SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-349

Organization: Chicago Mercantile Exchange Inc. ("CME")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 09/26/22 Filing Description: Delisting of all Foreign Exchange 

(FX) Volatility-Quoted Options (VQOs) 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

September 26, 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, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification. Delisting all Foreign Exchange (“FX”) 

Volatility-Quoted Options (“VQOs”) Contracts.

CME Submission No. 22-349

Dear Mr. Kirkpatrick:

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

Commission (“CFTC” or “Commission”) the delisting of all Foreign Exchange (“FX”) Volatility-Quoted 

Options (“VQOs”) Contracts listed in the table below (“the Contracts”) effective immediately. There is no 

open interest in the Contracts.

Contract Title

Rulebook

Chapter CME Globex / Clearing Code

EUR/USD Monthly Volatility-Quoted Options 261A VXT / VXT

EUR/USD Weekly Friday Volatility-Quoted Options 261A VTA-VTE / VTA-VTE

EUR/USD Weekly Wednesday Volatility-Quoted Options 261A VE1-VE5 / VE1-VE5

JPY/USD Monthly Volatility-Quoted Options 253A VXJ / VXJ

JPY/USD Weekly Friday Volatility-Quoted Options 253A VJA-VJE / VJA-VJE

JPY/USD Weekly Wednesday Volatility-Quoted Options 253A VJ1-VJ5 / VJ1-VJ5

GBP/USD Monthly Volatility-Quoted Options 251A VXB / VXB

GBP/USD Weekly Friday Volatility-Quoted Options 251A VBA-VBE / VBA-VBE

GBP/USD Weekly Wednesday Volatility-Quoted Options 251A VG1-VG5 / VG1-VG5

CAD/USD Monthly Volatility-Quoted Options 252A VXC / VXC

CAD/USD Weekly Friday Volatility-Quoted Options 252A VCA-VCE / VCA-VCE

CAD/USD Weekly Wednesday Volatility-Quoted Options 252A VC1-VC5 / VC1-VC5

AUD/USD Monthly Volatility-Quoted Options 255A VXA / VXA

AUD/USD Weekly Friday Volatility-Quoted Options 255A VAA-VAE / VAA-VAE

AUD/USD Weekly Wednesday Volatility-Quoted Options 255A VA1-VA5 / VA1-VA5

CHF/USD Monthly Volatility-Quoted Options 254A VXS / VXS
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

CHF/USD Weekly Friday Volatility-Quoted Options 254A VSA-VSE / VSA-VSE

The Contracts are being delisted from the CME Globex electronic trading platform (“CME Globex”), the 

venue on which they were listed. 

Exhibit A provides amendments to the applicable CME Rulebook Chapters in blackline format. 

The product rule chapters and terms and conditions contained in the Position Limit, Position Accountability 

and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 

(“Trading Qualifications and Practices”) of the CME Rulebook (the “Table”) were deleted. Amendments to 

the Table are attached under separate cover, in blackline format, as Exhibit B.

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 following Core Principles may be 

impacted by this initiative, as follows:

• Emergency Authority: There is no open interest in the contracts being delisted, and therefore, there 

will be no market disruption related to their delisting.

• Availability of General Information: The Exchange will make publicly available the details of the 

delisting by publishing a Special Executive Report (“SER”) to the marketplace. The SER will also be 

posted on the CME Group website.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), CME hereby certifies that the delisting 

complies with the Act, including the regulations under the Act. There were no substantive opposing views

to the 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 Chapters (blackline format) 

Exhibit B - Position Limit, Position Accountability, and Reportable Level Table in Chapter 

5 of the CME Rulebook (attached under separate cover)
3

Exhibit A

CME Rulebook

(deletions struck through)

Chapter 251A

Options on British Pound Sterling/U.S. Dollar (GBP/USD) Futures

251A00. SCOPE OF CHAPTER

This chapter is limited in application to trading in put and call options on British pound (pound sterling) futures 

contracts. 

The procedures for trading, clearing, inspection, delivery and settlement and any other matters not specifically 

covered herein shall be governed by the rules of the Exchange.

For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate

Chicago time.

Options contracts covered by this chapter may also be referred to as:

GBP/USD Monthly Options

GBP/USD Weekly Monday Options

GBP/USD Weekly Wednesday Options

GBP/USD Weekly Friday Options

GBP/USD Monthly Volatility-Quoted Options

GBP/USD Weekly Wednesday Volatility-Quoted Options

GBP/USD Weekly Friday Volatility-Quoted Options

[End of Rule.]

