Ms. Eileen Donovan
January 10, 2007

Page 5 of 6

359A01.

Each leg of a combination trade of options contracts shall be traded at a price conforming to the
minimum fluctuation. Notwithstanding, options in a combination trade can be traded at an increment of
.05 index points regardless of the premium level if the net premium of the options combination is at or

below 5.00 index points.

[The remainder of Chapter 358A remains unchanged.]

Chapter 359A
Options on E-mini NASDAQ-100 Index® Futures

OPTION CHARACTERISTICS

[359A01.4. and B. remain unchanged.)

359A01.C.

361A01.

Minimum Fluctuations

The price of an option shall be quoted in index point. Each .01 index point shall represent $0.20. The
minimum fluctuation shall be 0.25 index points (also known as one tick), equivalent to $5.00 per
contract. Trades may also occur at a price of .05 index points or $1.00, whether or not such trades
result in the liquidation of positions for both parties to the trade. A trade with a price equal to or less
than 3.00 index points may also occur at a price in multiples of .05 index points, $1.00.

Each leg of a combination trade of options contracts shall be traded at a price conforming to the

minimum fluctuation. Notwithstanding, options in a combination trade can be traded at an increment of
.05 index points regardless of the premium level if the net premium of the options combination is at or

below 3.00 index points.

[The remainder of Chapter 359A remains unchanged.]

Chapter 361A
Options on E-Mini Russell 2000° Futures

OPTION CHARACTERISTICS

[361A01.A. and B. remain unchanged.}

361A01.C.

Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point (1 basis point) shall
represent $1.00. The minimum fluctuation shall be 0.10 index points (also known as one tick). Trades
may also occur at a price of 0.05 index points $5.00, also known as one-half tick, whether or not such
trades result in the liquidation of positions for both parties to the trade. A trade with a price equal to or
less than 3.00 index points may also occur at a price in multiples of .05 index points.

Each leg of a combination trade of options contracts shall be traded at a price conforming to the
minimum fluctuation. Notwithstanding, options in a combination trade can be traded at an increment of



Ms. Eileen Donovan
January 10, 2007

Page 4 of 6

357A01.

index points may also occur at a price in multiples of .05 index points, e.g., .15 index points ($37.50,
also known as one and one-half ticks), and 1.95 index points ($487.50 also known as nineteen and one-
half ticks).

Each leg of a combination trade of options contracts shall be traded ata price conforming to the

minimum fluctuation. Notwithstanding, options in a combination trade can be traded at an increment of
.05 index points regardless of the premium level if the net premium of the options combination is at or

below 5.00 index points.

[The remainder of Chapter 356A remains unchanged.]

Chapter 357A
Options on NASDAQ 100 Index” Futures

OPTION CHARACTERISTICS

[357A01.4. and B, remain unchanged.]

357A01.C.

358A01.

Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point shall represent $1.00. The
minimum fluctuation shall be 0.25 index points (also know as one tick), equivalent to $25.00 per
contract. Trades may also occur at a price of .05 index points or $5.00, whether or not such trades
result in the liquidation of positions for both parties to the trade. A trade with a price equal to or less
than 3.00 index points may also occur at a price in multiples of .05 index points, $5.00.

Each leg of a combination trade _of options contracts shall be traded at a price conforming to the

minimum fluctuation. Notwithstanding, options in a combination trade can be traded at an increment of

.05 index points regardless of the premium level if the net premium of the options combination is at or

below 3.00 index points.

[The remainder of Chapter 357A remains unchanged.]

Chapter 358A
Options on E-mini® Standard and Poor's 500
Stock Price Index Futures

OPTION CHARACTERISTICS

[358A01.4. and B, remain unchanged.]

358A01.C,

Minimum Fluctuations

The price of an option shail be quoted in index points. Each .01 index point shall represent $0.50. The
minimum fluctuation shall be .25 index points (also known as one tick). Trades may also occur at a
price of .05 index points $2.50, whether or not such trades result in the liquidation of positions for both
parties to the trade. A trade with a price equal to or less than 5.00 index points may also occur at a
price in multiples of .05 index points, $2.50.


Ms. Eileen Donovan
January 10, 2007
Page 6 of 6

.05 index points regardless of the premium level if the net premium of the options combination is at or
below 3.00 index points.

[The remainder of Chapter 361A remains unchanged.]

Please do not hesitate to contact Mr. Richard Co at 312-930-3227 or reo@cme.com if any
questions arise during the processing of this submission. Please reference our CME Submission
#07-04 on all future correspondence for this submission.

Sincerely,

John W. Labuszewski, Managing Director
Research & Product Development


cme @

Chicago Mercantile Exchange

20 South Wacker Drive 312/930.1000 tel
Chicago, IL 60606-7499 312/466.4410 fax
www.cme.com

January 10, 2007

Ms. Eileen Donovan

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre, 1155 21s Street, NW wom
Washington, DC 20581

BON
RE: Exchange Certification of Amendments to Equity Index Options Spread Tick-Rules

Submitted per Sec. 5c(c)(1) of the CEA and Regulation Sec. 40.6(a).
CME Submission # 07-04,

Dear Ms. Donovan:

Chicago Mercantile Exchange (“CME” or “Exchange”) hereby certifies with the
Commission the following amendments to the Exchange Rules governing the minimum
fluctuations of options spread trades in certain options on equity index futures. The Exchange
certifies that these actions neither violate nor are inconsistent with any portion of the Commodity
Exchange Act or of the rules thereunder.

