The Chicago Board of Trade (CBOT) will modify the Strike Prices for Options on 10 Year Treasury Notes Futures from one point to a half-point, effective starting on the trade date of June 25, 2007, on the CBOT open auction and e-CBOT trading platforms. Options on the 10 Year Treasury Notes Futures trade on the open auction platform from 7:20 a.m. to 2:00 p.m. (Central Standard Time) and on the e-CBOT platform from 6:02 p.m. to 4:00 p.m. (Central Standard Time), Sunday through Friday.

 

Please view the following specifications for the Options on 10 Year Treasury Notes Futures:

 

Trading Hours:

Open Auction: 7:20 a.m. to 2:00 p.m. Chicago time, Monday through Friday.

Electronic: 6:02 p.m. to 4:00 p.m. Chicago time, Sunday through Friday.

 

Ticker Symbol:

Open Auction: TC/TP

Electronic: OZNC/OZNP

Flex Options: ENC/ENP

All-or-None: QNC/QNP

 

QVS Product Grouping:

Financial

 

Trading Unit:

1 CBOT 10-Year Treasury Note futures contract

 

Contract Month Cycle:

Five months always listed. Three consecutive serial months plus next two quarterly months (Mar, Jun, Sep, Dec).

 

Underlying Futures Contract:

10-Year U.S. Treasury Notes Futures

 

Exercise Style:

American

 

Strike Price Increments (modified):

All months; one half of one full point

 

Levels of Strike Price Increments:

ATM strike is the one closest to the previous day?s settlement price on the underlying futures contract. If the previous settlement is midway between two strike prices, the closest price shall be the larger of the two. All months: ATM plus +25 / -25

 

Cabinet Prices:

$1-$15, one dollar increments

 

Min. Price Fluctuation:

1/64 of one point ($15.625 per contract); rounded up to the nearest cent per contract.

 

Max. Price Fluctuation:

None

 

Daily Price Limits and Dynamic Price Limit Ranges:

None

 

Last Trading Day:

On the last Friday preceding by at least two business days the last business day of the month preceding the option contract month.

 

Expiration:

2:00 p.m. Chicago time

 

Delivery:

The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to the Clearing House by 1800 Chicago time. Option exercise results in an underlying futures market position. Options in-the-money on the last day of trading are automatically exercised.

 

Position Limits:

None; position accountability of 7,500 futures contracts or 20,000 options contracts.

 

ITC Fractional Indicator:

X

 

ITC Price Formats:

0000005

0000006

0000007

0000008

 

ITC Strike Price Fractional Indicator (modified)

2

 

ITC Strike Price Formats (modified)

0011000

0011050

0011100

0011150

 

Please contact the Market Data Vendor Help Desk at (312) 341-3163 or cbotvendorsupport@cbot.com , if you have any questions.