SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-238 (1 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): 07/19/22 Filing Description: Amendments to the Strike Price 

Listing Schedule, Adoption of a Strike Price and Exercise Procedures Table for all CME 

and CBOT Equity Index Option Contracts and Subsequent Amendments to the At-theMoney (“ATM”) Exercise Procedure for all European-Style CME and CBOT Equity Index 

Option Contracts

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:

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: See filing.

Rule Numbers: See filing.
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

July 19, 2022

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Amendments to the Strike Price Listing 

Schedule, Adoption of a Strike Price and Exercise Procedures Table for all CME and 

CBOT Equity Index Option Contracts and Subsequent Amendments to the At-theMoney (“ATM”) Exercise Procedure for all European-Style CME and CBOT Equity 

Index Option Contracts.

CME Submission No. 22-238 (1 of 2)

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME”) and The Board of Trade of the City of Chicago, Inc. (“CBOT”) 

(collectively, the “Exchanges”) certify to the Commodity Futures Trading Commission (“CFTC” or 

“Commission”) amendments to the strike price listing schedule, adoption of a Strike Price and Exercise 

Procedures Table (the “Table”) for all CME and CBOT equity index option contracts (the “Contracts”) and 

subsequent amendments to the at-the-money (“ATM”) exercise procedure for all European-style CME and 

CBOT equity index option contracts as more specifically described below.

Specifically, the Exchanges will: 

1. Amend Rule XXX. (“Options Characteristics”) to provide a net reduction in the strike listing 

schedules for most of the Contracts and migrate all strike listing rules in the Rule to the Table for 

all the Contracts as listed in Exhibit 1 and Exhibit 2 (which collectively represent all CME and CBOT 

equity index options contracts) effective Sunday, August 21, 2022 for trade date Monday, August 

22, 2022; and

2. Amend Rule XXX. (“Exercise and Assignment”) and the Table for only CME and CBOT Europeanstyle equity index options contracts as reflected in Exhibit 1 and Exhibit 2 below to change the 

behavior of all listed European-style option exercise of Call options from “Abandon Calls” to 

“Exercise Calls” (inclusive of those options with open interest) effective Sunday, October 2, 2022 

for trade date Monday, October 3, 2022 (collectively, the “Rule Amendments”). 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

Exhibit 1 – All CME Equity Index Option Contracts

Contract Title

CME Globex 

and

CME ClearPort 

Code

Rulebook 

Chapter

Current ATM 

Procedure

Amended ATM 

Procedure 

(effective Oct. 3, 

2022)

Quarterly Options on Yen 

Denominated Nikkei Stock 

Average Futures

NKW 352C

Abandon 

Calls/Abandon 

Puts

No change

Serial Options on Yen 

Denominated Nikkei Stock 

Average Futures

NKY 352C

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

American Options on 

Micro E-mini Standard and 

Poor’s 500 Stock Price 

Index Futures

MES 353A

Abandon 

Calls/Abandon 

Puts

No change

Options on Micro E-mini 

Standard and Poor’s 500 

Stock Price Index Futures -

End-of-Month (EuropeanStyle)

EX 353A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Weekly Options on Micro 

E-mini Standard and 

Poor’s 500 Stock Price 

Index Futures - Weeks 1-4 

(European-Style)

EX1-EX4 353A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

American Options on Emini Standard and Poor's 

500 Stock Price Index 

Futures

ES 358A

Abandon 

Calls/Abandon 

Puts

No change

Monday Weekly Options 

on E-mini Standard and 

Poor's 500 Stock Price 

Index Futures - Weeks 1-5 

(European-Style)

E1A-E5A 358A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Tuesday Weekly Options 

on E-mini Standard and 

Poor's 500 Stock Price 

Index Futures - Week 1 

(European-Style)

E1B-E5B 358A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Wednesday Weekly 

Options on E-mini 

Standard and Poor's 500 

Stock Price Index Futures -

Week 1 (European-Style)

E1C-E5C 358A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Thursday Weekly Options 

on E-mini Standard and 

Poor's 500 Stock Price 

Index Futures - Week 1 

(European-Style)

E1D-E5D 358A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Options on E-mini 

Standard and Poor's 500 

Stock Price Index Futures -

End-of-Month (EuropeanStyle)

EW 358A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

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

3

Weekly Options on E-mini 

Standard and Poor's 500 

Stock Price Index Futures -

Weeks 1-4 (EuropeanStyle)

EW1-EW4 358A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Options on E-mini 

Standard and Poor's 500 

Stock Price Index Futures -

Quarterly PM (EuropeanStyle)

EYC 358A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Standard Options on Emini Nasdaq 100 Index 

Futures

NQ 359A

Abandon 

Calls/Abandon 

Puts

No change

Monday Weekly Options 

on E-mini Nasdaq-100 

Index Futures - Weeks 1-5 

(European-Style)

Q1A-Q5A 359A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Wednesday Weekly 

Options on E-mini Nasdaq100 Index Futures - Weeks 

1-5 (European-Style)

Q1C-Q5C 359A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Weekly Options on E-mini 

Nasdaq-100 Index Futures 

- Weeks 1-4 (EuropeanStyle)

QN1-QN4 359A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Options on E-mini Nasdaq100 Index Futures - End-ofMonth (European-Style)

QNE 359A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

American Options on 

Micro E-mini Nasdaq-100 

Index Futures

MNQ 361A

Abandon 

Calls/Abandon 

Puts

No change

Weekly Options on Micro 

E-mini Nasdaq-100 Index 

Futures - Weeks 1-4 

(European-Style)

MQ1-MQ4 361A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Options on Micro E-mini 

Nasdaq-100 Index Futures 

- End-of-Month (EuropeanStyle)

MQE 361A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Options on E-mini 

Standard & Poor's MidCap 

400 Stock Price Index 

Futures

EMD/ME 362A

Abandon 

Calls/Abandon 

Puts

No change

European Style E-mini® 

S&P400 Weekly Options ME3 362A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Options on E-mini S&P 

SmallCap 600 Stock Price 

Index Futures

SMC 368A

Abandon 

Calls/Abandon 

Puts

No change

American Options on Emini Russell 2000 Index 

Futures

RTO 393A

Abandon 

Calls/Abandon 

Puts

No change
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

4

Monday Weekly Options 

on E-mini® Russell 2000® 

Index Futures - Weeks 1-5 

(European-Style)

R1A-R5A 393A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Wednesday Weekly 

Options on E-mini® 

Russell 2000® Index 

Futures - Weeks 1-5 

(European-Style)

R1C-R5C 393A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Weekly Options on Emini® Russell 2000® Index 

Futures - Weeks 1-4

R1E-R4E 393A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Options on E-mini® 

