• Initial Listing of 1-Month and 3-Month Euro/US Dollar ("EUR/USD") Realized Volatility Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-7542
      • Notice Date
      • 16 December 2015
      • Effective Date
      • 20 December 2015
    • Effective Sunday, December 20, 2015 for trade date Monday, December 21, 2015, and pending all relevant CFTC regulatory review periods, Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) will list the 1-Month Euro/U.S. Dollar (EUR/USD) VolContractsTM (Euro 1-Month VolContracts™) Futures contract (CME Rulebook chapter:  261C; Code:  16E) and the 3-Month Euro/U.S. Dollar (EUR/USD) VolContractsTM (Euro 3-Month VolContracts™) Futures contract (CME Rulebook chapter:  261B; Code:  36E) (the “Contracts”) for trading on CME Globex and for submission for clearing through CME ClearPort.  The Contracts will offer direct trading of EUR/USD exchange rate volatility.  The Contracts will allow participants to buy or sell EUR/USD exchange rate volatility without the complexity of managing CME Euro/US Dollar standard options positions, and without the necessity of forming a strong directional view on the price movement of the underlying CME Euro/US Dollar futures contract.  The Contracts will be cash-settled to one-month and three-month historical or “realized” volatilities, respectively, calculated by reference to the daily price movements of the Exchange’s underlying extant standard-sized EUR/USD futures contract.  The realized volatility calculations for both contracts are based on a simple standard deviation formula.

      Please direct questions regarding this notice to:


      Will Patrick                      +44 20 3379 3721        Will.Patrick@cmegroup.com                                          


      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                   


      Ravi Pandit                       +65 6593 5562            Ravi.Pandit@cmegroup.com

      Please click here for complete SER-7542.