Once implemented, the tick sizes for calendar spreads in each of CME's E-mini stock indexes, including the E-mini S&P 500, E-mini NASDAQ-100, E-mini S&P MidCap 400® and E-mini Russell 2000®, will be the same as the corresponding pit-traded version of the products.
At the same time, CME will increase the maximum order entry quantity restriction for calendar spread trades in all four E-mini products from 250 to 1,000 contracts. Orders for more than 1,000 contracts per quarterly contract month may be entered on the GLOBEX® system as multiple entries, each of which does not exceed 1,000 contracts. For outright trades in the products, the maximum entry quantity restriction will remain at 250 contracts.
In addition, calendar spread transactions in the E-mini S&P 500, E-mini NASDAQ-100, E-mini at S&P MidCap 400 and E-mini Russell 2000 futures executed by eligible participants will not qualify for the daily GLOBEX fee cap. Outright transactions will continue to be eligible for the fee cap.
All of the revisions become effective on Sunday, March 2, 2003 for a trade date of March 3, 2003.
Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States and the second largest exchange in the world for the trading of futures and options on futures. As an international marketplace, CME brings together buyers and sellers on its trading floors and GLOBEX® around-the-clock electronic trading platform. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moves an average of about $1.8 billion per day in settlement payments and manages $27.4 billion in collateral deposits. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME).
GLOBEX is a registered trademark of Chicago Mercantile Exchange Inc. E-mini is a service mark of CME. S&P, S&P 500, NASDAQ-100, S&P MidCap 400, Russell 2000 and other trade names, service marks, trademarks and registered trademarks that are not proprietary to Chicago Mercantile Exchange Inc. are the property of their respective owners, and are used herein under license.