Current rules allow for equity index options spread and combination trades to occur at
smaller increments than the standard tick for the respective outright options provided the spread
or combination satisfy certain criteria, including the a low net options premium for the
combination. These rules have become obsolete with the cumulative changes to the tick rules
that allow for smaller increments for low premium options. Often, it is possible that, while all
legs can be traded separately at the smaller increments, the combination cannot trade at such
increments because of the rule.

To rectify the inconsistencies, the Exchange shall modify the option spread tick rules.
Specifically, options spread and combinations are allowed to trade at the smallest increments
(.05 index points) as long as all the option legs in the spread and combinations can be assigned
valid options prices allowable under the varying tick increment rule for the outright options.
Further, for option spreads trading at a low net premium level, defined as the same threshold as
in the case of an outright options, the spread itself may also be traded at the lower tick increment,
regardless of whether all the legs in the spread can be assigned valid options prices allowable
under the varying tick increment rules for the outright options.


Ms. Eileen Donovan
January 10, 2007
Page 2 of 6

The text of the amendments is as follows, with additions underlined and deletions
bracketed and overstruck. The amendments shall become effective on the trade date of Monday,

January 22, 2007.

Chapter 5
TRADING QUALIFICATIONS AND PRACTICES

542. SIMULTANEOUS SPREAD AND. COMBINATION TRANSACTIONS
[A. — D. remain unchanged.)

E. ing-i in-cimmutt m bination- ti it
z Pi Y
fut tracts—tradi -whole—int d te tick is
ig is ig
fut tracts subject to-th 4 Iying-to-oth J
Sub} pply Pi
dal biect-te-the-foll ctive-additional-conditi
2 SP
4 d-and-cembination-t ti Ht p
hich $ the-opti i" teger-tick ided
P g
that-the-total berof-opt the fo H hat
op
2 d-and-combination- i Wing-th hi a
P ¥
leg-of- a two-legged -or three-eaged-combinati hich tradi
fos a egg g
n " tick owed ided-that-th " forty
Sg greg y
ticks of less.)
Reserved

[F. remains unchanged]

[The remainder of Chapter 5 remains unchanged.}

Chapter 351A

Options on Standard and Poor's 500 Stock Price IndexTM Futures

351A01. OPTION CHARACTERISTICS
[351 A014. and B, remain unchanged.)

351A01.C. Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point shall represent $2.5. The
minimum fluctuation shall be .10 index points ($25.00, also known as one tick). Trades may also occur
at a price of .05 index points ($12.50, also known as one-half tick), whether or not such trades result in
‘the liquidation of positions for both parties to the trade. A trade with a price equal to or less than 5.00

index points may also occur at a price in multiples of .05 index points, e.

-15 index points ($37.50,

also known as one and one-half ticks), and 1.95 index points ($487.50 also known as nineteen and one-

half ticks).


Ms. Eileen Donovan
January 10, 2007
Page 3 of 6

355A01.

Each leq of a combination trade of options contracts shall be traded at a price conforming to the
minimum fluctuation. Notwithstanding, options in a combination trade can be traded at an increment of
.05 index points regardless of the premium level if the net premium of the options combination is at or
below 5.00 index points.

[The remainder of Chapter 351A remains unchanged.]

Chapter 355A
Options on S&P 500% CITIGROUP Growth Index Futures

OPTION CHARACTERISTICS

(355A01.4. and B. remain unchanged.)

355A01.C.

356A01.

Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point shall represent $2.5. The
minimum fluctuation shall be .10 index points ($25.00, also known as one tick). Trades may also occur
at a price of .05 index points ($12.50, also known as one-half tick), whether or not such trades result in
the liquidation of positions for both parties to the trade. A trade with a price equal to or less than 5.00
index points may also occur at a price in multiples of .05 index points, e.g., .15 index points ($37.50,
also known as one and one-half ticks), and 1.95 index points ($487.50 also known as nineteen and one-
half ticks).

Each leg of a combination trade of options contracts shall be traded at_a price conforming to the
minimum fluctuation. Notwithstanding, options in a combination trade can be traded at an increment of
.05 index points regardless of the premium level if the net premium of the options combination is at or
below 5.00 index points.

[The remainder of Chapter 355A remains unchanged.]

Chapter 356A
Options on S&P 500/ CITIGROUP Value Index Futures

OPTION CHARACTERISTICS

(356A01., and B, remain unchanged.)

356A01.C.

Minimum Fluctuations

The price of an option shall be quoted in index points. Each .01 index point shall represent $2.5. The
minimum fluctuation shall be .10 index points ($25.00, also known as one tick). Trades may also occur
at a price of .05 index points ($12.50, also known as one-half tick), whether or not such trades result in
the liquidation of positions for both parties to the trade. A trade with a price equal to or less than 5.00