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ONE YEAR MID-CURVE OPTIONS ON EURODOLLAR FUTURES
 


Codes et classification
Mnemo EM Marché NYSE Liffe London Vol. 0 19/11/09
Type d'exercice Américain Devise $ P.O. 0
 One Year Mid-Curve Options on Three Month Eurodollar Futures
Taille du contrat One Three Month Eurodollar Futures Contract
Mois d'échéance March, June, September and December and two serial months, such that six expiry months are available for trading, with the nearest three expiry months being consecutive calendar months (quarterly options relate to future with delivery month one year further than the option’s expiry month; serial options relate to future with delivery month one year further than the following quarterly delivery month)
Cotation Percentage points
Echelon minimum de cotation 0.005 on all expiry months ($12.50 on all expiry months)
Jour d'exercice Exercise by 20:00 hours London time on any business day prior to the Last Trading Day Exercise by 11:45 London time on the Last Trading Day
Dernier jour de négociation Two London business days prior to the third Wednesday of the expiry month at 11:00 hours London time for both serial expiry months and quarterly expiry months.
Compens. Positions settled to the nearest 0.005 20:00 hours London time
Heures de cotation 07:02 – 21:00 hours London time
Documentation
Options On Short Term Interest Rate, Swapnote® And Government Bond Contracts
Mis à jour 22/07/09
Trading Platform:
  • LIFFE CONNECT® Trading Host for Futures and Options
  • Algorithm: Central order book applies a pro-rata algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to a maximum volume cap.
  • Wholesale Services: Block Trading
Contract Standard:
Assignment of one Three Month Eurodollar futures contract at the exercise price. The futures delivery month associated with each option expiry month shall be:

March the following year in respect of January, February and March expiry months;

June the following year in respect of April, May and June expiry months;

September the following year in respect of July, August and September expiry months;

December the following year in respect of October, November and December expiry months.

Exercise Price Intervals:
0.125, (i.e. 0.125%) e.g. 94.00, 94.125, 94.25 etc. for the first four quarterly and all serial delivery months.

Introduction of new exercise prices:
Seventeen exercise prices will be listed for each new series. Additional exercise prices will be listed when the Three Month Eurodollar futures contract settlement price is within 0.06 of the eighth highest or lowest existing price, or as deemed necessary by the Exchange.

Option Premium:
The contract price is not paid at the time of purchase. Option positions, as with futures positions, are marked-to-market daily giving rise to positive or negative variation margin flows. If the Buyer exercises an option, the Buyer is required to pay the original contract price to the Clearing House and the Clearing House will pay the original contract price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the Clearing House.

Unless otherwise indicated, all times are London times.