Russell 2000® Index 

Futures - End-of-Month

RTM 393A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

Exhibit 2 - All CBOT Equity Index Option Contracts

Contract Title

CME Globex 

and

CME ClearPort 

Code

Rulebook 

Chapter

Current ATM 

Procedure

Amended ATM 

Procedure 

(effective Oct. 3, 

2022)

Standard Options on CBOT 

E-mini Dow Jones Industrial 

Average Index Futures ($5 

Multiplier)

OYM/YM 27A

Abandon 

Calls/Abandon 

Puts

No change

CBOT E-mini Dow Jones

Industrial Average Index ($5 

Multiplier) End-of-Month 

Option

EYM 27A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

CBOT E-mini Dow Jones

Industrial Average Index ($5 

Multiplier) Weekly Option -

Weeks 1-4

YM1-YM4 27A

Abandon 

Calls/Abandon 

Puts

Exercise

Calls/Abandon 

Puts

The Rule Amendments effective on August 22, 2022 are being implemented to scale strike levels 

appropriate to the maturity of varying option expiries, and to allow strike price generation or exercise 

instructions to be located in one place rather than across multiple CME and CBOT Rulebook product 

chapters. 

The Rule Amendments effective on October 3, 2022 are intended to eliminate hedge risk for option exercise 

when the fixing price for determining exercise and assignment is exactly equal to the strike price. The 

procedure for option exercise when the fixing price for determining exercise and assignment is exactly equal 

to the strike price of the option will change from Abandon Calls/Abandon Puts to Exercise Calls/Abandon 

Puts. Therefore, upon the effective date of October 3, 2022, Calls will now be exercised and Puts will still 

be abandoned for all listed European-style equity index options.

Appendix A below provides amendments to the CME and CBOT Rulebook Chapters effective August 22, 

2022 with additions underscored and deletions struck through. Appendix B below provides amendments 

to the CME and CBOT Rulebook Chapters effective October 3, 2022 with additions underscored and 

deletions struck through. For purposes of context, Appendix C (under separate cover) provides the Table 

pursuant to the existing strike price listing rules. Appendix D (under separate cover) provides the Table 

effective August 22, 2022 with amended strike price listing rules. Appendix E (under separate cover) 

provides the Table effective October 3, 2022 in blackline format.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

5

The Exchanges 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: 

Availability of General Information: The Exchanges will release a Special Executive Report 

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

Daily Publication of Trading Information: The Exchanges will continue to publish contract trading 

volumes, open interest levels, and price information daily on its website and through quote vendors 

for the Contracts.

Prevention of Market Disruption: Trading in the Contracts will continue to be subject to the rules 

of the Exchanges, which include prohibitions on manipulation, price distortion, and disruption to the 

cash settlement process. 

Compliance with Rules: The Exchanges will continue its normal practice to establish, monitor, 

and enforce compliance with the rules of the Contracts, including the expansion of the listing 

schedule of the Contracts. 

Pursuant to Section 5c(c) of the Act and Regulation 40.6(a), the Exchanges certify that the Rule 

Amendments comply with the Act, including all regulations thereunder. There were no substantive 

opposing views to this proposal.

The Exchanges certify that this submission has been concurrently posted on the Exchanges’ website at 

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

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

or CMEGSubmissionInquiry@cmegroup.com. 

 

Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachments: Appendix A CME Rulebook Chapters 352C, 353A, 358A, 359A, 361A, 362A, 368A 

and 393A and CBOT Rulebook Chapter 27A (effective August 22, 2022) 

(blackline format)

Appendix B CME Rulebook Chapters 352C, 353A, 358A, 359A, 361A, 362A, and 

393A and CBOT Rulebook Chapter 27A (effective October 3, 2022) 

(blackline format)

Appendix C Strike Price Listing and Exercise Procedure Table (current) (attached 

under separate cover) 

Appendix D Strike Price Listing and Exercise Procedure Table (effective August 22, 

2022) (attached under separate cover) 

Appendix E Strike Price Listing and Exercise Procedure Table (effective October 3, 

2022) (attached under separate cover) (blackline format)
6

Appendix A

(additions underscored; deletions struck through)

[Effective August 22, 2022]

CME Rulebook

Chapter 352C

Options on Yen Denominated Nikkei Stock Average Futures

***

352C01. OPTIONS CHARACTERISTICS

***

352C01.E. Exercise and Exercise Prices

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table. 

1. Options in the March Quarterly Cycle 

The exercise prices shall be stated in terms of the Yen Denominated Nikkei Stock Average futures 

contract.

At the commencement of trading, the Exchange shall list all exercise prices in a range of 40 percent of 

the referencing index above and below the previous day’s settlement price of the underlying futures 

contract that are integers divisible by 50 without remainder, e.g. 14,050, 14,100, 14,150, 14,200 etc.

Thereafter, when a daily settlement price in the underlying futures contract occurs at, or passes through, 

any exercise price, the Exchange shall list, on the next Trading Day, all eligible exercise prices in the 

corresponding ranges.

2. Options not in the March Quarterly Cycle

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the 

exercise prices that are listed for the March quarterly options on the same underlying futures contract. 

For example, the exercise prices listed for the January contract shall be identical to those listed for the 

March contract.

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

appropriate.

[End of Rule.]

Chapter 353A

Options on Micro E-mini Standard and Poor’s 500 Stock Price IndexTM Futures

***

353A01. OPTIONS CHARACTERISTICS 

***

353A01.E. Exercise and Exercise Prices 

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table. 

On any Business Day, the Exchange shall ensure that all Quarterly (Rule 353A01.D.1), European Style 

End of Month (Rule 353A01.D.2) and European Style Weekly (Rule 353A01.D.3) put and call options that 

are exercisable into a given Underlying Futures Contract are listed for trading at all eligible exercise prices 

as follows:

100 Point Exercise Prices

All exercise price levels that are integer multiples of 100 Index points (e.g., 2300, 2400, 2500) 

and that lie within a range from 50 percent below to 30 percent above the daily settlement price 
7

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., 2400, 2450, 2500) 

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. 

10 Point Exercise Prices

All exercise price levels that are integer multiples of 10 Index points (e.g., 2480, 2490, 2500) 

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. 

5 Point Exercise Prices

As of the Business Day on which such put and call options have 35 or fewer calendar days until 

expiration, and on any Business Day thereafter until the expiration of such options, all exercise 

price levels that are integer multiples of 5 Index points (e.g., 2490, 2495, 2500) and that lie within 

a range from 15 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.

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

appropriate.

[End of Rule.]

Chapter 358A

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

***

358A01. OPTIONS CHARACTERISTICS

***

358A01.E. Exercise Prices

Transactions and exercise of options shall be conducted for options contracts as set forth in the 

Strike Price Listing and Exercise Procedures Table.

