Chapter 406A
Options on CME European HDD Index Futures
406A00.

SCOPE OF CHAPTER
This chapter is limited in application to options on CME European HDD Index futures. In addition tothis chapter, options on CME European HDD Index futures shall be subject to the general rules andregulations of the Exchange insofar as applicable.
For purposes of this chapter, unless otherwise specified, times referred herein shall refer to andindicate Chicago time.

406A01.

OPTIONS CHARACTERISTICS
406A01. A. Contract Months and Trading Hours
Options contracts shall be listed for such contract months and scheduled for trading during such
hours as may be determined by the Exchange.
406A01. B. Trading Unit
The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put,
one respective CME European HDD Index futures contract as specified in Chapter 406. The tablebelow lists the cities and their corresponding weather stations for which options on CME European
HDD Index Futures are available:
Listing Cities and Corresponding Automated Weather Stations
Amsterdam-Schiphol, Netherlands (WMO 06240)
London-Heathrow, United Kingdom (WMO 03772)
ESSEN, Germany (WMO 10410)
PARIS ORLY, France (WMO 07149)
406A01.C. Minimum Fluctuations
The price of an option shall be quoted in terms of the respective CME European HDD Index. Eachindex point represents 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros (€) for
all other locations. For example, a quote of 2 index points represents 40 British pounds (poundssterling) for London-Heathrow, or 40 Euros (€) for all other locations. The minimum fluctuation shallbe 1.0 index point (also known as one tick), equal to 20 British pounds (pounds sterling) for
London-Heathrow, or 20 Euros (€) for all other locations.
406A01.D. [Reserved]
406A01.E. Exercise Prices
Exercise prices shall be stated in terms of the respective CME European HDD Index futurescontract. Eligible exercise prices shall also be at intervals of 1 index point (e.g., 710, 711, 712,etc.). At the commencement of option trading in a contract month, the eligible put and call options
are dynamically listed at intervals of 1 index point in a range of 0 to 1700 index points for HDD
months. New options may be listed for trading up to and including the termination of trading. TheExchange may modify the provisions governing the establishment of exercise prices as it deems
appropriate.
406A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, areset forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shall applyto the Market Regulation Department on forms provided by the Exchange, and the Market
Regulation Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable
exemptions from the specified position limits.
406A01.G. [Reserved]
406A01.H. [Reserved]
406A01.I.
Termination of Trading© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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Options trading shall terminate on the same date and time as the underlying futures contract.
406A01.J. [Reserved]

406A02.

EXERCISE AND ASSIGNMENTIn addition to the applicable procedures and requirements of Chapter 7, the following shall apply tothe exercise of the CME European HDD options.
406A02.A. Exercise of Option by Buyer
An option may be exercised by the buyer only on the termination of Trading Day. To exercise anoption the clearing member representing the buyer shall present an exercise notice to the Clearing
House by 5:30 p.m. on the day of exercise.
An option that is in the money and has not been liquidated prior to the termination of trading shall,in the absence of contrary instructions delivered to the Clearing House by 5:30 p.m. on the day ofexpiration by the clearing member representing the option buyer, be exercised automatically.
406A02.B. Assignment
Exercise notices accepted by the Clearing House shall be assigned through a process of random
selection to clearing members with open short positions in the same series. A clearing member towhich an exercise notice is assigned shall be notified thereof as soon as practicable after such
notice is assigned by the Clearing House, but not later than 45 minutes before the opening ofRegular Trading Hours in the underlying futures contract on the following Business Day.
The clearing member assigned an exercise notice shall be assigned a short position in theunderlying futures contract if a call is exercised or a long position if a put is exercised. The clearing
member representing the option buyer shall be assigned a long position in the underlying futurescontract if a call is exercised and a short position if a put is exercised.
All such futures positions shall be assigned at a price equal to the exercise price of the option andshall be marked to market in accordance with Rule 814 on the Trading Day of acceptance by theClearing House of the exercise notice.

406A03.

[RESERVED](End Chapter 406A)

INTERPRETATIONS & SPECIAL NOTICESRELATING TO CHAPTER 406A

LIMITATION OF LIABILITY AND DISCLAIMER
Speedwell Settlement Services Ltd. (“SSS”) grants the Exchange the rights to use various data (“Data”) inconnection with the trading of futures contracts and options on futures contracts based upon such Data. SSS
makes no warranty, express or implied, as to the results to be obtained by any person or any entity from the useof the Data in connection with the trading of futures contracts, options on futures contracts or any other use.
SSS makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness
for a particular purpose or use with respect to the Data. Without limiting any of the foregoing, in no event shall
SSS have any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if
notified of the possibility of such damages.

© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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