- Strike Price Intervals. Beginning Monday, April 21, the strike price arrays will be amended to include a two-tiered strike price system. The first tier will consist of strike prices in 6 ¼ basis point increments, which will include the at-the-money strike plus the next ten higher and lower strikes. The second tier will consist of strike prices in 12 ½ basis point intervals and will include the next five strikes above and below the first tier. This system will be effective with the May 2003 contract.
- Reportable Positions. Also beginning Monday, April 21, the CBOT®is increasing the reportable position level in any one month in each option category to 300 contracts, making Fed Funds options consistent with the reportable level in Fed Funds futures.
- Cabinet Trades. On Friday, May 2 the CBOT will permit cabinet trading in Fed Funds options, when both sides of the trade are closing transactions, at premium levels below the minimum tick size of $10.4175. This applies to all currently listed option contract months. Cabinet transactions may range from $1.00 to $10.00 in $1.00 increments.
FTSE Mondo Visione Exchanges Index:
CBOT: Amendments To Fed Funds Options Contract
Date 28/04/2003
