SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-259 (1 of 18)

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 07/27/23 Filing Description: Initial Listing of Eighteen (18) 

Options on Heating Degree Day (HDD) Index Futures and Seasonal Strip HDD Index 

Futures 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

Official Product Name: See filing.

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

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

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

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

Notification § 40.6(d)

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

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

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

July 27, 2023

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 40.2(a) Certification. Initial Listing of Eighteen (18) Options on 

Heating Degree Day (HDD) Index Futures and Seasonal Strip HDD Index Futures 

Contracts.

CME Submission No. 23-259 (1 of 18)

Dear Mr. Kirkpatrick:

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

Commission (“CFTC” or “Commission”) the initial listing of Options on Heating Degree Day (HDD) Index 

Futures and Seasonal Strip HDD Index Futures contracts for Boston, Burbank, Houston, Philadelphia, 

Essen, and Paris (collectively, the “Contracts”) for trading on the CME Globex electronic platform (“CME 

Globex”) and for submission for clearing via CME ClearPort as more specifically described below effective 

on Sunday, August 13, 2023 for trade date Monday, August 14, 2023. 

Contract 

Title/Commodity 

Code/Rulebook 

Chapter

Commodity 

Code

CME Rulebook Chapter

Options on CME Degree Days Index 

Futures – BOSTON HDD

403A HW

Options on CME Seasonal Strip Degree 

Days Index Futures - BOSTON HDD NOV

405A HWX

Options on CME Seasonal Strip Degree 

Days Index Futures - BOSTON HDD DEC

405A HWZ

Options on CME Degree Days Index 

Futures – BURBANK HDD

403A LP

Options on CME Seasonal Strip Degree 

Days Index Futures - BURBANK HDD 

NOV

405A LPX

Options on CME Seasonal Strip Degree 

Days Index Futures - BURBANK HDD 

DEC

405A LPZ

Options on CME Degree Days Index 

Futures – HOUSTON HDD

403A HR

Options on CME Seasonal Strip Degree 

Days Index Futures - HOUSTON HDD 

NOV

405A HRX

Options on CME Seasonal Strip Degree 

Days Index Futures - HOUSTON HDD 

DEC

405A HRZ

Options on CME Degree Days Index 

Futures – PHILADELPHIA HDD

403A H6

Options on CME Seasonal Strip Degree 

Days Index Futures - PHILADELPHIA 

HDD NOV

405A H6X
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Options on CME Seasonal Strip Degree 

Days Index Futures - PHILADELPHIA 

HDD DEC

405A H6Z

Options on CME European HDD Index 

Futures ESSEN

406A D4

Options on CME European Seasonal 

Strip HDD Index Futures ESSEN NOV

407A D4X

Options on CME European Seasonal 

Strip HDD Index Futures ESSEN DEC

407A D4Z

Options on CME European HDD Index 

Futures PARIS

406A D1

Options on CME European Seasonal 

Strip HDD Index Futures PARIS NOV

407A D1X

Options on CME European Seasonal 

Strip HDD Index Futures PARIS DEC

407A D1Z

Exhibits A, B, C, and D provide amendments to the relevant rulebook chapters to include the Contracts. 

Exhibit E addresses the Exchange fees. Exhibit F addresses the applicable position limits and reportable 

position levels pursuant to Chapter 5 of the CME Rulebook. Exhibit G sets forth the applicable CME Globex 

non-reviewable trading ranges as prescribed in CME Rule 588.H. Exhibit H provides the market overview 

and analysis of deliverable supply in support of the related position limits.

Section 1: Contract Terms and Conditions

Contract Specifications 

Contract 

Title/Rulebook 

Chapter/Commodity 

Code

Rulebook 

Chapter

Commodity Code

Options on CME Degree Days Index 

Futures - BOSTON HDD

403A HW

Options on CME Seasonal Strip Degree 

Days Index Futures - BOSTON HDD NOV

405A HWX

Options on CME Seasonal Strip Degree 

Days Index Futures - BOSTON HDD DEC

405A HWZ

Options on CME Degree Days Index 

Futures - BURBANK HDD

403A LP

Options on CME Seasonal Strip Degree 

Days Index Futures - BURBANK HDD 

NOV

405A LPX

Options on CME Seasonal Strip Degree 

Days Index Futures - BURBANK HDD 

DEC

405A LPZ

Options on CME Degree Days Index 

Futures - HOUSTON HDD

403A HR

Options on CME Seasonal Strip Degree 

Days Index Futures - HOUSTON HDD 

NOV

405A HRX

Options on CME Seasonal Strip Degree 

Days Index Futures - HOUSTON HDD 

DEC

405A HRZ

Options on CME Degree Days Index 

Futures - PHILADELPHIA HDD

403A H6

Options on CME Seasonal Strip Degree 

Days Index Futures - PHILADELPHIA 

HDD NOV

405A H6X

Options on CME Seasonal Strip Degree 

Days Index Futures - PHILADELPHIA 

HDD DEC

405A H6Z
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Options on CME European HDD Index 

