Listings of New Options on CME Three-Month Eurodollar Futures: Standard Options on 4th Year ("Blue") Futures, and Weekly 2-Year and Weekly 3-Year Mid-Curve Options

This supersedes Special Executive Report S-8861R dated 23 October 2013.

Effective Sunday, 17 November 2013, for first trade date of Monday, 18 November 2013, Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) shall introduce extensions and modifications to its offerings of options on Three-Month Eurodollar (“ED”) futures, as follows:

Quarterly Options on 4^th Year ("Blue") Futures

The Exchange customarily lists quarterly options on each of the 12 nearby March quarterly futures delivery months.  The Exchange intends to expand listings of such options to each of the 16 nearby March quarterly futures delivery months.  Trading in quarterly options on 4^th year (“Blue”) ED futures will commence at 5:00 pm, Chicago time (“CT”), on Sunday, 17 November 2013, for first trade date of Monday, 18 November 2013, and will comprise options for expiration in December 2016, March 2017, June 2017, and September 2017, for exercise into ED futures contracts with the respective delivery months. 

Weekly 2-Year Mid-Curve Options and Weekly 3-Year Mid-Curve Options

Subject to completion of certification of requisite rule amendments with the Commodity Futures Trading Commission, the Exchange intends to introduce weekly 2-year mid-curve options and weekly 3-year mid-curve options.  Trading shall commence at 5:00 pm CT on Sunday, 17 November 2013, for first trade date of Monday, 18 November 2013, in such mid-curve options for expiration on Friday, 22 November 2013, and on Friday, 29 November 2013.  Thereafter, the Exchange customarily shall list for trading such mid-curve options for expiration on each of the two (2) nearest eligible days for termination of trading.  Appendices A and B exhibit enabling rule amendments in mark-up form and in clean form, respectively.

Reduction in Listings of Weekly 1-Year Mid-Curve Options

The Exchange customarily lists weekly 1-year mid-curve options for expiration on each of the four (4) nearest eligible dates for termination of trading in such options.  The Exchange plans to reduce listings of such mid-curve options to each of the two (2) nearest eligible dates for termination of trade, according to the following schedule.  As of Sunday, 17 November 2013, for first trade date of Monday, 18 November 2013, the Exchange shall list such mid-curve options for expiration on only the three (3) nearest eligible dates for termination of trading.  As of Sunday, 24 November 2013, for first trade date of Monday, 25 November 2013, and thereafter, the Exchange shall list such mid-curve options for expiration on only the two (2) nearest eligible dates for termination of trading. 

All Eurodollar option products are available for trading on CME Globex (Sunday-Friday, 5:00 pm to 4:00 pm CT) and in open outcry (Monday-Friday, 7:20 am to 2:00 pm CT). 

Questions in this matter may be referred to:

David Reif, Products & Services                        david.reif@cmegroup.com                     312 648 3839

Jonathan Kronstein, Research & Development    jonathan.kronstein@cmegroup.com      312 930 3472

Frederick Sturm, Research & Development        frederick.sturm@cmegroup.com               312 930 1282

Media enquiries concerning this Special Executive Report should be directed to:

CME Group Corporate Communications             news@cmegroup.com                         312 930 3434

Appendix A

Amendments to Rules 452A01., CME Rulebook Chapter 452A

For Options on Three-Month Eurodollar Futures – Mark-up

In April 2005 the Exchange introduced weekly 1-year mid-curve options, ie, options on ED futures for delivery approximately one year following expiration of such options.  Pending certification with the Commodity Futures Trading Commission of the rule amendments set forth below, the Exchange will be enabled to extend listings of such options to comprise weekly 2-year mid-curve options and weekly 3-year mid-curve options on ED futures for delivery approximately two and three years, respectively, following expiration of such options.

(Additions are in bold underlined font.  Deletions are in bold struck-through font.)

452A01. OPTIONS CHARACTERISTICS

452A01.A. Contract Months and Trading Hours

Options shall be listed for such contract months and scheduled for trading during such hours as may be determined by the Exchange.