1. Regularly-Listed Exercise Prices

On any Business Day, and subject to Rule 358A01.A., the Exchange shall ensure that all Quarterly

(Rule 358A01.D.1), European Style Weekly (Rule 358A01.D.2), European Style Monday Weekly (Rule 

358A01.D.3), European Style Tuesday Weekly (Rule 358A01.D.4), European Style Wednesday 

Weekly (Rule 3588A01.D.5), European Style Thursday Weekly (Rule 358A01.D.6), and European 

Style End-of- Month (Rule 358A01.D.7) put and call options that are exercisable into a given Underlying 

Futures Contract are listed for trading at all eligible exercise prices as follows:

100 Point Exercise Prices

All exercise price levels that are integer multiples of 100 Index points (e.g., 2300, 2400,

2500) 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.

50 Point Exercise Prices

All exercise price levels that are integer multiples of 50 Index points (e.g., 2400, 2450,

2500) 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.

10 Point Exercise Prices

All exercise price levels that are integer multiples of 10 Index points (e.g., 2480, 2490,

2500) 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.

5 Point Exercise Prices
8

All exercise price levels that are integer multiples of 5 Index points (e.g., 2490, 2495,

2500) and that lie within a range from 15 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, a Quarterly (Rule 358A01.D.1.), European Style 

Weekly (Rule 358A01.D.2.), European Style Monday Weekly (Rule 358A01.D.3.), European Style 

Tuesday Weekly (Rule 358A01.D.4.), Wednesday Weekly (Rule 358A01.D.5.), Thursday Weekly (Rule 

358A01.D.6.), or European Style End-of-Month (Rule 358A01.D.7.) 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 5 Index points.

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

appropriate.

3. European Style Quarterly PM Options Exercise Prices

On any Business Day, the Exchange shall ensure that all European Style Quarterly PM (Rule 

3538A01.D.8.) put and call options that are exercisable into a given Underlying Futures Contract are 

listed for trading with the following exercise prices: 100, 200, 1100, 2100, 2200, 3100, 4100, 4200, 

5100, 6100, 7100 and 8100. At the discretion of the Exchange, additional exercise prices may be listed 

with an integer multiple of 100 Index points.

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

appropriate.

[End of Rule.]

Chapter 359A

Options on E-mini Nasdaq-100 Index® Futures

***

359A01. OPTIONS CHARACTERISTICS

***

359A01.E. Exercise Prices

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table.

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. 
9

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.

[End of Rule.]

Chapter 361A

Options on Micro E-mini Nasdaq-100 Index® Futures 

***

361A01. OPTIONS CHARACTERISTICS

***

361A01.E. Exercise Prices

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table.

Regularly-Listed Exercise Prices 

On any Business Day, and subject to Rule 361A01.A., the Exchange shall ensure that all Quarterly (Rule 

361A01.D.1.), European Style End-of-Month (Rule 361A01.D.2.), and European Style Weekly (Rule 

361A01.D.3.) 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.

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

appropriate.

[End of Rule.]

Chapter 362A
10

Options on E-mini Standard & Poor’s MidCap 400®

Stock Price Index Futures

***

362A01. OPTIONS CHARACTERISTICS

***

362A01.E. Exercise Prices

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table.

In each month in the March quarterly cycle (Rule 362A01.D.1.) the Exchange shall determine an Exercise 

Price Reference on the Business Day first preceding the day on which the final settlement price of futures 

for delivery in such month (Rule 36203.A.) is scheduled to be determined. Such Exercise Price Reference 

shall be set equal to the daily settlement price of such futures, rounded down to the nearest Index point.

The Exchange shall use such Exercise Price Reference to determine listing ranges for option exercise 

prices on all Business Days following its determination, until and including the next Business Day on 

which the Exchange determines a successor Exercise Price Reference in accordance with this Rule.

1. Quarterly Options 

On any Business Day, the Exchange shall ensure that Quarterly put and call options are listed for trading 

at all eligible exercise prices, as follows: 

5 Point Exercise Prices

For Quarterly options exercisable into a given Underlying Futures Contract (Rule 362A01.D.1.), the 

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

that are integer multiples of 5 Index points (e.g., 600, 605, 610) and that lie within a range from 20 

Index points below to 20 Index points above the preceding Business Day’s daily settlement price for 

such Underlying Futures.

2.5 Point Exercise Prices

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

futures contract second-nearest to delivery in the March quarterly cycle (Rule 362A01.D.1.), the 

Exchange also shall ensure that Quarterly put and call options exercisable into such Underlying 

Futures Contract are listed for trading at all exercise price levels that are integer multiples of 2.5 

Index points (e.g., 600.0, 602.5, 605.0) and that lie within a range from 15 Index points below to 15 

Index points above the preceding Business Day’s daily settlement price for such Underlying Futures.

2. European Style Weekly Options

On any given Business Day, European Style Weekly put and call options (Rule 362A01.D.2.) exercisable 

into a given Underlying Futures Contract shall be listed for trading at all exercise price levels at which 

Quarterly options exercisable into such Underlying Futures Contract are concurrently listed for trading 

(Rule 362A01.E.1.). 

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

in such options.

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

appropriate.

[End of Rule.]

Chapter 368A

Options on E-mini Standard & Poor’s

SmallCap 600 Stock Price Index Futures

***

368A01. OPTIONS CHARACTERISTICS

***

368A01.E. Exercise Prices 

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 
11

Price Listing and Exercise Procedures Table.

1. Quarterly Options 

On any Business Day, the Exchange shall ensure that Quarterly put and call options are listed for trading 

at all eligible exercise prices, as follows: 

5 Point Exercise Prices

For Quarterly options exercisable into a given Underlying Futures Contract (Rule 368A01.D.1.), the 

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

are integer multiples of 5 Index points (e.g., 155, 160, 165) and that lie within a range from 50 Index points 

below to 50 Index points above the preceding Business Day’s daily settlement price for such Underlying 

Futures.

2.5 Point Exercise Prices

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

contract second-nearest to delivery in the March quarterly cycle (Rule 368A01.D.1.), the Exchange also 

shall ensure that Quarterly put and call options exercisable into such Underlying Futures Contract are 

listed for trading at all exercise price levels that are integer multiples of 2.5 Index points (e.g., 155.0, 

157.5, 160.0) and that lie within a range from in a range from 15 Index points below to 15 Index points 

above the preceding Business Day’s daily settlement price for such Underlying Futures.

2. Serial Options

Exercise prices for options not in the March quarterly cycle listed for trading shall be identical to the 

exercise prices that are listed for the March quarterly options on the same underlying futures contract. 

For example, the exercise prices listed for the January contract shall be identical to those listed for the 

March contract. 

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

in such options.

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

appropriate.

[End of Rule.]
12

Chapter 393A

Options on E-mini® Russell 2000® Index Futures

***

393A01. OPTIONS CHARACTERISTICS 

***

393A01.E. Exercise Prices 

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table.

