SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-001 (2 of 2)

Organization: Chicago Mercantile Exchange Inc. (“CME”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 01/06/22 Filing Description: Block Trade Eligibility and 

Expansion of Strike Price Listing of all Options on E-mini Nasdaq-100 Index® Futures 

Contracts and Expansion of the Listing Schedule of the European-Style Weekly Options.

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: See filing.

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: 

Rule Numbers:
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

January 6, 2022

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

3 Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification. Block Trade Eligibility and Expansion of 

Strike Price Listing of all Options on E-mini Nasdaq-100 Index® Futures Contracts 

and Expansion of the Listing Schedule of the European-Style Weekly Options.

CME Submission No. 22-001 (2 of 2)

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is certifying to the Commodity Futures Trading 

Commission (“CFTC” or “Commission”) block trade eligibility for all options on the E-mini Nasdaq-100 

Index® Futures contract listed in the table below (the “Contracts”), expansion of the strike price listing 

schedule of the Contracts, and expansion of the listing schedule of the European-style weekly option

contracts as more specifically described below (collectively, the “Rule Amendments”) effective on Sunday, 

January 23, 2022 for trade date Monday, January 24, 2022. 

Contract Title

CME 

Rulebook 

Chapter

CME Globex 

and CME 

ClearPort 

Code

Block 

Trade 

Minimum 

Threshold

Reporting 

Window

Current Strike 

Price Listing 

Schedule

Expanded 

Strike Price 

Listing 

Schedule

Current 

Listing 

Schedule

Expanded

Listing 

Schedule

Options on Emini Nasdaq-100 

Index® Futures

359A NQ 60 

contracts

RTH – 5

minutes

ETH/ATH –

15 minutes

100 index point 

integer 

multiples upon 

listing: +30% to 

-50% of the 

prior day’s 

settlement price 

on the 

underlying 

future contract. 

10 index point 

integer 

multiples for the 

nearest 

expiration: 

+10% to -20% 

of the prior 

day’s 

settlement price 

500-point 

increment: -

50% to +30% 

(when listed)

100-point 

increment: -

40% to +20% 

(<186 DTE)

50-point 

increment: -

25% to +10% 

(<96 DTE)

10-point 

increment: -

10% to +5% 

(<35 DTE)
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

on the 

underlying 

future contract.

Options on Emini Nasdaq-100 

Index® Futures –

End of Month 

(European-Style)

359A QNE 60 

contracts

RTH – 5

minutes

ETH/ATH –

15 minutes

100 index point 

integer 

multiples upon 

listing: +30% to 

-50% of the 

prior day’s 

settlement price 

on the 

underlying 

future contract. 

10 index point 

integer 

multiples for the 

nearest three 

expirations: 

+10% to -20% 

of the prior 

day’s 

settlement price 

on the 

underlying 

future contract.

500-point 

increment: -

50% to +30% 

(when listed)

100-point 

increment: -

40% to +20% 

(<186 DTE)

50-point 

increment: -

25% to +10% 

(<96 DTE)

10-point 

increment: -

10% to +5% 

(<35 DTE)

Weekly Options 

on E-mini 

Nasdaq-100 

Index® Futures –

Weeks 1-4 

(European-Style)

359A QN1-QN4 60 

contracts

RTH – 5

minutes

ETH/ATH –

15 minutes

Weeks 1, 2 and 

4: +10% to -

20% of the prior 

day’s 

settlement price 

of the 

underlying 

future contract 

in 10 index 

point 

increments. 