452A01.B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one Three-Month Eurodollar futures contract as specified in Chapter 452.

452A01.C. Minimum Fluctuations

The price of an option shall be quoted in IMM Index points. Each 0.01 IMM Index point (1 basis point) shall represent $25 per option contract. For example, a quote of 0.35 represents an option price of $875 (35 basis points x $25 per option contract).

1. Contract Month Whose Underlying Futures Contract is the Nearest Expiring Futures Contract Month

The minimum fluctuation shall be 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick).

2. All Other Contract Months

The minimum fluctuation shall be 0.005 IMM Index point ($12.50 per option contract, also known as one–half tick). Trades may also occur at a price of 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade.

Further, for options that expireexpiring in the nearest or second nearest March quarterly contract months (Rule 452A01.D.1.) or the nearest or second nearest non-March quarterly contract months (Rule 452A01.D.2.), and that are trading at a premium of no more than 0.05 IMM Index points, may trade in increments of 0.0025 IMM index points.

Further, for any optionor spread orand combination that trades at a net premium of no more than 0.05 IMM Index points, and that comprises options that expire only in and consisting of options contracts involving the nearest and/or second nearest non-March quarterly months (Rule 452A01.D.1.) and/or the nearest and/or second nearest non-March quarterly months (Rule 452A01.D.2.) only, the options comprised within such spread orthe combination may trade in increments of 0.0025 IMM index points.

For the purpose of Rule 813.–Settlement Prices, the minimum fluctuation shall be 0.0025 IMM Index point ($6.25 per option contract, also known as one–quarter tick).

3. Mid-Curve Options

The minimum fluctuation shall be 0.005 IMM Index point ($12.50 per option contract, also known as one-half tick). Trades may also occur at a price of 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade.

For the purpose of Rule 813—Settlement Prices, the minimum fluctuation shall be 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick).

If options are quoted in volatility terms, the minimum fluctuations shall be 0.05 percent.

452A01.D. Underlying Futures Contracts

1. Options in the March Quarterly Cycle (“Quarterly Options”)

For options that expire in the March quarterly cycle (i.e., March, June, September, and December), except for those Mid-Curve options specified in Paragraphs 3, 4, 5, and 6, or 7 of this Rule, the underlying futures contract is the futures contract for the month in which the option expires. For example, the underlying futures contract for an option that expires in March is the March futures contract.

2. Options Not in the March Quarterly Cycle (“Serial Options”)

For options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), except for those Mid-Curve options specified in Paragraphs 3, 4, 5, and 6, or 7 of this Rule, the underlying futures contract is the next futures contract in the March quarterly cycle that is nearest the expiration of the option. For example, the underlying futures contract for the such options that expire in January or February is the March futures contract.

3. One-Year Mid-Curve Options

One-Year Mid-Curve Options in the March Quarterly Cycle: (“Quarterly One-Year Mid-Curve Options”)

For One-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires twelve 12 calendar months after the month in which the option expires.

One-Year Mid-Curve Options Not in the March Quarterly Cycle: (“Serial One-Year Mid-Curve Options”)

For Serial One-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires twelve  12 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the One-Year Mid-Curve options that expire in January or February is the March futures contract in the next calendar year.

Weekly One-Year Mid-Curve Options

For Weekly One-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires twelve 12 calendar months from the next March quarterly month that is nearest to the expiration of the option.

4. Two-Year Mid-Curve Options

Two-Year Mid-Curve Options in the March Quarterly Cycle: (“Quarterly Two-Year Mid-Curve Options”)

For Two-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires twenty-four 24 calendar months after the month in which the option expires.

Two-Year Mid-Curve Options Not in the March Quarterly Cycle: (“Serial Two-Year Mid-Curve Options”)

For Serial Two-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires twenty-four 24 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Two-Year Mid-Curve options that expire in January or February is the March futures contract that expires in two calendar years.

Weekly Two-Year Mid-Curve Options

For Weekly Two-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 24 calendar months from the next March quarterly month that is nearest to the expiration of the option.

