VOLUME 22 - BULLETIN #212
TO:
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ALL CLEARING MEMBERS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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November 5, 2002
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SUBJECT:
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CBOT 5-Year Interest Rate Swap Futures Option
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Effective Friday, November 8, 2002, the Chicago Board of Trade CBOT will begin pit trading in 5-Year Interest Rate Swap Futures Options Contract. The contracts will begin trading on a/c/e at 8:00pm on Thursday, November 7, 2002. Contract specifications and trading information are detailed below.
CBOT 5 -Year Interest Rate Swap Futures Option
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Exchange Code:
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01
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Commodity Code:
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NG
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Ticker Symbol
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Open Outcry: NGC for Calls/NGP for Puts
a/c/e: OSA
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Price Quotation:
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1/64 of one point(or $15.63/contract)
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Unit of Trading:
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One CBOT 5-Year interest rate swap futures contract.
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Clearing Price Format
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Actual = 18/64
4-Digit = 0180
5-Digit = 00180
7-Digit = 0000180
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Strike Prices:
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Listed in one-point increments to bracket the previous day’s settlement price in the underlying futures contract, i.e., the at-the-money strike plus the next 15 consecutively higher and 15 consecutively lower strikes.
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Exercise:
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American exercise. The holder may exercise on any business day that the option is traded by giving notice by 6:00 p.m. Chicago time to the Board of Trade Clearing Corporation.
After the close on the last trading day, all open long options which are in the money will be automatically exercised, unless notice to cancel automatic exercise is given to the Clearing Corporation.
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Expiration Procedures:
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Unexercised options will expire at 6:00 p.m. Chicago time on the last day of trading.
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Trading hours:
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Open Outcry: 7:20am – 2:00pm Chicago time Monday -Friday
a/c/e: 8:00pm – 4:00pm Chicago time, Sunday-Friday
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Daily Price Limits
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None
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Contract Months:
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The first three consecutive contracts in the March-June-September-December quarterly cycle.
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Last Trading Day:
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The second London business day preceding the third Wednesday of the delivery month. Trading in expiring contracts closes at 11:00 a.m. New York time on the last trading day.
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Position Limits
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5,000 futures-equivalent options contracts net on the same side of the market in all months and all strikes combined.
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Reportable Positions
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50 or more puts or calls (long or short) in any contract.
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Should you have any questions, please call or e-mail one of the following Client Services and Support:
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