Week 3: +30% 

and -50% of the 

prior day’s 

settlement price 

of the 

underlying 

future contract

at in 100 index 

point 

increments and 

+10% and -20% 

in 10 index 

point 

increments

500-point 

increment: -

50% to +30% 

(when listed)

100-point 

increment: -

40% to +20% 

(<186 DTE)

50-point 

increment: -

25% to +10% 

(<96 DTE)

10-point 

increment: -

10% to +5% 

(<35 DTE)

4 weekly 

contracts of 

week 1, 

week 2 and 

week 4 and 

2 weekly 

contracts of 

week 3 

4 weekly 

contracts of 

week 1, 

week 2 and

week 4 and 

3

consecutive

weekly 

contracts of 

week 3
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Monday Weekly 

Options on Emini Nasdaq-100 

Index® Futures –

Weeks 1-5 

(European-Style)

359A Q1A-Q5A 60 

contracts

RTH – 5

minutes

ETH/ATH –

15 minutes

Strikes listed 

within +10% to -

20% of the prior 

day’s 

settlement price 

of the 

underlying 

future contract 

in 10 index 

point 

increments.

500-point 

increment: -

50% to +30% 

(when listed)

100-point 

increment: -

40% to +20% 

(<186 DTE)

50-point 

increment: -

25% to +10% 

(<96 DTE)

10-point 

increment: -

10% to +5% 

(<35 DTE)

Wednesday 

Weekly Options 

on E-mini 

Nasdaq-100 

Index® Futures –

Weeks 1-5 

(European-Style)

359A Q1C-Q5C 60 

contracts

RTH – 5

minutes

ETH/ATH –

15 minutes

Strikes listed 

within +10% to -

20% of the prior 

day’s 

settlement price 

of the 

underlying 

future contract 

in 10 index 

point 

increments.

500-point 

increment: -

50% to +30% 

(when listed)

100-point 

increment: -

40% to +20% 

(<186 DTE)

50-point 

increment: -

25% to +10% 

(<96 DTE)

10-point 

increment: -

10% to +5% 

(<35 DTE)

The Rule Amendments are designed to provide increased marketplace efficiency, broader liquidity, and 

greater risk management capability to market participants. The Rule Amendments are also designed to

provide access to market participants seeking large amounts of liquidity at a given strike price and expiration

through the addition of block trading.

Exhibit A below provides amendments to Chapter 359A (“Options on E-mini Nasdaq-100 Index® Futures”) 

in blackline format. Exhibit B below provides the related Exchange transaction fees.

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“CEA” or “Act”) and identified that the Rule Amendments may have some 

bearing on the following Core Principles:

Compliance with Rules: The Exchange shall continue their normal practice to establish, monitor, 

and enforce compliance with the rules for the Contracts, including the amendments for the 

Contracts. 

Prevention of Market Disruption: The Exchange will continue to have the capacity to detect 

abnormal price movements and unusual trading volumes, including such abnormal price 

movements or trading volumes as may be associated with bilaterally negotiated trades.

Execution of Transactions: The Rule Amendments will further enable the Exchange to continue 

their current practice of providing a competitive, open, and efficient market mechanism for 

executing transactions. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Availability of General Information: The Exchange shall disseminate a Special Executive Report 

(“SER”) regarding the Rule Amendments. The SER will also be posted on the CME Group website.

Daily Publication of Trading Information: Trading volume, open interest and price information 

will continue to be published daily on the Exchange’s website and via quote vendors.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), the Exchange certifies that the Rule 

Amendments comply with the Act, including regulations under the Act. There were no substantive opposing 

views to this proposal.

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at 

http://www.cmegroup.com/market-regulation/rule-filings.html.

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Amendments to CME Rulebook Chapter 359A (“Options on E-mini Nasdaq-100

 Index® Futures”) (blackline format) 

Exhibit B – Exchange Fees
5

Exhibit A

CME Rulebook 

(additions underscored; deletions struck through)

Chapter 359A 

Options on E-mini Nasdaq-100 Index® Futures

***

359A01. OPTIONS CHARACTERISTICS

***

359A01.E. Exercise Prices

1. Regularly-Listed Exercise Prices 

On any Business Day, and subject to Rule 359A01.A., the Exchange shall ensure that all Quarterly (Rule 

359A01.D.1.), European Style Weekly (Rule 359A01.D.2.), European Style Wednesday Weekly (Rule 

359A01.D.3.), European Style Monday Weekly (Rule 359A01.D.4.), and European Style End-of-Month 

(Rule 359A01.D.5.) put and call options that are exercisable into a given Underlying Futures Contract are 

listed for trading at all eligible exercise prices as follows:

500 Point Exercise Prices

All exercise price levels that are integer multiples of 500 Index points (e.g., 16000, 16500, 17000) 

and that lie within a range from 50 percent below to 30 percent above the daily settlement price of 

such Underlying Futures Contract for the first preceding Business Day. 