5. Three-Year Mid-Curve Options

Three-Year Mid-Curve Options in the March Quarterly Cycle: (“Quarterly Three-Year Mid-Curve Options”)

For Three-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires thirty-six36 calendar months after the month in which the option expires.

Three-Year Mid-Curve Options Not in the March Quarterly Cycle: (“Serial Three-Year Mid-Curve Options”)

For Serial Three-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires thirty-six36 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Three-Year Mid-Curve options that expire in January or February is the March futures contract that expires in three calendar years.

Weekly Three-Year Mid-Curve Options

For Weekly Three-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 36 calendar months from the next March quarterly month that is nearest to the expiration of the option.

6. Four-Year Mid-Curve Options

Four-Year Mid-Curve Options in the March Quarterly Cycle: (“Quarterly Four-Year Mid-Curve Options”)

For Four-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires forty-eight 48 calendar months after the month in which the option expires.

Four-Year Mid-Curve Options Not in the March Quarterly Cycle: (“Serial Four-Year Mid-Curve Options”)

For Serial Four-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires forty-eight 48 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Four-Year Mid-Curve options that expire in January or February is the March futures contract that expires in four calendar years.

7. Five-Year Mid-Curve Options

Five-Year Mid-Curve Options in the March Quarterly Cycle: (“Quarterly Five-Year Mid-Curve Options”)

For Five-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires sixty60 calendar months after the month in which the option expires.

Five-Year Mid-Curve Options Not in the March Quarterly Cycle: (“Serial Five-Year Mid-Curve Options”)

For Serial Five-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires sixty60 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Five-Year Mid-Curve options that expire in January or February is the March futures contract that expires in five calendar years.

452A01.E. Exercise Prices

1. Twenty-Five Point Exercise Prices

Exercise prices shall be stated in terms of the IMM Index for the Eurodollar futures contract that is deliverable upon exercise of the option and shall be stated in intervals whose last two digits are 00, 25, 50, and 75 ("twenty-five point exercise prices") for all IMM Index levels, e.g., 88.00, 88.25, 88.50, 88.75, etc.

For Options in the March Quarterly Cycle, Options Not in the March Quarterly Cycle, and all Mid-Curve Options, Aat the commencement of trading in a contract expiration, the Exchange shall list put and call options at the exercise price that is nearest the previous day's settlement price of the respective underlying futures contract. All eligible exercise prices in a range of 5.50 IMM Index points above and below the exercise price that is nearest the futures price shall be listed for trading. Thereafter, the Exchange shall add for trading all eligible exercise prices in a range of 5.50 IMM Index points above and 5.50 IMM Index points below the exercise price nearest the previous day's settlement price. New options may be listed for trading up to and including the termination of trading.

2. Special Listings of 12.5 Point Exercise Prices

Additional exercise prices shall be stated in intervals whose last three digits are 12.5, 37.5, 62.5, and 87.5 ("twelve and a half point exercise prices") for all IMM Index levels, e.g., 93.125, 93.375, 93.625, 93.875, etc.

For Options in the March Quarterly Cycle, Options Not in the March Quarterly Cycle, and all Mid-Curve Options, the Exchange shall list put and call options with a 12.5 point exercise price in a range of 1.50 IMM Index points above and 1.50 IMM Index points below the exercise price [nearest the previous day's settlement price of the underlying futures contract month.

3. Dynamically-Listed Exercise Prices

Upon demand and at the discretion of the Exchange, a new option contract with an out-of-current-range exercise price may be added, on an as-soon-as-possible basis, provided that the last two digits of the exercise price of such newly added option contract must be 00, 25, 50, or 75 (e.g., 88.00, 88.25, 88.50, 88.75).

The Exchange may modify the provisions governing the establishment of exercise prices as it deems appropriate.

452A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.   Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.

452A01.G.-I. [Reserved]

452A01.J. Termination of Trading

1. Options in the March Quarterly Cycle (“Quarterly Options”)

For options in the March quarterly cycle, except for those Mid-Curve options specified in Paragraph 3 of this Rule, options trading shall terminate at the same date and time as the underlying futures contract for such Quarterly options.

