- 16 Mar 2021
- By CME Group
- What are the contract specifications for E-Mini Nasdaq-100 Monday and Wednesday (European-Style) options?
- What characteristics do Nasdaq-100 Monday and Wednesday European options share with existing Friday/EOM European options on Nasdaq-100 futures?
- How do the contract codes for new Monday and Wednesday Nasdaq-100 options differ from existing Nasdaq-100 options?
- Which venues are available for trading Nasdaq-100 Monday and Wednesday Weekly options?
- What are the underlying instruments for the Monday and Wednesday Nasdaq-100 options?
- What determines whether Monday and Wednesday Weekly options are exercisable?
- How do the special fixing price and the futures daily settlement price inter-relate with one another?
- Are spreads available on Monday and Wednesday Weekly options?
- How is Monday Weekly option expiry affected if a given Monday is a holiday?
- How is Wednesday Weekly option expiry affected if a given Wednesday is a holiday?
- What additional risk management benefits do these contracts offer?
Nasdaq-100 Monday and Wednesday options are E-Mini-sized option contracts with a $20 multiplier. These contracts are European style, with a 4 p.m. ET expiry on Mondays and Wednesdays.
| CONTRACT | Nasdaq-100 Monday and Wednesday Weekly Options (European-Style) |
|---|---|
| CME Globex/CME ClearPort CODE | Mondays: Q1A, Q2A, Q3A, Q4A, Q5A Wednesdays: Q1C, Q2C, Q3C, Q4C, Q5C |
| UNDERLYING FUTURES MULTIPLIER | $20 |
| CONTRACT UNIT | One E-Mini Nasdaq-100 futures contract |
| LISTING SCHEDULE | At any given time, the four nearest weeks will be listed for trading: Q1A, Q2A, Q3A, Q4A, Q5A (Monday) Q1C, Q2C, Q3C, Q4C, Q5C (Wednesday) |
| sTRIKE PRICE LISTING SCHEDULE | +10% above prior day’s settlement -30% below prior day’s settlement |
| EXERCISE PROCEDURE | European style |
| SETTLEMENT AT EXPIRATION | Option exercise results in a position in the underlying cash-settled futures contract. Options which are in-the-money on the last day of trading are automatically exercised. A 4:00 p.m. ET price fixing based on the weighted average traded price fixing (symbol NQF) of the E-mini Nasdaq-100 Stock Price Index futures in the last 30 seconds of trading on expiration day (3:59:30 p.m.- 4:00:00 p.m. ET) will be used to determine which options are in-the-money. Contrary exercise instructions are prohibited. Option exercise results in a position in the underlying futures contract |
Similar to existing European-style Nasdaq-100 options at CME (which by definition can only be exercised on expiration day), both of the new Monday and Wednesday Weekly options prohibit contrarian instructions (the abandonment of in-the-money options or the exercise of out-of-the-money options). Thus, at expiration, all in-the-money options are automatically exercised, whereas all options not in-the-money are automatically abandoned.
Without the possibility of contrarian instruction, both the options buyer and the writer have certainty about respective positions in the underlying futures contract following the expiration of option positions. In particular, the writer does not need to wait for assignment notices – thus offering a degree of certainty around exercise.
Market participants familiar with the behavior and specification of existing European-style Nasdaq-100 options can expect a similar profile for these Monday and Wednesday European options.
The chart below details contracts codes for differing Nasdaq-100 option contract types.
| CONTRACT | E-MINI NASDAQ-100 |
|---|---|
| Monday | At any given time, the four nearest weeks of Q1A, Q2A, Q3A, Q4A, Q5A will be listed for trading. |
| Wednesday | At any given time, the four nearest weeks of Q1C, Q2C, Q3C, Q4C, Q5C will be listed for trading. |
| Weekly | At any given time, the four nearest weeks of QN1, QN2, and QN4 (weeks one, two, and four) and the three nearest weeks of QN3 (week three) will be listed for trading. |
| EOM | Monthly contracts listed for six consecutive months (QNE) |
| Quarterly | Four months in the March quarterly cycle (Mar, Jun, Sep, Dec) (NQ) |
| CME Globex: Sunday ‒ Friday 6:00 p.m. ‒ 5:00 p.m. Eastern Time (ET) with a trading halt from 4:15 p.m. – 4:30 p.m. ET |
| CME Globex pre-open: Sunday 5:00 p.m. ‒ 6:00 p.m. ET, Monday ‒ Friday 4:15 p.m. ‒ 4:30 p.m. and 5:45 p.m. ‒ 6:00 p.m. ET |
| CME ClearPort: Sunday 6:00 p.m. – Friday 6:45 p.m. ET with no reporting Monday – Thursday 6:45 p.m. to 7:00 p.m. ET |
The underlying instrument for the E-mini Nasdaq-100 Monday and Wednesday Weekly options is the nearest expiring quarterly E-mini Nasdaq-100 futures contract as of the expiration of the option.
On their expiration day, Monday and Wednesday Weekly options will be automatically exercised if the options are determined to be “in-the-money” using a volume-weighted average fixing price calculated by the exchange at 4:00 p.m. Eastern Time (ET). This special fixing price is calculated and disseminated by CME daily under the symbol “NQF.”
The fixing price is the volume-weighted average price in Nasdaq-100 futures, traded during the 30-second period leading up to 4:00 p.m. ET. Only outright trades of the Nasdaq-100 futures in the corresponding contract month shall be included in the calculation. Spread trades involving the corresponding contract month of the E-mini Nasdaq-100 futures shall be disregarded for the purpose of the fixing calculation.
For example, at expiration, if the volume-weighted average price of the underlying futures contract was determined to be 13000.01, an E-mini Nasdaq-100 or Weekly call option with a strike price of 13000 would be automatically exercised; the seller of a call option with a strike price of 13000 would be automatically assigned. As discussed earlier, contrarian instructions are prohibited for these contracts.
The E-Mini Nasdaq-100 fixing price, NQF, is used to determine exercise and assignment of the expiring option. It has two-decimal digit precision. Any options that are at least 0.01 index point in the money will be exercised. The futures positions created as a result of the exercise of the options and are not otherwise offset with other futures positions will be marked to market at the daily settlement price of the underlying futures. The daily settlement price of E-mini Nasdaq-100 Index futures is in increments of 0.25 index point. The daily settlement price of the futures does not factor into the exercise and assignment of the Monday and Wednesday Weekly options.
Yes. Traditional spreads are available for Monday and Wednesday Weekly options, including strangles, straddles, verticals, horizontals, and butterflies.
Monday options are meant to capture the weekend risk. The “Monday” expiration will be listed with the ensuing trading day (usually a Tuesday) as the expiration, should Monday’s trade date be a holiday.
The “Wednesday” expiration will be listed with the prior trading day (usually a Tuesday) as the expiration, should Wednesday’s trade date be a holiday. Generally speaking, any equity option, except a Monday Weekly option, will settle on the prior trading day in the event of a market holiday on the regularly scheduled expiration date (Wednesday and Friday Weeklies, Quarterlies, and EOM options).
CME Equity Index options on futures offer around-the-clock liquidity and market depth. All options at CME Group offer market participants flexible, secure trading alternatives to over-the-counter (OTC) market instruments. The central counterparty clearing model of CME Clearing provides for substantially mitigated counterparty risk. Traders and investors can capitalize on potential margin offsets on futures and options strategies, in addition to leveraging advanced on-screen spreading capabilities. E-Mini Nasdaq-100 Monday and Wednesday Weekly options provide an alternative to OTC trades for capitalizing on market movements related to economic releases or events.
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