1. Regularly-Listed Exercise Prices 

On any Business Day, and subject to Rule 393A01.A., the Exchange shall ensure that all Quarterly (Rule 

393A01.D.1.), European Style Weekly (Rule 393A01.D.2.), European Style Wednesday Weekly (Rule 

393A01.D.3.), European Style Monday Weekly (Rule 393A01.D.4.), and European Style End-of-Month 

(Rule 358A01.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:

50 Point Exercise Prices

All exercise price levels that are integer multiples of 50 Index points (e.g., 2300, 

2400, 2500) 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

All exercise price levels that are integer multiples of 10 Index points (e.g., 2480, 

2490, 2500) 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. 

5 Point Exercise Prices

All exercise price levels that are integer multiples of 5 Index points (e.g., 2490, 

2495, 2500) and that lie within a range from 15 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 5 Index points.

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

appropriate.

[End of Rule.]
13

CBOT Rulebook

Chapter 27A

CBOT® E-mini Dow Jones Industrial AverageSM Index1

($5 Multiplier) Futures Options

***

27A01. OPTIONS CHARACTERISTICS

***

27A01.E. Exercise Prices

Transactions and exercise of options shall be conducted for options contracts as set forth in the Strike 

Price Listing and Exercise Procedures Table.

In each month in the March quarterly cycle (Rule 27A01.D.1.) the Exchange shall determine an Exercise 

Price Reference on the Business Day first preceding the day on which the final settlement price of futures 

for delivery in such month (Rule 27105.) is scheduled to be determined. Such Exercise Price Reference 

shall be set equal to the daily settlement price of such futures, rounded down to the nearest Index point.

The Exchange shall use such Exercise Price Reference to determine listing ranges for option exercise 

prices on all Business Days following its determination, until and including the next Business Day on 

which the Exchange determines a successor Exercise Price Reference in accordance with this Rule.

1. Quarterly Options

On any Business Day, the Exchange shall ensure that Quarterly put and call options are listed for trading 

at all eligible exercise prices, as follows: 

500 Point Exercise Prices

On any Business Day, the Exchange shall ensure that Quarterly put and call options (Rule 

27A01.D.1.) exercisable into a given Underlying Futures Contract are listed for trading at all exercise 

price levels that are integer multiples of 500 Index points (e.g., 10,000, 10,500, 11,000) and that lie 

within a range from 50 percent of the Exercise Price Reference below, to 50 percent of the Exercise 

Price Reference above, the preceding Business Day’s daily settlement price for such Underlying 

Futures Contract.

100 Point Exercise Prices

On any Business Day, the Exchange also shall ensure that Quarterly put and call options (Rule 

27A01.D.1.) exercisable into a given Underlying Futures Contract are listed for trading at all exercise 

price levels that are integer multiples of 100 Index points (e.g., 12,300, 12,400, 12,500) and that lie 

within a range from 20 percent of the Exercise Price Reference below, to 20 percent of the Exercise 

Price Reference above, the preceding Business Day’s daily settlement price for such Underlying 

Futures Contract.

50 Point Exercise Prices

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

futures contract second-nearest to delivery in the March quarterly cycle (Rule 27A01.D.1.), the 

Exchange also shall ensure that Quarterly put and call options exercisable into such Underlying 

Futures Contract are listed for trading at all exercise price levels that are integer multiples of 50 Index 

points (e.g. 13,000, 13,050, 13,100) and that lie within a range from 10 percent of the Exercise Price 

Reference below, to 10 percent of the Exercise Price Reference above, the preceding Business Day’s 

daily settlement price for such Underlying Futures Contract.

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

in such options.

2. All Options Excluding Quarterly Options

On any Business Day, options that are not Quarterly options (Rules 27A01.D.), and that are exercisable 

into a given Underlying Futures Contract, shall be listed for trading at all exercise price levels at which 

Quarterly options exercisable into such Underlying Futures Contract are concurrently listed for trading 

(Rule 27A01.E.1.).

The Exchange may modify the provisions governing the establishment of exercise prices as it deems 
14

appropriate.

[End of Rule.]

Appendix B

(additions underscored; deletions struck through)

[Effective October 3, 2022]

CME Rulebook

Chapter 352C

Options on Yen Denominated Nikkei Stock Average Futures

***

352C02. EXERCISE AND ASSIGNMENT

***

358C02.A.2 European Style Options not in the March Quarterly Cycle

Following the termination of trading of an option, all in-the-money options shall be automatically exercised 

by the Clearing House on the day of expiration for the option. All out-of-the-money options shall be 

abandoned by the Clearing House on the day of expiration for the option. Whether an option is in or out 

of the money shall be determined based on the Fixing Price of the CME Yen Denominated Stock Average 

futures on the day of expiration as follows: 

Tier 1 The Fixing Price shall be equal to the volume-weighted average price of the Nikkei 225 mini 

Futures trades executed on the Osaka Securities Exchange (“OSE”) from 2:59:30 to 3:00:00 p.m. Osaka, 

Japan time.

Tier 2 If no transactions occur from 2:59:30 to 3:00:00 p.m., Osaka, Japan time, the Fixing Price shall 

be the average of the midpoints of each bid/ask spread in the OSE Nikkei 225 mini Futures contract 

during that thirty (30) second interval; however, bid/ask spread pairs wider than three (3) ticks (30 index 

points), shall not be included in the calculation to determine the Fixing Price. 

Tier 3 If the Fixing Price cannot be determined pursuant to Tiers 1 and 2 above, designated Exchange 

staff shall calculate a Fixing Price based on the volume-weighted average price of the CME Yen 

Denominated Nikkei Stock Average Futures based on trades executed on the CME from 2:59:30 to 

3:00:00 p.m. Osaka, Japan time.

Tier4 If the Fixing Price cannot be determined pursuant to Tiers 1, 2 and 3 above, designated 

Exchange staff shall consider any other information deemed relevant to determine the Fixing Price. 

Alternatives upon which Exchange staff may determine the Fixing Price include, but are not limited to, the 

following: (1) deriving the Fixing Price based on the basis relationship to the underlying cash index level; 

or (2) deriving the Fixing Price by repeating Tier 1, Tier 2 or Tier 3 calculations at increasing thirty (30) 

second increment intervals until data is obtained.

The calculation of the Fixing Price shall be rounded to the nearest 0.01 index points.

In the event of an option expiring on a shortened Trading Day, the Fixing Price calculation shall be 

performed based on the market activities during the thirty-second period immediately preceding the close 

of the underlying stock market. 

An option is deemed in the money if the Fixing Price of the underlying futures contract lies strictly at or 

above the exercise price in the case of a call, or lies strictly below the exercise price in the case of a 

put. For example, if the Fixing Price were 12,500.01 or higher, then 12,500 Calls shall be exercised. If 

the Fixing Price were strictly lower than 12,500.00 or lower, then 12,500 Calls shall be 

abandoned. Similarly, if the Fixing Price were 12,499.99 orstrictly lower than 12,500, then 12,500 Puts 

shall be exercised. If the Fixing Price were 12,500.00 or higher, then 12,500 Puts shall be abandoned.

