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.