VOLUME 20 - BULLETIN #165
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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May 25, 2000
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SUBJECT:
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1/4 Tick Calendar Spreads in Financial Products
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As a reminder, the Chicago Board of Trade allows trade prices in quarter tick increments for calendar spreads on the following financial products:
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Commodity Code
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30 Yr. Treasury Bonds
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17
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10 Yr. Treasury Notes
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21
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5 Yr. Treasury Notes
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25
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The above listed financial products can be submitted to Clearing with prices in a minimum tick of 1/4 of 32nd only if they are also submitted as differentials (‘D’ in the Transaction Type field in OTIS, cols. 50 - 51 on the TREX record). In addition the 1/4 tick trade price must be submitted in the back/deferred month. The new price formats and tick values per contract are detailed below:
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Tick
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Value per
Contract
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Sample Price
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Price Format
submitted to Clearing
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Print Format on
Clearing Reports
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1/4
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$7.81
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100 16.25/32nd
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0100162
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100 16.2/32
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1/2
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15.63
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100 00.50/32
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0100005
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100 .5/32
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3/4
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23.44
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101 01.75/32nd
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0101017
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101 1.7/32
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whole
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31.25
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101
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0101000
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101
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The price format for submission to clearing is the same that is used for the Two Year Treasury Note contract that is currently quoted in 1/4 tick increments.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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