CME Weekly Expirations for CME Eurodollar One-Year Mid-Curve Options
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



Summary of Contract Specification -
Weekly CME Eurodollar One-Year Mid-Curve Options
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