Customer Service
info@cmegroup.com
800-331-3332 or 312-930-2316
In early 2005, CME launched weekly expirations on the One-Year Mid-Curve options on CME Globex.
This gives risk managers the opportunity to trade CME Eurodollar options with high gamma on one of the most actively traded CME Eurodollar futures expirations, the fifth quarterly or first "Red" contract.
At any one time, there are at least five expirations available, including the regular "Serial" or "Quarterly" One-Year Mid-Curve expiration which would normally expire during the calendar month. The options 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.
Weekly Mid-Curve option expirations offer a new way for traders to take a view on upcoming economic releases and their effect upon the U.S. interest rate markets.
| To learn more about Weekly Mid-Curve options, click here to see the strategy paper written by David Boberski of Bear Stearns. |
Selected vendor quote symbols and contract specifications are listed below.
Weekly 1-Year Mid-Curve Expirations as of March 2007:
| First Trade Date | Expiration Date | Mid-Curve Option (Trading Floor & Clearing Code) | Mid-Curve Option (CME Globex & EOS Code) | Underlying Eurodollar Futures |
|
Monday, Jan. 29, 2007 |
Friday, Mar. 2, 2007 |
1KH7 - Weekly Mid-Curve |
E01H7 - Weekly Mid-Curve |
March 2008 |
|
Monday, Feb. 5, 2007 |
Friday, Mar. 9, 2007 |
2KH7 - Weekly Mid-Curve |
E02H7 - Weekly Mid-Curve |
March 2008 |
|
Monday, Mar. 13, 2006 |
Friday, Mar. 16, 2007 |
E0H7 - Regularly scheduled Quarterly Mid-Curve expiration |
GE0H7 - Regularly scheduled Quarterly Mid-Curve expiration |
March 2008 |
|
Monday, Feb. 12, 2007 |
Friday, Mar. 23, 2007 |
4KH7 - Weekly Mid-Curve |
E04H7 - Weekly Mid-Curve |
June 2008 |
|
Monday, Feb. 26, 2007 |
Friday, Mar. 30, 2007 |
5KH7 - Weekly Mid-Curve |
E05H7 - Weekly Mid-Curve |
June 2008 |
|
Monday, Mar. 5, 2007 |
Friday, Apr. 6, 2007 ** |
1KJ7 - Weekly Mid-Curve |
E01J7 - Weekly Mid-Curve |
June 2008 |
|
Tuesday, Jan. 16, 2007 * |
Friday, Apr. 13, 2007 |
E0J7 - Regularly scheduled Serial Mid-Curve expiration |
GE0J7 - Regularly scheduled Serial Mid-Curve expiration |
June 2008 |
|
Monday, Mar. 12, 2007 |
Friday, Apr. 20, 2007 |
3KJ7 - Weekly Mid-Curve |
E03J7 - Weekly Mid-Curve |
June 2008 |
|
Monday, Mar. 26, 2007 |
Friday, Apr. 27, 2007 |
4KJ7 - Weekly Mid-Curve |
E04J7 - Weekly Mid-Curve |
June 2008 |
|
Monday, Apr. 2, 2007 |
Friday, May 4, 2007 |
1KK7 - Weekly Mid-Curve |
E01K7 - Weekly Mid-Curve |
June 2008 |
|
Tuesday, Feb. 20, 2007 * |
Friday, May 11, 2007 |
E0K7 - Regularly scheduled Serial Mid-Curve expiration |
GE0K7 - Regularly scheduled Serial Mid-Curve expiration |
June 2008 |
|
Monday, Apr. 9, 2007 |
Friday, May 18, 2007 |
3KK7 - Weekly Mid-Curve |
E03K7 - Weekly Mid-Curve |
June 2008 |
|
Monday, Apr. 23, 2007 |
Friday, May 25, 2007 |
4KK7 - Weekly Mid-Curve |
E04K7 - Weekly Mid-Curve |
June 2008 |
|
Monday, Apr. 30, 2007 |
Friday, Jun. 1, 2007 |
1KM7 - Weekly Mid-Curve |
E01M7 - Weekly Mid-Curve |
June 2008 |
|
Monday, May 7, 2007 |
Friday, Jun. 8, 2007 |
2KM7 - Weekly Mid-Curve |
E02M7 - Weekly Mid-Curve |
June 2008 |
|