2. Options Not in the March Quarterly Cycle (“Serial Options”)

Options trading for contracts For options not in the March quarterly cycle, except for those Mid-Curve options specified in Paragraph 3 of this Rule, trading shall terminate at the close of trading on the Friday preceding the third Wednesday of the contract month. If the foregoing date for termination is a scheduled Exchange holiday, options trading shall terminate on the immediately preceding Business Day. In the event that the underlying futures market for such Serial option does not open on the scheduled Serial option expiration day, the option expiration shall be extended to the next day on which the underlying futures market is open for trading.

3. Mid-Curve Options

Except for the weekly One-Year Mid-Curve options, trading in all otherTrading in any Quarterly Mid-Curve option or any Serial Mid-Curve options shall terminate at the close of trading on the Friday preceding the third Wednesday of the calendar month containing the Mid-Curve option expiration. If the foregoing date for termination is a scheduled Exchange holiday, options trading shall terminate on the immediately preceding Business Day. In the event that the underlying futures market for such Mid-Curve option does not open on the scheduled Mid-Curve option expiration day, the option expiration shall be extended to the next day on which the underlying futures market is open for trading.

Trading in weekly One-YearWeekly Mid-Curve options shall terminate at the close of trading on those Fridays that are not also the termination of trading of a Quarterly or Serial One-Year Mid-Curve options. If the foregoing date for termination is a scheduled Exchange holiday, trading in weekly Weekly Mid-Curve options shall terminate on the immediately preceding Business Day. In the event that the underlying futures market for any such Weekly Mid-Curve option does not open on the scheduled Mid-Curve option expiration day, the option expiration shall be extended to the next day on which the underlying futures market is open for trading.

452A01.K. [Reserved]

Appendix B

Amendments to Rules 452A01., CME Rulebook Chapter 452A

For Options on Three-Month Eurodollar Futures – Clean

452A01. OPTIONS CHARACTERISTICS

452A01.A. Contract Months and Trading Hours

Options shall be listed for such contract months and scheduled for trading during such hours as may be determined by the Exchange.

452A01.B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one Three-Month Eurodollar futures contract as specified in Chapter 452.

452A01.C. Minimum Fluctuations

The price of an option shall be quoted in IMM Index points. Each 0.01 IMM Index point (1 basis point) shall represent $25 per option contract. For example, a quote of 0.35 represents an option price of $875 (35 basis points x $25 per option contract).

1. Contract Month Whose Underlying Futures Contract is the Nearest Expiring Futures Contract Month

The minimum fluctuation shall be 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick).

2. All Other Contract Months

The minimum fluctuation shall be 0.005 IMM Index point ($12.50 per option contract, also known as one–half tick). Trades may also occur at a price of 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade.

Further, options that expire in the nearest or second nearest March quarterly contract months (Rule 452A01.D.1.) or the nearest or second nearest non-March quarterly contract months (Rule 452A01.D.2.), and that are trading at a premium of no more than 0.05 IMM Index points, may trade in increments of 0.0025 IMM index points.

Further, for any option spread or combination that trades at a net premium of no more than 0.05 IMM Index points, and that comprises options that expire only in the nearest or second nearest March quarterly months (Rule 452A01.D.1.) or the nearest or second nearest non-March quarterly months (Rule 452A01.D.2.), the options comprised within such spread or combination may trade in increments of 0.0025 IMM index points.

For the purpose of Rule 813.–Settlement Prices, the minimum fluctuation shall be 0.0025 IMM Index point ($6.25 per option contract, also known as one–quarter tick).

3. Mid-Curve Options

The minimum fluctuation shall be 0.005 IMM Index point ($12.50 per option contract, also known as one-half tick). Trades may also occur at a price of 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick), whether or not such trades result in the liquidation of positions for both parties to the trade.

