CME Announces Weekly Expirations For CME Eurodollar One-Year Mid-Curve Options

CME, the largest U.S. futures exchange, today announced that it will launch weekly expirations on the One-Year Mid-Curve options on CME Eurodollar futures, the world’s most actively traded interest rate futures contract. The new expirations are scheduled to commence trading at 5:00 p.m., Central Time, on Sunday, April 24, 2005, on the exchange’s CME® Globex® electronic trading platform. On Monday, April 25, the contracts will be available first on the CME enhanced options system electronic platform at 5:10 a.m., Central Time, and then at 7:20 a.m. for open-outcry trading.

At any one time, there will be at least five expirations available, including the regular “Serial” or “Quarterly” One-Year Mid-Curve expiration that would normally expire during the calendar month. The options will expire at the conclusion of trading on each Friday that is not an expiration day for a Quarterly or a Serial One-Year Mid-Curve option.

The first expiration will take place on Friday, April 29, 2005, which is the same day as the scheduled release of the March Employment Cost Index, Personal Income & Spending, the Michigan Consumer Sentiment survey and the Chicago Purchasing Manufacturers Index. The following Friday, expiration will be the same day that the April Employment Situation data is released from the Bureau of Labor Statistics.

“The weekly CME Mid-Curve option expirations offer a new way for traders to take a view on upcoming economic releases and their effect on the U.S. interest rate markets,” said Robin Ross, Managing Director, CME Interest Rate Products group. “Over the past year, both volume and open interest in CME Mid-Curve options have increased, reflecting a strong demand for high gamma options on deferred Eurodollar futures. Last month’s volume for CME Mid-Curve options was over 5 million contracts, which made up more than 25 percent of CME Eurodollar monthly options volume. Open interest was up more than 1 million contracts compared to March 2004. Looking at our overall options business, earlier this month we set a new single-day record of 1.8 million options contracts traded.”

For the launch on April 24, there will be the following weekly expirations on the June 2006 futures contract, the fifth quarterly or first “Red” contract, which at the time of the launch will be the June 2006 futures contract:

Date Mid-Curve Option (Clearing Code)

Friday, April 29, 2005        5KJ5 – New weekly Mid-Curve
Friday, May 6, 2005           1KK5 – New weekly Mid-Curve
Friday, May 13, 2005          E0K5 – Regularly scheduled Serial Mid-Curve expiration
Friday, May 20, 2005         3KK5 – New weekly Mid-Curve
Friday, May 27, 2005         4KK5 – New weekly Mid-Curve

Following are the specifications for the contract:

Underlying Contract	One CME Eurodollar futures contract that expires 12 calendar months from the next March quarterly month that is nearest to the expiration of the option; e.g., for the weekly expiration of June 3, 2005, the underlying futures contract is the June 2006 CME Eurodollar futures contract. For the weekly expiration of June 17, 2005, the underlying futures contract is the September 2006 CME Eurodollar futures contract.
Expiration / Last Day of Trading	Option trading terminates at the conclusion of trading on each Friday that is not an expiration day for Quarterly or Serial One-Year Mid-Curve Options.
Ticker / Clearing Code	Open Outcry / Clearing Code: 1K, 2K, 3K, 4K, 5K for the first to fifth weekly expiration, respectively. CME Globex: E01, E02, E03, E04, E05, for the first to fifth weekly expiration, respectively. Note: In the case of a weekly expiration coinciding with a Serial/Quarterly expiration, the contract is identified as the Serial/Quarterly option.
Listing Cycle	Weekly expirations shall be listed such that, inclusive of the serial (or quarterly) expiration already listed, five consecutive weekly expirations are available for trading. E.g., on April 24-25, 2005, the following expirations on the June 2006 CME Eurodollar futures shall be available for trading (clearing code in bracket): April 29 (5KJ5), May 6 (1KK5), May 13 (E0K5 – serial Mid-Curve option), May 20 (3KK5), and May 27 (4KK5).

Quotation/ Tick Increment

In IMM Index Points – each 0.01 IMM index point is equivalent to $25.00.
Minimum price fluctuation of 0.005 IMM index point

Strike Listing Convention

Same as the nearest Serial One-Year Mid-Curve Options – at 0.25 IMM index point intervals within 5.50 IMM index points of the at-the-money strike, plus the nearest half-strike above and below the at-the-money strike.

Block Trade Facility

From 7:00 a.m. to 4:00 p.m. Mondays through Fridays on regular business days: minimum threshold of 4,000 contracts in outright trade, or 4,000 of at least one leg in a combination trade. For all hours outside of 7:00 a.m. to 4:00 p.m. Mondays through Fridays on regular business days: minimum threshold of 500 contracts.

Trading Venue/ Trading Hour

Open Outcry: 7:20 a.m. – 2:00 p.m. Chicago time; CME Globex: 5:00 p.m. Sunday – Thursday to 5:00 a.m. next morning; trading via the enhanced options system from 5:10 a.m. – 4:00 p.m.