CME Group 30-Day Federal Funds

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CME Group 30-Day Federal Funds Futures
Contract Unit $4,167 x Contract IMM Index
Price Quotation Contract IMM Index = 100 minus R

R = arithmetic average of daily effective federal funds rates during contract month.

E.g., a price quote of 92.75 signifies an average daily rate of 7.25 percent per annum."

Trading Hours CME Globex: Sunday 5:00 p.m. - Friday - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Minimum Price Fluctuation Nearest expiring contract month(s):

One quarter (1/4) of one interest rate basis point = 0.0025 price points = $10.4175 per contract. Each expiring contract month begins trading in 0.0025-point price increments at 5:00 pm Chicago time on the Sunday first preceding the first business day of the contract month.

All other contract months: One half (1/2) of one interest rate basis point = 0.005 price points = $20.835 per contract."

Product Code CME Globex: ZQ

CME ClearPort: 41

Clearing: 41

Listed Contracts Contracts listed for 60 consecutive months
Settlement Method Financially Settled
Termination of Trading The last day of trading in an expiring futures contract shall be the last Business Day of such contract’s delivery month. Trading in expiring futures shall terminate at the close of the Trading Day on the last day of trading.
Settlement Procedures Expiring contracts are cash settled against the average daily Fed Funds overnight rate for the delivery month, rounded to the nearest one-tenth of one basis point. Final settlement occurs on the first business day following the last trading day. The daily Fed Funds overnight rate is calculated and reported by the Federal Reserve Bank of New York.

Settlement Procedures"

Position Limits CBOT Position Limits
Exchange Rulebook CBOT 22
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
All Or None Minimum All or None Minimums
Vendor Codes Quote Vendor Symbols Listing
CME Group 30-Day Federal Funds Options
Minimum Price Fluctuation One-quarter of one basis point (0.0025), or $10.4175 per contract.
Trading Hours CME Globex: Sunday - Friday : 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m.CT) with a 60-minute break each day beginning at 5:00 p.m.(4:00 p.m. CT)
Open Outcry: MON - FRI: 7:20 a.m. - 2:00 p.m.
CME CLearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Product Code CME Globex: OZQ

CME ClearPort: 41

Open Outcry: Put: FFP Call: FFC

Clearing: 41

Listed Contracts First 24 calendar months.
Termination of Trading Default: Last business day of the delivery month. Trading in expiring options ceases at the close of the regular CME Globex trading session for the corresponding futures contract.

Unexercised options shall expire at 7:00 p.m. on the business day following the last trading day.

Mid-Curve: Last business day of the delivery month. Trading in expiring options ceases at the close of the regular CME Globex trading session for the corresponding futures contract.
Position Limits CBOT Position Limits
Exchange Rulebook CBOT Chapter 22A
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Strike prices will be listed in increments of 6.25 basis points (0.0625) and 12.5 basis points (0.1250). The following strike prices in increments of 6.25 basis points will be listed: the at-the-money strike price closest to the current futures price plus the next ten consecutive higher and the next ten consecutive lower strike prices. Above and below this band, the following strike prices in increments of 12.5 basis points shall be listed: the next five (5) consecutive higher and the next five (5) consecutive lower strike prices.
Exercise Style American-style. The buyer of an option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 5:30 p.m. Options that expire in-the-money after the close on the last trading day shall be automatically exercised on the business day following the last trading day, unless specific instructions are given to CME Clearing by 5:30 p.m.
Settlement Method Deliverable
Underlying 30 Day Federal Funds Futures

Notes[edit]

Other than American options, CME Group offers 6 month mid-curve and 1 year mid-curve options. The underlying instrument for these options are 30-Day Federal Funds in various maturities on the yield curve. For more information about contract specifications, please refer to 30 Day Federal Fund Contract Specification

(*)Last Trading Day: Options cease trading on the last business day of the underlying contract month. Options cease trading at the close of the regular daytime open auction trading session for the underlying 30-Day Fed futures contract.

Also See[edit]

CME Group interest rate products


Resources[edit]

30 Day Federal Fund Contract Specification [[Category:Fed Funds Options