number of strike prices surrounding the at-the-money (ATM) strike price from 24 to 48 in order to maintain the size of the initial strike price band at 2,400 points above and below the ATM strike.
The Commodity Futures Trading Commission (CFTC) will be notified of the reduction of the strike increment and the increase of the number of strike prices for this contract during the week of December 16, 2013, via the weekly notification procedures set forth in Part 40 of the CFTC Regulations.
Attachment 1 provides the amendments in blackline format.
Please direct questions regarding this notice to:
Revised Rules to
Options on British Pound Sterling/U.S. Dollar (GBP/USD) Futures
(Additions are underlined; deletions are
Chapter 251A: Options on British Pound Sterling/U.S. Dollar Futures
251A01. OPTIONS CHARACTERISTICS
251A01.K. Exercise Prices
Regular exercise prices shall be stated in terms of U.S. dollars per pound sterling in intervals of $.
010005, e.g., $1.450, $1.455, $1.460, $1.465, $1.470, etc.
1. Monthly Options in the March Quarterly Cycle ("Quarterly Options")
At the commencement of trading in a contract month, the Exchange shall list put and call options at the regular exercise price that is nearest the previous day's settlement price of the underlying futures contract. For options on British pound sterling futures, the Exchange shall list put and call options at the next forty-eight
twenty-four higher and next forty-eight twenty-four lower regular exercise prices.
When a sale, bid, offer, or settlement price in the underlying futures occurs within half a regular exercise price interval of the forty-eighth
twenty-fourth highest or forty-eighth twenty-fourth lowest existing regular exercise prices for options on British pound sterling futures put and call options at the next higher or next lower regular exercise price shall be listed for trading on the next trading day. New options may be listed for trading up to and including the termination of trading.
The Board may modify the provisions governing the establishment of exercise prices as it deems appropriate.
2. Options Not in the March Quarterly Cycle ("Serial" and "Weekly Options")
Upon demand, the Exchange shall list put and call options at any regular exercise price listed for trading in the next March quarterly cycle futures option that is nearest the expiration of the option. New options may be listed for trading up to and including the termination of trading.
3. Dynamically-Listed Exercise Prices
Upon demand and at the discretion of the Exchange, new out-of-current-range exercise prices at regularly defined intervals may be added for trading on as soon as possible basis.