For the purpose of Rule 813—Settlement Prices, the minimum fluctuation shall be 0.0025 IMM Index point ($6.25 per option contract, also known as one-quarter tick).

If options are quoted in volatility terms, the minimum fluctuations shall be 0.05 percent.

452A01.D. Underlying Futures Contracts

1. Options in the March Quarterly Cycle (“Quarterly Options”)

For options that expire in the March quarterly cycle (i.e., March, June, September, and December), except for those Mid-Curve options specified in Paragraphs 3, 4, 5, 6, or 7 of this Rule, the underlying futures contract is the futures contract for the month in which the option expires. For example, the underlying futures contract for an option that expires in March is the March futures contract.

2. Options Not in the March Quarterly Cycle (“Serial Options”)

For options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), except for those Mid-Curve options specified in Paragraphs 3, 4, 5, 6, or 7 of this Rule, the underlying futures contract is the next futures contract in the March quarterly cycle that is nearest the expiration of the option. For example, the underlying futures contract for such options that expire in January or February is the March futures contract.

3. One-Year Mid-Curve Options

One-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly One-Year Mid-Curve Options”)

For One-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires 12 calendar months after the month in which the option expires.

One-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial One-Year Mid-Curve Options”)

For Serial One-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires 12 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the One-Year Mid-Curve options that expire in January or February is the March futures contract in the next calendar year.

Weekly One-Year Mid-Curve Options

For Weekly One-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 12 calendar months from the next March quarterly month that is nearest to the expiration of the option.

4. Two-Year Mid-Curve Options

Two-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Two-Year Mid-Curve Options”)

For Two-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires 24 calendar months after the month in which the option expires.

Two-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Two-Year Mid-Curve Options”)

For Serial Two-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires 24 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Two-Year Mid-Curve options that expire in January or February is the March futures contract that expires in two calendar years.

Weekly Two-Year Mid-Curve Options

For Weekly Two-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 24 calendar months from the next March quarterly month that is nearest to the expiration of the option.

5. Three-Year Mid-Curve Options

Three-Year Mid-Curve Options in the March Quarterly Cycle (“Quarterly Three-Year Mid-Curve Options”)

For Three-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires 36 calendar months after the month in which the option expires.

Three-Year Mid-Curve Options Not in the March Quarterly Cycle (“Serial Three-Year Mid-Curve Options”)

For Serial Three-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires 36 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Three-Year Mid-Curve options that expire in January or February is the March futures contract that expires in three calendar years.

Weekly Three-Year Mid-Curve Options

For Weekly Three-Year Mid-Curve Options, the underlying futures contract is the futures contract that expires 36 calendar months from the next March quarterly month that is nearest to the expiration of the option.

6. Four-Year Mid-Curve Options

Four-Year Mid-Curve Options in the March Quarterly Cycle: (“Quarterly Four-Year Mid-Curve Options”)

For Four-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires 48 calendar months after the month in which the option expires.

Four-Year Mid-Curve Options Not in the March Quarterly Cycle: (“Serial Four-Year Mid-Curve Options”)

For Serial Four-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires 48 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Four-Year Mid-Curve options that expire in January or February is the March futures contract that expires in four calendar years.

7. Five-Year Mid-Curve Options

Five-Year Mid-Curve Options in the March Quarterly Cycle: (“Quarterly Five-Year Mid-Curve Options”)

For Five-Year Mid-Curve options that expire in the March quarterly cycle, (i.e. March, June, September, and December), the underlying futures contract is the futures contract that expires 60 calendar months after the month in which the option expires.

Five-Year Mid-Curve Options Not in the March Quarterly Cycle: (“Serial Five-Year Mid-Curve Options”)

For Serial Five-Year Mid-Curve Options that expire in months other than those in the March quarterly cycle, (i.e. January, February, April, May, July, August, October, and November), the underlying futures contract is the futures contract that expires 60 calendar months from the next March quarterly month that is nearest to the expiration of the option. For example, the underlying futures contract for the Five-Year Mid-Curve options that expire in January or February is the March futures contract that expires in five calendar years.