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CBOT 30-Day Fed Fund Futures Options
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Exchange Code:
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01
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Commodity Code:
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41
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Ticker Symbol
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Open Outcry: FFC – Fed Fund Calls, FFP – Fed Fund Puts
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Price Quotation:
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One-quarter of one basis point (0.0025 on a price basis of 100 or $10.4175/contract)
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Unit of Trading:
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One CBOT 30-Day Fed Fund Futures Contract of a specified contract month.
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Clearing Price Format
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Actual = ¼
4-Digit = 0025
5-Digit = 00025
7-Digit = 0000025
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Premium Calculation
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Basis Point
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Premium Value
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0.0025
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$10.42
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0.0050
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$20.84
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0.0075
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$31.25
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0.0100
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$41.67
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Strike Prices:
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Strike prices will be listed in the internal multiples of twelve and one-half basis points (0.125 on a price basis of 100). Strikes shall bracket the previous day’s settlement price rounded to the nearest one-half of one percentage point (e.g., acceptable strike prices would be 98.250=1.75%, 98.375=1.625%, 98.500=1.5%, 99.875 =.125%).
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Clearing Strike Format:
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Strike Price
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Clearing Strike Format
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98.25
98.375
98.50
99.875
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98250
98375
98500
99875
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Exercise:
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American exercise. The holder can exercise on any business day prior to expiration by giving notice by 6:00 p.m. Chicago time to the Board of Trade Clearing Corporation. Automatic exercise after 6:00 p.m. on the business day following the last day of trading unless notice to cancel automatic exercise is given to the Clearing Corporation.
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Clearing Salient Future Price Format
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Future Price
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Clearing Price Format
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98.25
98.375
98.50
99.875
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0098250
0098375
0098500
0099875
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Fed Funds Pays and Collects for Futures created from exercise and assignment
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Basis Point
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Difference
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Value
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0.0050
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None
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$20.84
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0.0100
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$20.83
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$41.67
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Expiration:
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Unexercised options will expire at 7:00 p.m. Chicago time on the first business following 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
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Daily Price Limits:
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None
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Contract Months:
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Up to twenty-four day calendar months.
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Last Trading Day:
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Last business of calendar month.
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Position Limits
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None
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Reportable Positions
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50 contracts. Firms will be required to use Record 6 (P6) in reporting large trader information. The style* indicator and contract day needs to be populated with zeroes.
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