|
|
|
|
FUTURES
|
|
Exchange Code:
|
01
|
Commodity Code:
|
2F
|
Ticker Symbol:
|
DN- Pit traded 10-year Agency Futures
AN- Project A 10-year Agency Futures
|
Price Quotation:
|
Quoted in points. One point equals $1,000.00.
|
Minimum Price
Fluctuation:
|
½ of 1/32 or $15.625.
¼ of 1/32 or 7.81-Differentials only
|
Trading Unit:
|
One Fannie May Benchmark Note or Freddie Mac Reference Note having a face value of $100,000 at maturity
|
Trade Entry Price Format:
|
Actual Price=71.20
7-Digit=0071200 5-Digit=71200
|
Volume 20 - Bulletin #74
|
|
Page 2
|
Daily Trading Limit:
|
3 points or $3,000 (Variable limits are $4,500)
|
Contract Months:
|
March, June, September, December
|
Last Trading Day:
|
Seventh business day preceding the last business day of the delivery month. The expiring contract ceases trading at 12:00 noon CST on the last day of trading
|
Position Limits:
|
Spot and aggregate limits of 5,000 contracts.
|
Reportable Positions:
|
Reportable level of 100 contracts.
|
Trading Hours:
|
Open Outcry: 7:20am-2:00pm(Chicago),M-F
Project A:
Day session: 5:30am-2:00pm(Chicago),M-F
Afternoon session: 2:15pm-4:30pm(Chicago),M-T
Overnight session: 6:00pm-5:00am(Chicago),S-T
|
Delivery Standards:
|
Non-callable Fannie Mae Benchmark Notes and Freddie Mac Reference notes with 6 years 6 months to 10 years 3 months remaining maturity(original maturity
Not greater than 10 years 3 months), original
Issuance of $3 billion or greater, and with semi-
Annual fixed coupon payments.
|
|
|
Calculation of invoice price at settlement:
Invoice Price=(Futures Settlement Price x Conversion
Factor)+Accrued Interest
|
|
|
The conversion factor is the price per $1 of a security with a $1 original principal value that yields 6%.
|
OPTIONS
|
|
Exchange Code:
|
01
|
Commodity Code:
|
2F
|
Volume 20 - Bulletin #74
|
|
Page 3
|
Ticker Symbol
|
DNC- Pit traded and Project A traded 10-Year Agency Calls
DNP- Pit traded and Project A traded 10-year Agency Puts
|
Price Quotation:
|
1/64 of one point($1,000)
|
Unit of Trading:
|
One CBOT 10-Year Agency Note Futures Contract.
|
Trade Entry Price Format:
|
Actual Price=3 16/64
4-Digit=0316 5-Digit=00316 7-Digit=0003160
|
Strike Prices:
|
One point ($1,000), 15 up and 15 down from the at-
the-money strike price.
|
Exercise:
|
A buyer of a futures option may exercise the option on any business day that the option is traded.
|
Expiration Procedures:
|
Unexercised options will expire at 10.00am(Chicago)
On the first Saturday following the last day of trading.
|
Trading hours:
|
Open Outcry: 7:20am-2:00pm(Chicago),M-F
Project A:
Afternoon session 2:15pm-4:30pm(Chicago),M-T
Overnight session: 6:00pm-5:00am(Chicago),S-T
|
Daily Price Limits:
|
Same as Futures
|
Contract Months:
|
Quarterly and Monthly(serials)
|
Last Trading Day:
|
The last Friday which precedes by at least two business days the last business day of the month preceding the option contract month. Expiring options will cease trading at the same time as the market close in the underlying futures contract.
|
Position Limits:
|
Spot limit of 5,000 contracts on a futures-equivalency basis with an aggregate outright limit of 5,000 contracts and a reportable level of 50 contracts.
|
Print
This Page 