Futures ESSEN

406A D4

Options on CME European Seasonal 

Strip HDD Index Futures ESSEN NOV

407A D4X

Options on CME European Seasonal 

Strip HDD Index Futures ESSEN DEC

407A D4Z

Options on CME European HDD Index 

Futures PARIS

406A D1

Options on CME European Seasonal 

Strip HDD Index Futures PARIS NOV

407A D1X

Options on CME European Seasonal 

Strip HDD Index Futures PARIS DEC

407A D1Z

Trading Unit US Cities: $20 (US Dollars) times the respective CME 

Degree Day Index 

European Cities: €20 (Euros) times the respective CME European 

HDD/CAT Index

Listing Schedule

(U.S. Cities and 

European Cities)

Options on CDD Index 

Futures 21 monthly contracts of Apr, May, Jun, Jul, Aug, Sep, Oct

Options on CDD May 

Seasonal Strip Futures 1 monthly contract of Sep

Options on CDD Jul Seasonal 

Strip Futures 1 monthly contract of Aug

Options on HDD Index 

Futures 21 monthly contracts of Oct, Nov, Dec, Jan, Feb, Mar, Apr

Options on HDD Nov 

Seasonal Strip Futures 1 monthly contract of Mar

Options on HDD Dec 

Seasonal Strip Futures 1 monthly contract of Feb

Options on CAT Index 

Futures 21 monthly contracts of Apr, May, Jun, Jul, Aug, Sep, Oct

Options on CAT May 

Seasonal Strip Futures 1 monthly contract Sep

Options on CAT Jul Seasonal 

Strip Futures 1 monthly contract of Aug

Initial Listing Oct 2023 – Sep 2024

Trading and Clearing 

Hours 

CME Globex Pre-Open Sunday – 4:00 p.m. – 5:00 p.m. Central Time/CT

Monday – Thursday 4:45 p.m. – 5:00 p.m. CT

CME Globex Sunday - Friday 5:00 p.m. - 3:15 p.m. CT with daily trading 

halts 3:15 p.m. - 5:00 p.m.

CME ClearPort Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting 

Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT

Minimum Price 

Increments

US Cities: 1 index point (= $20 per contract)

European Cities: 1 index point (= €20 per contract)

Termination

of Trading

Trading shall terminate for U.S. cities at 9:00 a.m. CT on the second Exchange Business Day after 

the futures contract month. Trading shall terminate for European cities at 9:00 a.m. CT on the fifth 

Exchange Business Day after the futures contract month.

Settlement Type Physically Settled - Exercise into Futures

CME Globex Matching 

Algorithm

F-FIFO (First-In, First Out)

Exercise Style European

Strike Price Listing Dynamically listed at intervals of 1 index point

Position Limits and 

Reportable Levels 

Single Month Accountability Level Reportable Levels

Boston CDD/HDD Options 10,000 25

Burbank CDD/HDD Options 10,000 25
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Houston CDD/HDD Options 10,000 25

Philadelphia CDD/HDD

Options

10,000 25

Essen HDD/CAT Options 10,000 25

Paris HDD/CAT Options 10,000 25

Block Trade Minimum 

Threshold and 

Reporting Window

20 contracts subject to a 15-minute reporting window

Section 2: Price Reporting Agency

The official weather data that is used to settle our contracts is published by government weather agencies 

and then supplied to us from Speedwell Settlement Services Ltd. (SSS). In the case of the United States, 

the National Weather Service (NWS), Federal Aviation Administration (FAA), the Department of Defense 

(DoD), and the National Oceanic and Atmospheric Administration (NOAA) are responsible for the 

measurement, recording and issuance of the data. Weather stations used for CME weather contracts are 

located at major airports or government owned properties having 24 hour/365 day security measures in 

place to insure the accuracy of the data being reported. Similar to the US, European and Asian governments 

have implemented similar systems and collect the data in the same way, with the same authority and 

oversight.