100 Point Exercise Prices

All exercise price levels that are integer multiples of 100 Index points (e.g., 15900, 16000, 16100) 

and that lie within a range from 40 percent below to 20 percent above the daily settlement price of 

such Underlying Futures Contract for the first preceding Business Day. 

50 Point Exercise Prices

All exercise price levels that are integer multiples of 50 Index points (e.g., 15950, 16000,16050) and 

that lie within a range from 25 percent below to 10 percent above the daily settlement price of such 

Underlying Futures Contract for the first preceding Business Day. 

10 Point Exercise Prices

All exercise price levels that are integer multiples of 10 Index points (e.g., 15990, 16000, 16010) and 

that lie within a range from 10 percent below to 5 percent above the daily settlement price of such 

Underlying Futures Contract for the first preceding Business Day. 

New options may be listed for trading on any Business Day up to and including the termination of trading 

in such options.

2. Dynamically-Listed Exercise Prices 

Upon demand and at the discretion of the Exchange, an option with an out-of-current-range exercise price 

may be listed for trading as a User-Defined Instrument, on an as-soon-as-possible basis, provided that the 

exercise price of such option shall be an integer multiple of 10 Index points.

The Exchange may modify the provisions governing the establishment of exercise prices as it deems 

appropriate.

1. Quarterly Options

On any given Business Day, options that are American Style Quarterly Options (Rules 359A01.D.1), and 

that are exercisable into a given Underlying Futures Contract, shall be listed for trading at all eligible exercise 

prices, as follows: 

100 Point Exercise Prices 

The Exchange shall ensure that such put and call options are listed for trading at all exercise price 

levels that are integer multiples of 100 Index points (e.g., 6800, 6900, 7000) and that lie within a 
6

range from 50 percent below to 30 percent above the daily settlement price of such Underlying 

Futures Contract for the first preceding Business Day. 

10 Point Exercise Prices 

As of the day on which an Underlying Futures Contract for a given delivery month becomes the 

futures contract that is nearest to delivery in the March quarterly cycle (Rule 359A01.D.1.), the 

Exchange also shall ensure that such put and call options are listed for trading at all exercise price 

levels that are integer multiples of 10 Index points (e.g. 6960, 6970, 6980) and that lie within a range 

from 20 percent below to 10 percent above the daily settlement price of such Underlying Futures 

Contract for the first preceding Business Day.

2. European Style Weekly Options

A. On any given Business Day, options that are European Style Weekly options (Rules 359A01.D.2), and 

that are scheduled to expire on the Third Friday of a specified month, and that are exercisable into a given 

Underlying Futures Contract, shall be listed for trading at all eligible exercise prices, as follows: 

100 Point Exercise Prices 

The Exchange shall ensure that such put and call options are listed for trading at all exercise price 

levels that are integer multiples of 100 Index points (e.g., 6800, 6900, 7000) and that lie within a 

range from 50 percent below to 30 percent above the daily settlement price of such Underlying 

Futures Contract for the first preceding Business Day. 

10 Point Exercise Prices 

As of the day on which an Underlying Futures Contract for a given delivery month becomes the 

futures contract that is nearest to delivery in the March quarterly cycle (Rule 359A01.D.1.), the 

Exchange also shall ensure that such put and call options are listed for trading at all exercise price 

levels that are integer multiples of 10 Index points (e.g. 6960, 6970, 6980) and that lie within a range 

from 20 percent below to 10 percent above the daily settlement price of such Underlying Futures 

Contract for the first preceding Business Day.