251A01. OPTION CHARACTERISTICS

***

251A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per pound sterling. Each $0.0001 per pound sterling

(one point) shall represent $6.25. For example, a quote of .0070 represents an option price of $437.50 (70 

points x $6.25 per point) of premium. The minimum fluctuation shall be one point (also known as one tick).

In addition, for options that are quoted in volatility terms on CME Globex, the minimum fluctuation shall be 

0.01 percent for the volatility quote. Also, following a volatility trade, when CME Globex converts the volatilitytraded options position into a premium-based options position for clearing, the minimum price increment for 

the premium-based option position shall be $0.00002 per British pound sterling (equal to $1.25).

[End of Rule.]

Chapter 252A

Options on Canadian Dollar/U.S. Dollar (CAD/USD) Futures

252A00. SCOPE OF CHAPTER

This chapter is limited in application to options on Canadian dollar/U.S. dollar futures. In addition to this

chapter, options on Canadian dollar/U.S. dollar futures shall be subject to the general rules and regulations of 

the Exchange insofar as applicable.

For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate

Chicago time.

Options contracts covered by this chapter may also be referred to as:

CAD/USD Monthly Options

CAD/USD Weekly Monday Options

CAD/USD Weekly Wednesday Options

CAD/USD Weekly Friday Options

CAD/USD Monthly Volatility-Quoted Options

CAD/USD Weekly Wednesday Volatility-Quoted Options

CAD/USD Weekly Friday Volatility-Quoted Options
4

[End of Rule.]

252A01. OPTION CHARACTERISTICS

***

252A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Canadian dollar. Each $0.0001 per Canadian dollar 

(one point) shall represent $10.00. For example, a quote of .0075 represents an option price of $750.00 (75 

points x $10.00 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). 

A trade may also occur at a price of $.00005 ($5, also known as one-half tick), $.00015 ($15, also known as 

one and one-half ticks), $.00025 ($25, also known as two and one-half ticks), $.00035 ($35, also known as 

three and one-half ticks), and $.00045 ($45, also known as four and one-half ticks).

In addition, for options that are quoted in volatility terms, the minimum fluctuation shall be 0.01 percent for the 

volatility quote. Also, following a volatility trade, when CME Globex converts the volatility-traded options 

position into a premium-based options position for clearing, the minimum price increment for the premiumbased option position shall be $0.00001 per Canadian dollar (equal to $1.00).

[End of Rule.]

Chapter 253A

Options on Japanese Yen/U.S. Dollar (JPY/USD) Futures

253A00. SCOPE OF CHAPTER

This chapter is limited in application to options on Japanese Yen/U.S. dollar futures. In addition to this chapter, 

options on Japanese Yen/U.S. dollar futures shall be subject to the general rules and regulations of the 

Exchange insofar as applicable.

For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate

Chicago time.

Options contracts covered by this chapter may also be referred to as:

JPY/USD Monthly Options

JPY/USD Weekly Monday Options

JPY/USD Weekly Wednesday Options

JPY/USD Weekly Friday Options

JPY/USD Monthly Volatility-Quoted Options

JPY/USD Weekly Wednesday Volatility-Quoted Options

JPY/USD Weekly Friday Volatility-Quoted Options

[End of Rule.]

253A01. OPTION CHARACTERISTICS

***

253A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Japanese yen. Each $0.000001 per Japanese yen 

(one point) shall represent $12.50. For example, a quote of .000075 represents an option price of $937.50 (75 

points x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). 

A trade may also occur at a price of $.0000005 ($6.25, also known as one-half tick), $.0000015 ($18.75, also 

known as one and one-half ticks), $.0000025 ($31.25, also known as two and one-half ticks), $.0000035 

($43.75, also known as three and one-half ticks), and $.0000045 ($56.25, also known as four and one-half 

ticks).

In addition, for options that are quoted in volatility terms, the minimum fluctuation shall be 0.01 percent for the 

volatility quote. Also, following a volatility trade, when CME Globex converts the volatility-traded options 

position into a premium-based options position for clearing, the minimum price increment for the premiumbased option position shall be $0.0000001 per Japanese yen (equal to $1.25).
5

[End of Rule.]

Chapter 254A

Options on Swiss Franc/U.S. Dollar (CHF/USD) Futures

254A00. SCOPE OF CHAPTER

This chapter is limited in application to options on Swiss franc/U.S. dollar futures. In addition to this chapter, 

options on Swiss franc/U.S. dollar futures shall be subject to the general rules and regulations of the Exchange 

insofar as applicable.

For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate

Chicago time.