These weather stations serve a vital function to air traffic safety around the world. Data readings from these 

stations are used to determine such things as flying and de-icing conditions. Therefore, the accuracy and 

security of these instruments are a high priority for these government agencies. Instrument placement is 

usually out on the property in remote secure locations, so as not to be affected by jet engine or tarmac heat 

radiation and most importantly human tampering. 

Settlement Data

Raw Data Weather Elements that have been processed to produce Certified Data, and when needed, 

Calculated Data.

Data Certification

Data Certification involves the process of detecting data problems (Gross Errors and Missing Data) and 

then correcting those problems by removing and replacing problem values with Estimated Values. 

As weather data is being released, a number of weather data suppliers are monitoring the data for any 

unusual readings. If a reading were to be an outlier or missing it would be reported to the issuing agency 

to verify for accuracy and/or correction. Weather data suppliers, such as Speedwell, not only monitor the 

specific CME weather locations, but also surrounding weather stations. They use surrounding weather 

stations as one means to verify for the accuracy of data being issued by the reporting agency. Speedwell 

is an industry leader in weather-related data to the futures and OTC markets. 

Section 3: Compliance with Core Principles

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:

• Compliance with Rules: Trading in the Contracts will be subject to all CME Rules, including 

prohibitions against fraudulent, noncompetitive, unfair and abusive practices as outlined in CME 

Rule Chapter 4, the Exchange’s trade practice rules, the majority of which are contained in Chapter 

5 and Chapter 8 of the CME Rulebook, and the dispute resolution and arbitration procedures of 

CME Rule Chapter 6. As with all products listed for trading on one of CME Group’s designated 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

5

contract markets, trading activity in the Contract will be subject to monitoring and surveillance by 

CME Group’s Market Regulation Department. The Market Regulation Department has the authority 

to exercise its investigatory and enforcement power where potential rule violations are identified.

• Contracts not Readily Subject to Manipulation: The Contracts are not readily subject to 

manipulation because of their structural attributes and reliance on government supplied data. Final 

settlements are based on official weather data that is published by government weather agencies 

and supplied to the Exchange by a single PRA, Speedwell Settlement Services Ltd. In the case of 

the United States, the National Weather Service (NWS), Federal Aviation Administration (FAA), the 

Department of Defense (DoD), and the National Oceanic and Atmospheric Administration (NOAA) 

are responsible for the measurement, recording and issuance of the data. Weather stations used 

for CME weather contracts are located at major airports or government owned properties having 

24 hour/365 day security measures in place to insure the accuracy of the data being reported. 

Similar to the U.S., European and Asian governments have implemented similar systems and 

collect the data in the same way, with the same authority and oversight. 

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

Exchange, which include prohibitions on manipulation, price distortion, and disruption to the cash 

settlement process. As with any new product listed for trading on a CME Group designated contract 

market, trading activity in the option contract proposed herein will be subject to monitoring and 

surveillance by CME Group’s Market Regulation Department.

• Position Limitations or Accountability: The speculative position limits for the Contracts as 

demonstrated in this submission are consistent with the Commission’s guidance.

• Emergency Authority: As with all CME Group futures and options product, the Exchange shall 

have full authority to act appropriately and as necessary in emergency situations. 

• Availability of General Information: The Exchange will publish on its website information in 

regard to contract specifications, terms, and conditions, as well as daily trading volume, open 

interest, and price information for the Contracts. The Exchange will issue a Special Executive 

Report (“SER”) regarding the launch of the Contracts. The SER will also be posted on the CME 

Group website.

• Daily Publication of Trading Information: The Exchange will publish contract trading volumes, 

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

Contracts.

• Execution of Transactions: The Contracts will be listed for trading on the CME Globex and for 

submission of clearing through the CME ClearPort platform. The CME Globex trading venue 

provides for competitive and open execution of transactions and affords the benefits of reliability 

and global connectivity.

• Trade Information: All requisite trade information for the Contracts will be included in the audit trail 

and is sufficient for the Market Regulation Department to monitor for market abuse. 

• Financial Integrity of Contracts: The Contracts will be cleared by the CME Clearing, a derivatives 

clearing organization registered with the CFTC and subject to all CFTC Regulations related thereto.

• Protection of Market Participants: CME Rulebook Chapters 4 and 5 set forth multiple prohibitions 

that preclude intermediaries from disadvantaging their customers. These rules apply to trading in 

all of the Exchange’s competitive trading venues.

• Disciplinary Procedures: Chapter 4 of the Rulebook contains provisions that allow the Exchange 

to discipline, suspend or expel members or market participants that violate the Rulebook. Trading 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

6

in the Contracts will be subject to Chapter 4, and the Market Regulation Department has the 

authority to exercise its enforcement power in the event rule violations in these products are 

identified.

