• Reduction of the Strike Increments and Increase in the Number of Strike Prices for Options on British Pound Sterling/U.S. Dollar (GBP/USD) Futures

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6921
      • Notice Date
      • 21 November 2013
      • Effective Date
      • 08 December 2013
    • 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:
       
      Europe
      Will Patrick                                +44 20 3379 3721                      Will.Patrick@cmegroup.com
      Malcolm Baker                          +44 20 3379 3863                      Malcolm.Baker@cmegroup.com
      Sandra Ro                                +44 20 3379 3789                      Sandra.Ro@cmegroup.com
                                                     
      U.S.
      Craig LeVeille                            +1 312 454 5301                        Craig.LeVeille@cmegroup.com
      Simon Burnham                         +1 312 930 3426                        Simon.Burnham@cmegroup.com
      Kevin McMillin                           +1 312 930 8264                        Kevin.McMillin@cmegroup.com
      Daniel Grombacher                    +1 312 634 1583                        Daniel.Grombacher@cmegroup.com
      Lori Aldinger                             +1 312 930 2337                        Lori.Aldinger@cmegroup.com
       


      Attachment 1
       
      Revised Rules to
      Options on British Pound Sterling/U.S. Dollar (GBP/USD) Futures
       
      (Additions are underlined; deletions are struck through.)
       
      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-eighttwenty-four higher and next forty-eighttwenty-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-eighthtwenty-fourth highest or forty-eighthtwenty-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.

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