Eurex U.S. Contract Specifications
On Sunday, February 8, 2004, The Clearing Corporation will begin clearing the following Eurex contracts. Contract specifications and trading information are detailed below.
2-Year Treasury Note Future
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U.S. Treasury notes having a face value at maturity of $200,000. |
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U.S. Treasury notes that have an original maturity of not more than 5 years and 3 months and a remaining maturity of not less than 1 year and 9 months from the first day of the delivery month but not more than 2 years from the last day of the delivery month. The invoice price equals the futures settlement price times a conversion factor plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent. |
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One quarter of 1/32 of a point ($15.625/contract) rounded up to the nearest cent/contract; par is on the basis of 100 points |
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Points ($2,000) and one quarter of 1/32 of a point; for example, 91-16 equals 91 16/32, 91-162 equals 91 16.25/32, 91-165 equals 91 16.5/32, and 91-167 equals 91 16.75/32 |
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The earlier of (1) the second business day prior to the issue day of the 2-year note auctioned in the current month, or (2) the last business day of the calendar month |
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Third business day following the last trading day |
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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday - Friday |
2-Year Treasury Note Option
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One 2-Year U.S. Treasury Note futures contract (of a specified delivery month) having a face value at maturity of $200,000. |
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Unexercised options expire at 7:00 pm, Chicago time on the last day of trading. |
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1/2 of 1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract. |
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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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Options cease trading in the month prior to the delivery month of the underlying futures contract. Options cease trading at 2 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 trading day be the first business day prior to such Friday. |
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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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One-quarter point ($500/contract) to bracket the current T-note futures price. For example, if 2-year T-note futures are at 94-00, strike prices may be set at 93.25, 93.50, 93.75, 94.00, 94.25, 94.50, 94.75, etc. |
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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. (American Style) |
5-Year Treasury Note Future
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One U.S. Treasury note having a face value at maturity of $100,000. |
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U.S. Treasury notes that have an original maturity of not more than 5 years and 3 months and a remaining maturity of not less than 4 years and 2 months as of the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent. |
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One half of 1/32 of a point ($15.625/contract) rounded up to the nearest cent/contract; par is on the basis of 100 points. * The tick size for the integrated calendar spread may have a price increment of ¼ 32 = 1 tick |
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Points ($1,000) and one half of 1/32 of a point; i.e., 84-16 equals 84 16/32, 84165 equals 84 16.5/32 *Integrated spreads 84162 equals 8416.2/32 |
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Seventh business day preceding the last business day of the delivery month |
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Last business day of the delivery month |
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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday - Friday |
5-Year Treasury Note Option
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5-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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Unexercised options expire at 7:00 pm, Chicago time on the last day of trading. |
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1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract |
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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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Options cease trading in the month prior to the delivery month of the underlying futures contract. Options cease trading at 2:00pm 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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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday - Friday |
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One-half point ($500/contract) to bracket the current T-note futures price. For example, if 5-year T-note futures are at 94-00, strike prices may be set at 92.5, 93, 93.5, 94, 94.5, 95, 95.5, etc. |
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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. |
10-Year Treasury Note Future
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One U.S. Treasury note having a face value at maturity of $100,000. |
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U.S. Treasury notes maturing at least 6 1/2 years, but not more than 10 years, from the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent. |
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One half of 1/32 of a point ($15.625/contract) rounded up to the nearest cent; par is on the basis of 100 points. * The tick size for integrated calendar spread may have a price increment of ¼ 32 = 1 tick |
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Points ($1,000) and one half of 1/32 of a point; i.e., 84-16 equals 84 16/32, 84-165 equals 84 16.5/32. *Integrated spreads 84162 equals 8416.2/32 |
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Seventh business day preceding the last business day of the delivery month. |
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Last business day of the delivery month. |
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7:00 p.m. until 4:00 p.m. Chicago Time on EUREX U.S.
Sunday - Friday |
10-Year Treasury Note Option
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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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Unexercised options expire at 7:00 pm, Chicago time, on the last day of trading |
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1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract. |
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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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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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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday – Friday |
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1 point ($1,000/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 89, 90, 91, 92, 93, 94, 95, etc. |
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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. |
30-Year Treasury Bond Future
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One U.S. Treasury bond having a face value at maturity of $100,000. |
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U.S. Treasury bonds that, if callable, are not callable for at least 15 years from the first day of the delivery month or, if not callable, have a maturity of at least 15 years from the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor plus accrued interest. The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent. |
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One half of 1/32 of a point ($15.625/contract) rounded up to the nearest cent; par is on the basis of 100 points. *The tick size for the integrated calendar spread may have a price increment of ¼ 32 = 1tick. |
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Points ($1,000) and one half of 1/32 of a point; for example 10016 equals 10016/32 and 100165 equals 10016.5/32. * Integrated spreads 100162 equals 10016.2/32. |
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Seventh business day preceding the last business day of the delivery month. |
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Last business day of the delivery month. |
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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday – Friday |
30-Year Treasury Bond Option
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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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Unexercised options expire at 7:00 pm, Chicago time, on the last day of trading |
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1/64 of a point ($15.625/contract) rounded up to the nearest cent/contract. |
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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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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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7:00 p.m. until 4:00 p.m. Chicago Time on Eurex U.S.
Sunday – Friday |
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1 point ($1,000/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 89, 90, 91, 92, 93, 94, 95, etc. |
Integrated Calendar Spreads
*Integrated calendar spreads will automatically match against the normal, or spread order book, depending on which of them gives the better price. Price – Time priority applies as well. The tick size for the integrated calendar spread will be different to the respective single leg product in the following way.
For spread orders up to 5-00 points the price increment will be ¼ 32 = 1 tick.
For orders equal and above 5-00 points (i.e. for single leg orders) the price increment will be ½ 32 = 2 ticks.
To summarize, the tick sizes of the single leg contracts and their respective calendar spreads are as follows:
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Integrated Calendar Spread |
2-Yr Treasury Note Future Calendar Spread |
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5-Yr Treasury Note Future Calendar Spread |
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10-Yr Treasury Note Future Calendar Spread |
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30-Yr Treasury Bond Future Calendar Spread |
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