• Dispute Resolution: Disputes with respect to trading in the Contract will be subject to the 

arbitration provisions set forth in Chapter 6 of the Rulebook. Chapter 6 allows all non-members to 

submit a claim for financial losses resulting from transactions on the Exchange to arbitration. A 

member named as a respondent in a claim submitted by a non-member is required to participate 

in the arbitration pursuant to Chapter 6. Additionally, the Exchange requires that members resolve 

all disputes concerning transactions on the Exchange via arbitration.

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

listing of the Contracts complies with the Act, including regulations under the Act. There were no substantive 

opposing views to this proposal.

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

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

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

via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – CME Rulebook Chapter 403A

Exhibit B – CME Rulebook Chapter 405A

Exhibit C – CME Rulebook Chapter 406A

Exhibit D – CME Rulebook Chapter 407A

Exhibit E – Exchange Fees

Exhibit F – Position Limit, Position Accountability, and Reportable Level Table in 

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

Exhibit G – CME Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table

Exhibit H – Cash Market Overview and Deliverable Supply Analysis
7

Exhibit A

CME Rulebook

(additions underscored)

Chapter 403A

Options on CME Degree Days Index Futures

403A00. SCOPE OF CHAPTER 

This chapter is limited in application to options on CME Degree Days Index futures. In addition to this 

chapter, options on CME Degree Days Index 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 herein shall refer to and indicate 

Chicago time.

403A01. OPTIONS CHARACTERISTICS

403A01.A. Contract Months and Trading Hours 

Options contracts shall be listed for such contract months and scheduled for trading during such hours 

as may be determined by the Exchange.

403A01.B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one 

CME Degree Days Index futures contract as specified in Chapter 403. The table below lists the cities and 

their corresponding weather stations for which options on CME Degree Days Index Futures are available:

Listing Cities and Corresponding Automated Weather Stations

Atlanta Hartsfield International Airport (WBAN 13874)

Boston-Logan International Airport (WBAN 14739)

Burbank-Glendale-Pasadena Airport (WBAN 23152)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Dallas-Fort Worth International Airport (WBAN 03927)

Houston-George Bush Intercontinental Airport (WBAN 12960)

Las Vegas McCarran International Airport (WBAN 23169)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Sacramento Executive Airport (WBAN 23232)

403A01.C. Minimum Fluctuations 

The price of an option shall be quoted in terms of the respective CME Degree Days Index. Each index 

point represents $20. For example, a quote of 2 index points represents $40. The minimum fluctuation 

shall be 1.0 HDD or 1.0 CDD (also known as one tick), equal to $20.

403A01.D. [Reserved]

403A01.E. Exercise Prices 

Exercise prices shall be stated in terms of the respective CME Degree Days Index futures contract. 

Eligible exercise prices shall also be at intervals of 1 index point (e.g., 710, 711, 712, etc.). At the 

commencement of option trading in a contract month, the eligible put and call options are dynamically 

listed at intervals of 1 index point in a range of 0 to 1500 index points for CDD months and a range of 0 

to 3200 index points for HDD months. New options may be listed for trading up to and including the 
8

termination of trading. The Exchange may modify the provisions governing the establishment of exercise 

prices as it deems appropriate.

403A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

403A01.G. [Reserved]

403A01.H. [Reserved]

403A01.I. Termination of Trading

Options trading shall terminate on the same date and time as the underlying futures contract.

403A01.J. [Reserved]

403A02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to the 

exercise of the CME Degree Days options.

403A02.A. Exercise of Option by Buyer

An option may be exercised by the buyer only on the termination of Trading Day. To exercise an option 

the clearing member representing the buyer shall present an exercise notice to the Clearing House by 

5:30 p.m. on the day of exercise.

An option that is in the money and has not been liquidated prior to the termination of trading shall, in the 

absence of contrary instructions delivered to the Clearing House by 5:30 p.m. on the day of expiration by 

the clearing member representing the option buyer, be exercised automatically.

403A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random 

selection to clearing members with open short positions in the same series. A clearing member to which 

an exercise notice is assigned shall be notified thereof as soon as practicable after such notice is assigned 

by the Clearing House, but not later than 45 minutes before the opening of Regular Trading Hours in the 

underlying futures contract on the following Business Day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying 

futures contract if a call is exercised or a long position if a put is exercised. The clearing member 

representing the option buyer shall be assigned a long position in the underlying futures contract if a call 

is exercised and a short position if a put is exercised.

