The expansion of AON trading comes in response to customer requests for greater flexibility in AON trading of Eurodollars. AON is a pit order execution convention allowing customers to request a single price for a specified quantity of contracts or combinations. Counterparties then respond with the price at which they are willing to execute the entire order. The price transparency of the AON process helps customers receive the best price for their quantity.
The revisions permit AON trades in all Eurodollar outrights and spreads with a minimum quantity of 2,000 contracts per leg in the first five years of expirations and a minimum quantity of 1,000 in years six through 10. Details of the new plan appear in the following table:
CME Eurodollar AON Trading Policy
- Quarterly Eurodollar futures (years 1-5), Current: 2,000 contracts (1st four quarterly) 1,000 contracts (5th to 40th quarterly), Revised: 2,000 contracts; 2,000 contracts per leg in calendar, butterfly & condor spreads
- Quarterly Eurodollar futures (years 6-10), Current: N/A, Revised: 1,000 contracts; 1,000 per leg in calendar, butterfly & condor spreads
- Serial Eurodollar futures , Current: 500 contracts, Revised: Unchanged
- Eurodollar options on futures , Current: 2,000 contracts for outrights and combinations where at least one leg is for = 2,000 contracts, Revised: Unchanged
- Eurodollar mid-curve options on futures , Current: 500 contracts for outrights and combinations where at least one leg is = 500 contracts, Revised: 2,000 contracts for outrights and combinations where at least one leg is = 2,000 contracts
- Regular and rolling Eurodollar packs , Current: Not available, Revised: Years 1-5: 2,000 contracts per pack (e.g., minimum of 500 packs), Years 6-10: 1,000 contracts per pack (e.g., minimum 250 per pack)
- All regular and rolling Eurodollar bundles , Current: 50 contracts in 5-, 6-, 7-, 8,- 9-, 10-year bundles & 5-year forward bundles, Revised: Years 1-5: 2,000 contracts per bundle (e.g., 250 2-year bundles for total of 2,000 contracts; Years 6-10: (all contracts must be in years 6-10): 1,000 contracts per bundle
Chicago Mercantile Exchange Inc. (www.cme.com) is an international marketplace that brings together buyers and sellers on its trading floors and GLOBEX2 around-the-clock electronic trading system. CME offers futures contracts and options on futures primarily in four product areas: interest rates, stock indexes, foreign currencies and agricultural commodities. On Nov. 13, 2000, CME finalized its transformation into a for-profit, shareholder-owned corporation as it became the first U.S. financial exchange to demutualize by converting its membership interests into shares of common stock that can trade separately from exchange trading privileges. The exchange moves about $1 billion per day in settlement payments, manages $28.5 billion in collateral deposits and administers more than $1 billion of letters of credit.
