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VOLUME 24 – BULLETIN #052
TO:
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ALL CLEARING PARTICIPANTS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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September 22, 2004
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SUBJECT:
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Changes to 30-Year Bond Option and 10-Year Note Option Contract
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Beginning with the trading for October 1, 2004, Eurex US plans to list strike prices in ½ point intervals on the options on the 30-Year US Treasury Bond futures and the 10-Year US Treasury Note futures. Please see the specifications below:
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10-Year Treasury Note Option
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Exchange Code:
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03
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Commodity Code:
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U1
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Contract Size:
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10-Year U.S. Treasury Note futures contract (of a specified delivery month) having a face value at maturity of $100,000.
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Expiration:
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Unexercised options expire at 7:00 pm Chicago time on the last day of trading
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Tick Size:
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1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract.
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Contract Months:
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The first three consecutive contract months (two serial expirations and one quarterly expiration) plus the next two months in the quarterly cycle (Mar, Jun, Sep, Dec). There will always be five months available for trading. Monthlies will exercise into the first nearby quarterly futures contract. Quarterlies will exercise into futures contracts of the same delivery period.
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Last Trading Day:
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Options cease trading in the month prior to the delivery month of the underlying futures contract. Options cease trading at 2:00 p.m. Chicago time on the last Friday preceding by at least two business days the last business day of the month preceding the option contract month. If such Friday is not a business day, or there is a Friday which is not a business day which precedes by one business day of the month preceding the option month the last day of trading shall be the first business day prior to such Friday
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Trading Hours:
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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday – Friday
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Strike Price Intervals:
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½ point ($500/contract) to bracket the current T-note futures price. If 10-year T-note futures are at 92-00, strike prices may be set at 90, 90.5, 91, 91.5, 92, 92.5, 93, 93.5, etc.
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Exercise:
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The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to the Clearing Corporation by 6:00 pm Chicago time. Options that expire in-the-money are automatically exercised into a position, unless specific instructions are given to the Clearing Corporation.
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30-Year Treasury Bond Option
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Exchange Code:
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03
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Commodity Code:
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US
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Contract Size:
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U.S. Treasury Bond futures contract (of a specified delivery month) having a face value at maturity of $100,000.
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Expiration:
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Unexercised options expire at 7:00 pm Chicago time on the last day of trading
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Tick Size:
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1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract.
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Contract Months:
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The first three consecutive contract months (two serial expirations and one quarterly expiration) plus the next two months in the quarterly cycle (Mar, Jun, Sep, Dec). There will always be five months available for trading. Monthlies will exercise into the first nearby quarterly futures contract. Quarterlies will exercise into futures contracts of the same delivery period.
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Last Trading Day:
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Options cease trading in the month prior to the delivery month of the underlying futures contract. Options cease trading at 2:00 p.m. Chicago time on the last Friday preceding by at least two business days the last business day of the month preceding the option contract month. If such a Friday is not a business day, or there is a Friday which is not a business day which precedes by one business day of the month preceding the option month the last day of trading shall be the first business day prior to such Friday.
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Trading Hours:
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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday – Friday
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Strike Price Intervals:
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½ point ($500/contract) to bracket the current T-bond futures price. If 30-year T-bond futures are at 92-00, strike prices may be set at 90, 90.5, 91, 91.5, 92, 92.5, 93, 93.5, etc.
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Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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