• Expansion of Strike Price Range for Weekly Options on E-mini S&P 500 Futures & Options on S&P 500 Futures on Monday, January 27, 2014

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6959
      • Notice Date
      • 13 January 2014
      • Effective Date
      • 26 January 2014

    • Effective Sunday, January 26, 2014 for trade date Monday, January 27, 2014 the Chicago Mercantile Exchange, Inc. (CME or Exchange) will increase the strike price range for Options on Standard and Poor’s 500 Stock Price Index Futures and Options on E-mini Standard and Poor’s 500 Stock Price Index Futures to all exercise prices within 75 strikes above and below the previous day’s quarterly futures settlement price from 50 strikes above and below the previous day’s quarterly futures settlement price.

      These contracts will continue to be available for trading on the CME trading floor and CME Globex. The Commodity Futures Trading Commission (CFTC) will be notified of the rule amendments to expanding the strike price ranges for these products during the week of February 3, 2014, via the weekly notification procedures set forth in Part 40 of the CFTC Regulations.
      The relevant rule changes with additions underlined, and deletions bracketed and struck-through are provided below.
       
       
       
       
       
       
       
       
       
       
       
       
       
      Please contact Mr. John Nyhoff, R&PD at 312-930-2310; or Ms. Lucy Wang, R&PD at (312)648-5478 if you have any inquiries regarding this matter.
       
       
       
      Additions are underlined; Deletions are bracketed and struck-through
       
       
      Chapter 351A
      Options on Standard and Poor's 500 Stock Price Index™ Futures
       
      351A01.E. Exercise Prices
      5. Options in the European Style Weekly Options Series
       
      At the commencement of trading, the Exchange shall list all exercise prices within 75 [50] strikes above and below the previous day’s settlement price of the March quarterly options on the same underlying futures contract that are integers divisible by 5 without remainder, e.g. 1200, 1205, 1210, etc.
       
      The Exchange may modify the provisions governing the establishment of exercise prices as it deems appropriate.
       
       
       
       
       
      Chapter 358A
      Options on E-mini® Standard and Poor's 500
      Stock Price Index Futures
       
      358A01.E. Exercise Prices
      4. Options in the European Style Weekly Options Series
       
      At the commencement of trading, the Exchange shall list all exercise prices within 75 [50] strikes above and below the previous day’s settlement price of the March quarterly options on the same underlying futures contract that are integers divisible by 5 without remainder, e.g. 1200, 1205, 1210, etc.
       
      The Exchange may modify the provisions governing the establishment of exercise prices as it deems appropriate

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