European Style Options not in the March Quarterly Cycle may not be exercised prior to the expiration of 

the options. At the expiration, in-the-money options may not be abandoned and out-of-the-money options 

may not be exercised.
15

[End of Rule.]

Chapter 353A

Options on Micro E-mini Standard and Poor’s 500 Stock Price IndexTM Futures

***

353A02. EXERCISE AND ASSIGNMENT 

***

1. European Style Weekly Options and European Style End of Month Options

Any European style End of Month option (Rule 353A01.D.2.) or European style Weekly option (Rule 

353A01.D.3.) may be exercised only at, and not before, the expiration of such option. 

Following termination of trading in expiring options, any such option that is in the money shall be 

automatically exercised by the Clearing House, and any such option that is out of the money shall be 

abandoned by the Clearing House. For the avoidance of doubt, no such option that expires in the money 

may be abandoned, and no such option that expires out of the money may be exercised.

Whether an option expires in the money or out of the money shall be determined by the Exchange, in its 

sole discretion, by reference to the Fixing Price of such option’s Underlying Futures Contract (Rule 

353A01.D.). The Exchange, in its sole discretion, shall set such Fixing Price on the last day of trading in 

such option equal to the Fixing Price of the E-mini S&P 500 Index futures pursuant to Rule 358A02.A as 

rounded to the nearest integer multiple of 0.01 Index points.

An expiring call option shall be in the money if the corresponding Fixing Price is strictly at or above such 

option’s exercise price and shall be out of the money if the corresponding Fixing Price is at orstrictly below 

such option’s exercise price.

An expiring put option shall be in the money if the corresponding Fixing Price is strictly below such option’s 

exercise price and shall be out of the money if the corresponding Fixing Price is at or above such option’s 

exercise price.

[End of Rule.]

Chapter 358A

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

***

358A02. EXERCISE AND ASSIGNMENT

***

1. All Options Excluding Quarterly Options

Any European Style Weekly (Rule 358A01.D.2.), European Style Monday Weekly (Rule 

358A01.D.3.), European Style Tuesday Weekly (Rule 358A01.D.4.), Wednesday Weekly (Rule 

358A01.D.5.), Thursday Weekly (Rule 358A01.D.6.), European Style End-of-Month (Rule 

358A01.D.7.), or European Style Quarterly PM (Rule 3538A01.D.8.) option may be exercised only at, 

and not before, the expiration of such option. Following termination of trading in expiring options, any 

such option that is in the money shall be automatically exercised by the Clearing House, and any such 

option that is out of the money shall be abandoned by the Clearing House. For the avoidance of doubt, 

no such option that expires in the money may be abandoned, and no such option that expires out of

the money may be exercised.

Whether an option expires in the money or out of the money shall be determined by the Exchange, in 

itssole discretion, by reference to the Fixing Price of such option’s Underlying Futures Contract (Rule

358A01.D.). The Exchange, in its sole discretion, shall set such Fixing Price on the last day of trading

in such option, as follows:

Tier 1
16

Such Fixing Price shall be based on the volume-weighted average price of transactions in such futures

on the CME Globex electronic trading platform during the interval (i) between 2:59:30 p.m. and 3:00:00

p.m., or (ii) in the case of an early scheduled close of the Primary Listing Exchange, between 11:59:30

a.m. and noon, or (iii) in the event of an unscheduled early close of the Primary Listing Exchange, the

final thirty (30) seconds of the Primary Listing Exchange trading day (“Reference Interval”).

Tier 2

If no such transaction occurs during the Reference Interval, then such Fixing Price shall be based

onthe average of midpoints of bid/ask spreads for such futures quoted on CME Globex during the

Reference Interval, provided that the Fixing Price calculation shall exclude the midpoint value for any

such bid/ask spread that is wider than 0.50 Index points (equal to two (2) minimum price increments).

Tier 3

If such Fixing Price cannot be determined pursuant to Tier 1 or Tier 2, then the Exchange, in its sole 

discretion, shall set such Fixing Price by alternative means which may include, but are not limited to, 

derivation by reference to the basis relationship between such futures contract’s price and the Index,

or application of Tier 1 or Tier 2, calculations to successive time intervals of increasing length, in integer

multiples of thirty (30) seconds, until suitable price data are obtained.

The resultant Fixing Price value shall be rounded to the nearest integer multiple of 0.01 Index points.

Such Fixing Price, so rounded, shall be used to determine whether an option expires in the money or

out of the money.

If, at the time such Fixing Price is scheduled to be calculated in respect of expiring options, the Primary

Listing Exchange (Rule 358A00.A.) is subject to a Regulatory Halt (Rule 358A00.B.), and the Primary

Futures Contract Month is limit offered at the maximum price limit permissible during such Regulatory

Halt pursuant to Rule 35802.I., then (a) such option shall expire at 8:31 a.m. on the next following

Business Day on which a Regulatory Halt is not in effect, and (b) the Fixing Price in respect of such

option shall be calculated in accordance with the corresponding provisions of this Rule, on the basis

ofa reference interval beginning at 8:30:30 a.m. and concluding at 8:31:00 a.m. If, during any portion 

of the 30-second period from 8:30:30 a.m. – 8:31:00 a.m. CT, there is a Level 1 or Level 2 Regulatory 

Haltin effect, the Fixing Price shall be calculated using trades consummated during the 30-second 

period commencing with the lifting of such Regulatory Halt. If a subsequent Regulatory Halt is declared 

during this 30-second period, the calculation of the Fixing Price shall be based strictly on those trades

consummated prior to such subsequent Regulatory Halt.

For the avoidance of doubt, in the event there is a Level 1 or Level 2 Regulatory Halt during the time 

period of 8:30:30 – 8:31:00 am CT, no trades during that time period (8:30:30 – 8:31:00 am CT) will be 

used in the calculation of the Fixing Price. 

In the case that the underlying futures contract for a given European style option expires without any 

trading activity that would permit the calculation of the Fixing Price, then such Fixing Price will be equal 

to the Final Settlement Price of such option’s Underlying Futures Contract (Rule 358A01.D.) (For 

example, if there exists such a Regulatory Halt (Rule 358A00.B.) on the Thursday prior to the 3rd Friday 

in the March quarterly cycle, there may be no trading activity in the expiring futures upon which to 

predicate the Fixing Price).

An expiring call option shall be in the money if the corresponding Fixing Price is strictly at or above 

such option’s exercise price, and shall be out of the money if the corresponding Fixing Price is at or 

strictly below such option’s exercise price.

An expiring put option shall be in the money if the corresponding Fixing Price is strictly below such

option’s exercise price, and shall be out of the money if the corresponding Fixing Price is at or above

such option’s exercise price.