B. On any given Business Day, options that are European Style Weekly options (Rules 359A01.D.2), and 

that are not scheduled to expire on the Third Friday of a specified month, and that are exercisable into a 

given Underlying Futures Contract, shall be listed for trading at all eligible exercise prices, as follows: 

10 Point Exercise Prices 

The Exchange also shall ensure that such put and call options are listed for trading at all exercise 

price levels that are integer multiples of 10 Index points (e.g. 6960, 6970, 6980) and that lie within a 

range from 20 percent below to 10 percent above the daily settlement price of such Underlying 

Futures Contract for the first preceding Business Day.

3. European Style Wednesday Weekly Options

On any given Business Day, options that are European Style Wednesday Weekly Options (Rules 

359A01.D.3) and that are exercisable into a given Underlying Futures Contract shall be listed for trading at 

all eligible exercise prices, as follows: 

10 Point Exercise Prices 

The Exchange also shall ensure that such put and call options are listed for trading at all exercise 

price levels that are integer multiples of 10 Index points (e.g. 6960, 6970, 6980) and that lie within a 

range from 20 percent below to 10 percent above the daily settlement price of such Underlying 

Futures Contract for the first preceding Business Day.

4. European Style Monday Weekly Options

On any given Business Day, options that are European Style Monday Weekly Options (Rules 359A01.D.4) 

and that are exercisable into a given Underlying Futures Contract shall be listed for trading at all eligible 

exercise prices, as follows: 

10 Point Exercise Prices 

The Exchange also shall ensure that such put and call options are listed for trading at all exercise 

price levels that are integer multiples of 10 Index points (e.g. 6960, 6970, 6980) and that lie within a 

range from 20 percent below to 10 percent above the daily settlement price of such Underlying 

Futures Contract for the first preceding Business Day.

5. European Style End-of-Month Options

On any given Business Day, options that are European Style End-of-Month Options (Rules 359A01.D.5) 

and that are exercisable into a given Underlying Futures Contract shall be listed for trading at all eligible 

exercise prices, as follows: 
7

100 Point Exercise Prices 

The Exchange shall ensure that such put and call options are listed for trading at all exercise price 

levels that are integer multiples of 100 Index points (e.g., 6800, 6900, 7000) and that lie within a 

range from 50 percent below to 30 percent above the daily settlement price of such Underlying 

Futures Contract for the first preceding Business Day. 

10 Point Exercise Prices 

As of the day on which an Underlying Futures Contract for a given delivery month becomes the 

futures contract that is nearest to delivery in the March quarterly cycle (Rule 359A01.D.1.), the 

Exchange also shall ensure that such put and call options are listed for trading at all exercise price 

levels that are integer multiples of 10 Index points (e.g. 6960, 6970, 6980) and that lie within a range 

from 20 percent below to 10 percent above the daily settlement price of such Underlying Futures 

Contract for the first preceding Business Day.

New options may be listed for trading on any Business Day up to and including the termination of trading in 

such options. 

User Defined Instrument (UDI) functionality allows users to dynamically create options strikes that coexist 

with exchange-listed options strikes and allow the scope of tradeable instruments on CME Globex expand 

without listing a larger group of options instruments.

User Defined Instruments are allowed at any integer multiple of 10 points for any expiry that is already listed. 

The Exchange may modify the provisions governing the establishment of exercise prices as it deems 

appropriate.

[Remainder of Rule 359A.01 unchanged.]
8

Exhibit B

Exchange Fees

Membership Type Block Trade Fee

Individual Members

Clearing Members

Rule 106.J Equity Member Firms & Rule 106.J Qualified 

Subsidiaries

Rule 106.I Members & Rule 106.I Qualified Affiliates

Rule 106.S Member Approved Funds

$0.36

Rule 106.D Lessees

Rule 106.F Employees $0.48

Rule 106.H and 106.N Firms 

Clearing Non-Equity Member Firms $0.46

Non-Members $0.60