Monday, Jun. 19, 2006 |
Friday, Jun. 15, 2007 |
E0M7 - Regularly scheduled Quarterly Mid-Curve expiration |
GE0M7 - Regularly scheduled Quarterly Mid-Curve expiration |
June 2008 |
|
Monday, May 21, 2007 |
Friday, Jun. 22, 2007 |
4KM7 - Weekly Mid-Curve |
E04M7 - Weekly Mid-Curve |
September 2008 |
|
Tuesday, May 29, 2007 * |
Friday, Jun. 29, 2007 |
5KM7 - Weekly Mid-Curve |
E05M7 - Weekly Mid-Curve |
September 2008 |
|
Monday, Jun. 4, 2007 |
Friday, Jul. 6, 2007 |
1KN7 - Weekly Mid-Curve |
E01N7 - Weekly Mid-Curve |
September 2008 |
|
Monday, Apr. 16, 2007 |
Friday, Jul. 13, 2007 |
E0N7 - Regularly scheduled Serial Mid-Curve expiration |
GE0N7 - Regularly scheduled Serial Mid-Curve expiration |
September 2008 |
|
Monday, Jun. 11, 2007 |
Friday, Jul. 20, 2007 |
3KN7 - Weekly Mid-Curve |
E03N7 - Weekly Mid-Curve |
September 2008 |
|
Monday, Jun. 25, 2007 |
Friday, Jul. 27, 2007 |
4KN7 - Weekly Mid-Curve |
E04N7 - Weekly Mid-Curve |
September 2008 |
* December 25, 2006; January 15, 2007; February 19th and May 28th are Exchange Holidays
** Good Friday, April 6, 2007, is an Exchange Holiday. However, since the March 2007 U.S. Payroll numbers are released that day, CME Interest Rate markets will be open until 10am Chicago Time for open outcry trading and 10:15am Chicago Time for CME Globex trading.
| Vendor Name | Open Outcry | CME Globex |
| CQG for Windows | *Please contact CQG Directly (800) 525-1085 | *Please contact CQG Directly at: (800) 525-1085 |
| E-Signal | 1K-5K | E01 - E05 |
| ILX Thomson | BL,BM,BN,BT,BW | BX,XH,XL,XR,XZ |
| Reuters IDN | 0#EGW+ | 0#GFW+ |
| Reuters/Bridge BIS | us@1K.1 | us@1EG.1 |
|
Bloomberg |
Weekly Code + Underlying future month/year + <Commodity> + Option Monitor Function (i.e., for December 8, 2006 expiration, type "2KZ7 <Commodity Key> OMON <Go Key>") This will display individual calls and puts at different strike prices. Or, type in the number of the expiration week in that month (e.g., 1KA, 2KA, 3KA, 4KA, 5KA) then <Commodity Key> OMON <Go Key> |
Coming soon |
| Underlying Contract | One CME Eurodollar futures contract that expires twelve 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 8, 2007, the underlying futures contract is the June 2008 CME Eurodollar futures contract. For the weekly expiration of June 22, 2007, the underlying futures contract is the September 2008 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 16, 2007, the following expirations on the June 2008 CME Eurodollar futures shall be available for trading (clearing code in bracket): April 20 (3KJ7), April 27 (4Kj7), May 4 (1KK7), May 11, (E0K7 - serial Mid-Curve option) and May 18 (3KK7). |
| 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. to 2:00 p.m. Chicago time; CME Globex Electronic Markets: 5:00 p.m. - 4:00 p.m. the following; on Sunday, trading begins at 5:00 p.m. |
If you have any questions, please contact the
CME Interest Rate Products and Services Team:
| Peter Barker: | 312.930.8554 | Larry Grannan: | 312.454.8312 |
| Craig Bewick: | 312.648.3839 | Jeff Kilinski: | 312.648.3817 |
| Robin Ross: | 312.559.4989 | Suzanne Barrett: | 312.338.2651 |