[End of Rule.]

Chapter 359A

Options on E-mini Nasdaq-100 Index® Futures

***

359A02. EXERCISE AND ASSIGNMENT

***

2. European Style Weekly Options, European Style Wednesday Weekly Options, European Style 

Monday Weekly Options and European Style End-of-Month Options

Any European style Weekly option (Rule 359A01.D.2.) or a European style Wednesday Weekly option 

(Rule 359A01.D.3.) of a European style Monday Weekly option (Rule 359A01.D.4.) or European style 
17

End-of-Month option (Rule 359A01.D.5.) may be exercised only at, and not before, expiration of such 

option.

Following termination of trading in expiring options, any such option that is in the money shall be 

automatically exercised by the Clearing House, and any such option that is out of the money shall be 

abandoned by the Clearing House. For the avoidance of doubt, no such option that expires in the money 

may be abandoned, and no such option that expires out of the money may be exercised.

Whether an option expires in the money or out of the money shall be determined by the Exchange, in its 

sole discretion, by reference to the Fixing Price of such option’s Underlying Futures Contract (Rule 

359A01.D.). The Exchange, in its sole discretion, shall set such Fixing Price on the last day of trading in 

such option, as follows:

Tier 1

Such Fixing Price shall be based on the volume-weighted average price of transactions in such 

futures on the CME Globex electronic trading platform during the interval (i) between 2:59:30 

p.m. and 3:00:00 p.m., or (ii) in the case of an early scheduled close of the Primary Listing 

Exchange, between 11:59:30 a.m. and noon, or (iii) in the event of an unscheduled early close 

of the Primary Listing Exchange, the final thirty (30) seconds of the Primary Listing Exchange 

trading day (“Reference Interval”).

Tier 2

If no such transaction occurs during the Reference Interval, then such Fixing Price shall be based 

on the average of midpoints of bid/ask spreads for such futures quoted on CME Globex during 

the Reference Interval, provided that the Fixing Price calculation shall exclude the midpoint value 

for any such bid/ask spread that is wider than 0.50 Index points (equal to two (2) minimum price 

increments).

Tier 3

If such Fixing Price cannot be determined pursuant to Tier 1 or Tier 2, then the Exchange, in its 

sole discretion, shall set such Fixing Price by alternative means which may include, but are not 

limited to, derivation by reference to the basis relationship between such futures contract’s price 

and the Index, or application of Tier 1 and Tier 2 calculations to successive time intervals of 

increasing length, in integer multiples of thirty (30) seconds, until suitable price data are obtained.

The resultant Fixing Price value shall be rounded to the nearest integer multiple of 0.01 Index points. 

Such Fixing Price, so rounded, shall be used to determine whether an option expires in the money or out 

of the money.

If, at the time such Fixing Price is scheduled to be calculated in respect of expiring options, the Primary 

Listing Exchange (Rule 359A00.A.) is subject to a Regulatory Halt (Rule 359A00.B.), and the Primary 

Futures Contract Month is limit offered at the maximum price limit permissible during such Regulatory 

Halt pursuant to Rule 35902.I., then (a) such option shall expire at 8:31 a.m. on the next following 

Business Day on which a Regulatory Halt is not in effect, and (b) the Fixing Price in respect of such option 

shall be calculated in accordance with the corresponding provisions of this Rule, on the basis of a 

reference interval beginning at 8:30:30 a.m. and concluding at 8:31:00 a.m. . If, during any portion of the 

30-second period from 8:30:30 a.m. – 8:31:00 a.m. CT, there is a Level 1 or Level 2 Regulatory Halt in 

effect, the Fixing Price shall be calculated using trades consummated during the 30-second period 

commencing with the lifting of such Regulatory Halt. If a subsequent Regulatory Halt is declared during 

this 30-second period, the calculation of the Fixing Price shall be based strictly on those trades 

consummated prior to such subsequent Regulatory Halt.

For the avoidance of doubt, in the event there is a Level 1 or Level 2 Regulatory Halt during the time 

period of 8:30:30 – 8:31:00 am CT, no trades during that time period (8:30:30 – 8:31:00 am CT) will be 

used in the calculation of the Fixing Price.

An expiring call option shall be in the money if the corresponding Fixing Price is strictly at or above such 

option’s exercise price, and shall be out of the money if the corresponding Fixing Price is at orstrictly

below such option’s exercise price.

An expiring put option shall be in the money if the corresponding Fixing Price is strictly below such 

option’s exercise price, and shall be out of the money if the corresponding Fixing Price is at or above such 

option’s exercise price.
18

[End of Rule.]

Chapter 361A

Options on Micro E-mini Nasdaq-100 Index® Futures 

***

361A02. EXERCISE AND ASSIGNMENT

***

2. European Style Weekly Options and European Style End of Month Options

Any European style End of Month option (Rule 361A01.D.2.) or European style Weekly option (Rule 

361A01.D.3.) or may be exercised only at, and not before, expiration of such option.

Following termination of trading in expiring options, any such option that is in the money shall be 

automatically exercised by the Clearing House, and any such option that is out of the money shall be 

abandoned by the Clearing House. For the avoidance of doubt, no such option that expires in the money 

may be abandoned, and no such option that expires out of the money may be exercised.

Whether an option expires in the money or out of the money shall be determined by the Exchange, in its 

sole discretion, by reference to the Fixing Price of such option’s Underlying Futures Contract (Rule 

361A01.D.). The Exchange, in its sole discretion, shall set such Fixing Price on the last day of trading in 

such option equal to the Fixing Price of the E-mini Nasdaq-100 Index futures pursuant to Rule 359A02.A 

as rounded to the nearest integer multiple of 0.01 Index points.

An expiring call option shall be in the money if the corresponding Fixing Price is strictly at or above such 

option’s exercise price and shall be out of the money if the corresponding Fixing Price is at orstrictly below 

such option’s exercise price.

An expiring put option shall be in the money if the corresponding Fixing Price is strictly below such option’s 

exercise price and shall be out of the money if the corresponding Fixing Price is at or above such option’s 

exercise price.

[End of Rule.]
19

Chapter 362A

Options on E-mini Standard & Poor’s MidCap 400®

Stock Price Index Futures

***

362A02. EXERCISE AND ASSIGNMENT

***

2. European Style Weekly Options

Any European Style Weekly option (Rule 362A01.D.2.) may be exercised only at, and not before, 

expiration of such option. 

Following termination of trading in expiring options, any such option that is in the money shall be 

automatically exercised by the Clearing House, and any such option that is out of the money shall be 

abandoned by the Clearing House. For the avoidance of doubt, no such option that expires in the money 

may be abandoned, and no such option that expires out of the money may be exercised. 

