• Large Trader Requirements, All Month Limits and All Month Aggregation Allocations for the Listing of Weekly and End of Month Options on CBOT E-mini Dow Jones Industrial Average Index ($5 Multiplier) and CBOT Dow Jones Industrial Average Index ($10 Multiplier) Futures

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-7023
      • Notice Date
      • 15 May 2014
      • Effective Date
      • 19 May 2014

    • In connection with the listing of the CBOT E-mini Dow Jones Industrial Average Index ($5 Multiplier) weekly and end of month option contracts and the CBOT Dow Jones Industrial Average Index ($10 Multiplier) weekly and end of month option contracts on The Board of Trade of the City of Chicago, Inc. (CBOT or Exchange) on trade date Monday, May 19, 2014 (see SER-7034R dated April 29, 2014), please note below the corresponding reporting levels, all month aggregation allocations and all month limits for the new contracts. Effective trade date May 19, 2014, and pending all relevant CFTC regulatory review periods, the terms and conditions for these contracts will be inserted in the CBOT Position Limit Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 of the CBOT Rulebook, as noted below.

      The commodity codes are provided for the Clearing Members that file reports pursuant to CBOT Rule 561.A in a machine-readable format. 


                                                                                              (Bold/underline indicates addition)

       

      Contract Name

      Rule Chapter

      Commodity Code

      Contract Size

      Contract Units

      Reporting Level

      All Month Limit Aggregate Into Futures Equivalent Leg (1)

      All Month Aggregate Into Ratio Leg (1)

      All Month Limit (In Net Futures Equivalents) Leg (1) / Leg (2)

      CBOT E-mini Dow Jones Industrial Average Index ($5 Multiplier) Futures Options

      27A

      YM

      $5

      Dollar x DJIA

      200

      11

      2 YM : 1 11

      50,000

      CBOT E-mini Dow Jones Industrial Average Index ($5 Multiplier) Weekly Option - week 1

      27A

      YM1

      $5

      Dollar x DJIA

      200

      11

      2 YM1 : 1 11

      50,000

      CBOT E-mini Dow Jones Industrial Average Index ($5 Multiplier) Weekly Option - week 2

      27A

      YM2

      $5

      Dollar x DJIA

      200

      11

      2 YM2 : 1 11

      50,000

      CBOT E-mini Dow Jones Industrial Average Index ($5 Multiplier) Weekly Option - week 4

      27A

      YM4

      $5

      Dollar x DJIA

      200

      11

      2 YM4 : 1 11

      50,000

      CBOT E-mini Dow Jones Industrial Average Index ($5 Multiplier) End-of-Month Option

      27A

      EYM

      $5

      Dollar x DJIA

      200

      11

      2 EYM : 1 11

      50,000

      CBOT Dow Jones Industrial Average Index ($10 Multiplier) Weekly Option - week 1

      26A

      ZD1

      $10

      Dollar x DJIA

      200

      11

      1 ZD1 : 1 11

      50,000

      CBOT Dow Jones Industrial Average Index ($10 Multiplier) Weekly Option - week 2

      26A

      ZD2

      $10

      Dollar x DJIA

      200

      11

      1 ZD2 : 1 11

      50,000

      CBOT Dow Jones Industrial Average Index ($10 Multiplier) Weekly Option - week 4

      26A

      ZD4

      $10

      Dollar x DJIA

      200

      11

      1 ZD4 : 1 11

      50,000

      CBOT Dow Jones Industrial Average Index ($10 Multiplier) End-of-Month Option

      26A

      EZD

      $10

      Dollar x DJIA

      200

      11

      1 EZD : 1 11

      50,000


      Please refer questions on this subject to:

      Market Regulation

      Surveillance:                        Chris Reinhardt                    Chris.Reinhardt@cmegroup.com                     (312) 435-3665

      Products:                              Nadine Brown                      Nadine.Brown@cmegroup.com                        (212) 299-2223


      Large Trader Reporting:      Sandra Valtierra                   Sandra.Valtierra@cmegroup.com                    (312) 347-4137