Options contracts covered by this chapter may also be referred to as:

CHF/USD Monthly Options

CHF/USD Weekly Friday Options

CHF/USD Monthly Volatility-Quoted Options

CHF/USD Weekly Friday Volatility-Quoted Options

[End of Rule.]

254A01. OPTION CHARACTERISTICS

***

254A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Swiss franc. Each $0.0001 per Swiss franc (one

point) shall represent $12.50. For example, a quote of .0075 represents an option price of $937.50 (75 points 

x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade 

may also occur at a price of $.00005 ($6.25, also known as one-half tick), $.00015 ($18.75, also known as 

one and one-half ticks), $.00025 ($31.25, also known as two and one-half ticks), $.00035 ($43.75, also known 

as three and one-half ticks), and $.00045 ($56.25, also known as four and one-half ticks).

In addition, for options that are quoted in volatility terms, the minimum fluctuation shall be 0.01 percent for the 

volatility quote. Also, following a volatility trade, when CME Globex converts the volatility-traded options 

position into a premium-based options position for clearing, the minimum price increment for the premiumbased option position shall be $0.00001 per Swiss franc (equal to $1.25).

[End of Rule.]

Chapter 255A

Options on Australian Dollar/U.S. Dollar (AUD/USD) Futures

255A00. SCOPE OF CHAPTER

This chapter is limited in application to options on Australian dollar/U.S. dollar futures. In addition to this

chapter, options on Australian dollar/U.S. dollar futures shall be subject to the general rules and regulations 

of the Exchange insofar as applicable.

For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate

Chicago time.

Options contracts covered by this chapter may also be referred to as:

AUD/USD Monthly Options

AUD/USD Weekly Monday Options

AUD/USD Weekly Wednesday Options

AUD/USD Weekly Friday Options

AUD/USD Monthly Volatility-Quoted Options

AUD/USD Weekly Wednesday Volatility-Quoted Options

AUD/USD Weekly Friday Volatility-Quoted Options

[End of Rule.]
6

255A01. OPTION CHARACTERISTICS

***

255A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Australian dollar. Each $0.0001 per Australian dollar 

(one point) shall represent $10.00. For example, a quote of .0075 represents an option price of $750.00 (75 

points x $10.00 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). 

A trade may also occur at a price of $.00005 ($5, also known as one-half tick), $.00015 ($15, also known as 

one and one-half ticks), $.00025 ($25, also known as two and one-half ticks), $.00035 ($35, also known as 

three and one-half ticks), and $.00045 ($45, also known as four and one-half ticks).

In addition, for options that are quoted in volatility terms, the minimum fluctuation shall be 0.01 percent for the 

volatility quote. Also, following a volatility trade, when CME Globex converts the volatility-traded options 

position into a premium-based options position for clearing, the minimum price increment for the premiumbased option position shall be $0.00001 per Australian dollar (equal to $1.00).

[End of Rule.]

Chapter 261A

Options on Euro/U.S. Dollar (EUR/USD) Futures

261A00. SCOPE OF CHAPTER

This chapter is limited in application to options on Euro/U.S. dollar futures. In addition to this chapter, options 

on Euro/U.S. dollar futures shall be subject to the general rules and regulations of the Exchange insofar as 

applicable.

For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate

Chicago time.

Options contracts covered by this chapter may also be referred to as:

EUR/USD Monthly Options

EUR/USD Weekly Monday Options

EUR/USD Weekly Wednesday Options

EUR/USD Weekly Friday Options

EUR/USD Monthly Volatility-Quoted Options

EUR/USD Weekly Wednesday Volatility-Quoted Options

EUR/USD Weekly Friday Volatility-Quoted Options

[End of Rule.]

261A01. OPTION CHARACTERISTICS

***

261A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Euro. Each $0.0001 per Euro (one point) shall

represent $12.50. For example, a quote of .0075 represents an option price of $937.50 (75 points x $12.50 

per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also 

occur at a price of $.00005 ($6.25, also known as one-half tick), $.00015 ($18.75, also known as one and onehalf ticks), $.00025 ($31.25, also known as two and one-half ticks), $.00035 ($43.75, also known as three and 

one-half ticks), and $.00045 ($56.25, also known as four and one-half ticks).

In addition, for options that are quoted in volatility terms, the minimum fluctuation shall be 0.01 percent for the 

volatility quote. Also, following a volatility trade, when CME Globex converts the volatility-traded options 

position into a premium-based options position for clearing, the minimum price increment for the premiumbased option position shall be $0.00001 per Euro (equal to $1.25).

[End of Rule.]
7

Exhibit B

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(deletions struck through)

(attached under separate cover)