Whether an option expires in the money or out of the money shall be determined by the Exchange, in its 

sole discretion, by reference to the Fixing Price of such option’s Underlying Futures Contract (Rule 

362A01.D.). The Exchange, in its sole discretion, shall set such Fixing Price on the last day of trading in 

such option, as follows: 

Tier 1 

Such Fixing Price shall be based on the volume-weighted average price of transactions in such 

futures on the CME Globex electronic trading platform during the interval (i) between 2:59:30 p.m. 

and 3:00:00 p.m., or (ii) in the case of an early scheduled close of the Primary Listing Exchange, 

between 11:59:30 a.m. and noon, or (iii) in the event of an unscheduled early close of the Primary 

Listing Exchange, the final thirty (30) seconds of the Primary Listing Exchange trading day 

(“Reference Interval”).

Tier 2 

If no such transaction occurs during the Reference Interval, then such Fixing Price shall be based on 

the average of midpoints of bid/ask spreads for such futures quoted on CME Globex during the 

Reference Interval, provided that the Fixing Price calculation shall exclude the midpoint value for any 

such bid/ask spread that is wider than 0.20 Index points (equal to two (2) minimum price increments). 

Tier 3 

If such Fixing Price cannot be determined pursuant to Tier 1 or Tier 2, or if an unscheduled nonregulatory halt in CME Globex trading in such Underlying Futures Contract occurs between 2:58:00 

p.m. and 3:00:00 p.m., then such Fixing Price shall be based on the average transaction price during 

such Reference Interval of the CME Standard and Poor’s 400 Stock Price Index (“S&P 400”) futures 

contract (Chapter 362) for the same delivery month as such option’s Underlying Futures Contract 

(Rule 362A01.D.). 

Tier 4 

If such Fixing Price cannot be determined pursuant to Tier 1, Tier 2, or Tier 3, then the Exchange, in 

its sole discretion, shall set such Fixing Price by alternative means which may include, but are not 

limited to, derivation by reference to the basis relationship between such futures contract’s price and 

the Index, or application of Tier 1, Tier 2, or Tier 3 calculations to successive time intervals of 

increasing length, in integer multiples of thirty (30) seconds, until suitable price data are obtained. 

The resultant Fixing Price value shall be rounded to the nearest integer multiple of 0.01 Index points. 

Such Fixing Price, so rounded, shall be used to determine whether an option expires in the money or out 

of the money. 

If, at the time such Fixing Price is scheduled to be calculated in respect of expiring options, the Primary 

Listing Exchange (Rule 362A00.A.) is subject to a Regulatory Halt (Rule 362A00.B.), and the Primary 

Futures Contract Month is limit offered at the maximum price limit permissible during such Regulatory 

Halt pursuant to Rule 36202.I., then (a) such option shall expire at 8:31 a.m. on the next following 

Business Day on which a Regulatory Halt is not in effect, and (b) the Fixing Price in respect of such option 

shall be calculated in accordance with the corresponding provisions of this Rule, on the basis of a 

reference interval beginning at 8:30:30 a.m. and concluding at 8:31:00 a.m. If, during any portion of the 

30-second period from 8:30:30 a.m. – 8:31:00 a.m. CT, there is a Level 1 or Level 2 Regulatory Halt in 

effect, the Fixing Price shall be calculated using trades consummated during the 30-second period 

commencing with the lifting of such Regulatory Halt. If a subsequent Regulatory Halt is declared during 
20

this 30-second period, the calculation of the Fixing Price shall be based strictly on those trades 

consummated prior to such subsequent Regulatory Halt.

For the avoidance of doubt, in the event there is a Level 1 or Level 2 Regulatory Halt during the time 

period of 8:30:30 – 8:31:00 am CT, no trades during that time period (8:30:30 – 8:31:00 am CT) will be 

used in the calculation of the Fixing Price.

An expiring call option shall be in the money if the corresponding Fixing Price is strictly at or above such 

option’s exercise price, and shall be out of the money if the corresponding Fixing Price is at orstrictly

below such option’s exercise price. 

An expiring put option shall be in the money if the corresponding Fixing Price is strictly below such option’s 

exercise price, and shall be out of the money if the corresponding Fixing Price is at or above such option’s 

exercise price. 

[End of Rule.]

Chapter 393A

Options on E-mini® Russell 2000® Index Futures

***

393A02. EXERCISE AND ASSIGNMENT 

***

2. European Style Weekly Options, European Style Wednesday Weekly Options, European Style 

Monday Weekly Options, and European Style End-of-Month Options 

Any European style Weekly option (Rule 393A01.D.2.) or European style Wednesday Weekly option (Rule 

393A01.D.3.) or European style Monday Weekly option (Rule 393A01.D.4.) or European style End-ofMonth option (Rule 393A01.D.5.) may be exercised only at, and not before, expiration of such option. 

Following termination of trading in expiring options, any such option that is in the money shall be 

automatically exercised by the Clearing House, and any such option that is out of the money shall be 

abandoned by the Clearing House. For the avoidance of doubt, no such option that expires in the money 

may be abandoned, and no such option that expires out of the money may be exercised. 

Whether an option expires in the money or out of the money shall be determined by the Exchange, in its 

sole discretion, by reference to the Fixing Price of such option’s Underlying Futures Contract (Rule 

393A01.D.). The Exchange, in its sole discretion, shall set such Fixing Price on the last day of trading in 

such option, as follows: 

Tier 1 

Such Fixing Price shall be based on the volume-weighted average price of transactions in such Underlying 

Futures Contract on the CME Globex electronic trading platform between 2:59:30 p.m. and 3:00:00 p.m. 

(or between 11:59:30 a.m. and noon in the case of an early scheduled close of the Primary Listing 

Exchange) (“reference interval”). 

Tier 2 

If no such transaction occurs during the reference interval, then such Fixing Price shall be based on the 

average of midpoints of bid/ask spreads for such futures quoted on CME Globex during the reference 

interval, provided that the Fixing Price calculation shall exclude the midpoint value for any such bid/ask 

spread that is wider than 0.20 Index points. 

Tier 3 

If such Fixing Price cannot be determined pursuant to Tier 1 or Tier 2, or if an unscheduled nonregulatory 

halt in CME Globex trading in such Underlying Futures Contract occurs between 2:58:00 p.m. and 3:00:00 

p.m., then such Fixing Price shall be based on the average transaction price during the reference interval 

of the CME E-mini® Russell 2000® Index Futures contract (Chapter 393) for the same delivery month as 

such option’s Underlying Futures Contract (Rule 393A01.D.). 

Tier 4 

If such Fixing Price cannot be determined pursuant to Tier 1, Tier 2, or Tier 3, then the Exchange, in its 

sole discretion, shall set such Fixing Price by alternative means which may include, but are not limited to, 

derivation by reference to the basis relationship between such futures contract’s price and the Index, or 
21

application of Tier 1, Tier 2, or Tier 3 calculations to successive time intervals of increasing length, in 

integer multiples of thirty (30) seconds, until suitable price data are obtained. 

The resultant Fixing Price value shall be rounded to the nearest integer multiple of 0.01 Index points. Such 

Fixing Price, so rounded, shall be used to determine whether an option expires in the money or out of the 

money. 

If, at the time such Fixing Price is scheduled to be calculated in respect of expiring options, the Primary 

Listing Exchange (Rule 393A00.A.) is subject to a Regulatory Halt (Rule 393A00.B.), and the Primary 

Futures Contract Month is limit offered at the maximum price limit permissible during such Regulatory Halt 

pursuant to Rule 39302.I., then (a) such option shall expire at 8:31 a.m. on the next following Business 

Day on which a Regulatory Halt is not in effect, and (b) the Fixing Price in respect of such option shall be 

calculated in accordance with the corresponding provisions of this Rule, on the basis of a reference interval 

beginning at 8:30:30 a.m. and concluding at 8:31:00 a.m. If, during any portion of the 30-second period 

from 8:30:30 a.m. – 8:31:00 a.m. CT, there is a Level 1 or Level 2 Regulatory Halt in effect, the Fixing Price 

shall be calculated using trades consummated during the 30-second period commencing with the lifting of 

such Regulatory Halt. If a subsequent Regulatory Halt is declared during this 30-second period, the 

calculation of the Fixing Price shall be based strictly on those trades consummated prior to such 

subsequent Regulatory Halt.

For the avoidance of doubt, in the event there is a Level 1 or Level 2 Regulatory Halt during the time period 

of 8:30:30 – 8:31:00 am CT, no trades during that time period (8:30:30 – 8:31:00 am CT) will be used in 

the calculation of the Fixing Price.

An expiring call option shall be in the money if the corresponding Fixing Price is strictly at or above such 

option’s exercise price, and shall be out of the money if the corresponding Fixing Price is at orstrictly below 

such option’s exercise price. 

An expiring put option shall be in the money if the corresponding Fixing Price is strictly below such option’s 

exercise price, and shall be out of the money if the corresponding Fixing Price is at or above such option’s 

exercise price. 

[End of Rule.]

CBOT Rulebook

Chapter 27A

CBOT® E-mini Dow Jones Industrial AverageSM Index1

($5 Multiplier) Futures Options

***

27A02. EXERCISE AND ASSIGNMENT

***

2. European Style Weekly Options and European Style End-of-Month Options

Any European style Weekly option (Rule 27A01.D.2.) or European style End-of-Month option (Rule 

27A01.D.3.) may be exercised only at, and not before, expiration of such option.

Following termination of trading in expiring options, any such option that is in the money shall be 

automatically exercised by the Clearing House, and any such option that is out of the money shall be 

abandoned by the Clearing House. For the avoidance of doubt, no such option that expires in the money 

may be abandoned, and no such option that expires out of the money may be exercised.

Whether an option expires in the money or out of the money shall be determined by the Exchange, in its 

sole discretion, by reference to the Fixing Price of such option’s Underlying Futures Contract (Rule 

27A01.D.). The Exchange, in its sole discretion, shall set such Fixing Price on the last day of trading in 

such option, as follows:

Tier 1

Such Fixing Price shall be based on the volume-weighted average price of transactions in such 

futures on the CME Globex electronic trading platform during the interval (i) between 2:59:30 

p.m. and 3:00:00 p.m., or (ii) in the case of an early scheduled close of the Primary Listing 

Exchange, between 11:59:30 a.m. and noon, or (iii) in the event of an unscheduled early close 

of the Primary Listing Exchange, the final thirty (30) seconds of the Primary Listing Exchange 

trading day (“Reference Interval”).
22

Tier 2

If no such transaction occurs during the Reference Interval, then such Fixing Price shall be based 

on the average of midpoints of bid/ask spreads for such futures quoted on CME Globex during 

the Reference Interval, provided that the Fixing Price calculation shall exclude the midpoint value 

for any such bid/ask spread that is wider than 2 Index points (equal to two (2) minimum price 

increments).

Tier 3

If such Fixing Price cannot be determined pursuant to Tier 1 or Tier 2, then the Exchange, in its 

sole discretion, shall set such Fixing Price by alternative means which may include, but are not 

limited to, derivation by reference to the basis relationship between such futures contract’s price 

and the Index, or application of Tier 1 and Tier 2 calculations to successive time intervals of 

increasing length, in integer multiples of thirty (30) seconds, until suitable price data are obtained.

The resultant Fixing Price value shall be rounded to the nearest Index point. Such Fixing Price, so 

rounded, shall be used to determine whether an option expires in the money or out of the money.

If, at the time such Fixing Price is scheduled to be calculated in respect of expiring options, the Primary 

Listing Exchange (Rule 27A00.A.) is subject to a Regulatory Halt (Rule 27A00.B.), and the Primary 

Futures Contract Month is limit offered at the maximum price limit permissible during such Regulatory 

Halt pursuant to Rule 27102.D., then (a) such option shall expire at 8:31 a.m. on the next following 

Business Day on which a Regulatory Halt is not in effect, and (b) the Fixing Price in respect of such option 

shall be calculated in accordance with the corresponding provisions of this Rule, on the basis of a 

reference interval beginning at 8:30:30 a.m. and concluding at 8:31:00 a.m. . If, during any portion of the 

30-second period from 8:30:30 a.m. – 8:31:00 a.m. CT, there is a Level 1 or Level 2 Regulatory Halt in 

effect, the Fixing Price shall be calculated using trades consummated during the 30-second period 

commencing with the lifting of such Regulatory Halt. If a subsequent Regulatory Halt is declared during 

this 30-second period, the calculation of the Fixing Price shall be based strictly on those trades 

consummated prior to such subsequent Regulatory Halt.

For the avoidance of doubt, in the event there is a Level 1 or Level 2 Regulatory Halt during the time 

period of 8:30:30 – 8:31:00 am CT, no trades during that time period (8:30:30 – 8:31:00 am CT) will be 

used in the calculation of the Fixing Price.

An expiring call option shall be in the money if the corresponding Fixing Price is strictly at or above such 

option’s exercise price, and shall be out of the money if the corresponding Fixing Price is at orstrictly

below such option’s exercise price.

An expiring put option shall be in the money if the corresponding Fixing Price is strictly below such option’s 

exercise price, and shall be out of the money if the corresponding Fixing Price is at or above such option’s 

exercise price.

[End of Rule.]
23

Appendix C

Strike Price Listing and Exercise Procedure Table

(current)

(attached under separate cover)

Appendix D

Strike Price Listing and Exercise Procedure Table

(effective August 22, 2022)

(attached under separate cover)

Appendix E

Strike Price Listing and Exercise Procedure Table

(effective October 3, 2022)

(attached under separate cover)