All such futures positions shall be assigned at a price equal to the exercise price of the option and shall 

be marked to market in accordance with Rule 814 on the Trading Day of acceptance by the Clearing 

House of the exercise notice.

403A03. [RESERVED]

(End Chapter 403A)

INTERPRETATIONS AND SPECIAL NOTICES

RELATING TO CHAPTER 403A

LIMITATION OF LIABILITY AND DISCLAIMER

Speedwell Settlement Services Ltd. (“SSS”) grants the Exchange the rights to use various data (“Data”) in connection 

with the trading of futures contracts and options on futures contracts based upon such Data. SSS makes no warranty, 

express or implied, as to the results to be obtained by any person or any entity from the use of the Data in connection 

with the trading of futures contracts, options on futures contracts or any other use. SSS makes no express or implied 

warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with 
9

respect to the Data. Without limiting any of the foregoing, in no event shall SSS have any liability for any special, 

punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.

Exhibit B

CME Rulebook

(additions underscored)

Chapter 405A

Options on CME Seasonal Strip Degree Days Index Futures

405A00. SCOPE OF CHAPTER

This chapter is limited in application to options on CME Seasonal Strip Degree Days Index futures. In 

addition to this chapter, options on CME Seasonal Strip Degree Days Index 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 herein shall refer to and indicate 

Chicago time.

405A01. OPTIONS CHARACTERISTICS

405A01.A. Contract Months and Trading Hours

Options contracts shall be listed for such contract months and scheduled for trading during such hours 

as may be determined by the Exchange. 

405A01.B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one 

respective CME Seasonal Strip Degree Days Index futures contract as specified in Chapter 405. The 

table below lists the cities and their corresponding weather stations for which options on CME Seasonal 

Strip Degree Days Index Futures are available:

Listing Cities and Corresponding Automated Weather Stations

Atlanta Hartsfield International Airport (WBAN 13874)

Boston-Logan International Airport (WBAN 14739)

Burbank-Glendale-Pasadena Airport (WBAN 23152)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Dallas-Fort Worth International Airport (WBAN 03927)

Houston-George Bush Intercontinental Airport (WBAN 12960)

Las Vegas McCarran International Airport (WBAN 23169)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Sacramento Executive Airport (WBAN 23232) 

405A01.C. Minimum Fluctuations

The price of an option shall be quoted in terms of the respective CME Seasonal Strip Degree Days Index. 

Each index point represents $20. For example, a quote of 2 index points represents $40. The minimum 

fluctuation shall be 1.0 HDD or 1.0 CDD (also known as one tick), equal to $20. 

405A01.D. [Reserved]

405A01.E. Exercise Prices

Exercise prices shall be stated in terms of the respective CME Seasonal Strip Degree Days Index futures 
10

contract. Eligible exercise prices shall be at intervals of 1 CME Seasonal Strip Degree Days Index point 

(e.g., 4510, 4511, 4512, etc.). 

At the commencement of options trading in a contract month, the eligible put and call options are 

dynamically listed at intervals of 1 index point in a range of 0 to 7500 index points for the CDD season 

and a range of 0 to 16,000 index points for the HDD season. New options may be listed for trading up to 

and including the termination of trading. 

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

appropriate.

405A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

405A01.G. [Reserved]

405A01.H. [Reserved]

405A01.I. Termination of Trading

Options trading shall terminate on the same date and time as the underlying futures contract.

405A01.J. [Reserved]

405A02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to the 

exercise of the CME Seasonal Degree Days options. 

405A02.A. Exercise of Option by Buyer

An option may be exercised by the buyer only on the termination of Trading Day. To exercise an option 

the clearing member representing the buyer shall present an exercise notice to the Clearing House by 

5:30 p.m. on the day of exercise. 

An option that is in the money and has not been liquidated prior to the termination of trading shall, in the 

absence of contrary instructions delivered to the Clearing House by 5:30 p.m. on the day of expiration by 

the clearing member representing the option buyer, be exercised automatically. 

405A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random 

selection to clearing members with open short positions in the same series. A clearing member to which 

an exercise notice is assigned shall be notified thereof as soon as practicable after such notice is assigned 

by the Clearing House, but not later than 45 minutes before the opening of Regular Trading Hours in the 

underlying futures contract on the following Business Day. 

The clearing member assigned an exercise notice shall be assigned a short position in the underlying 

futures contract if a call is exercised or a long position if a put is exercised. The clearing member 

representing the option buyer shall be assigned a long position in the underlying futures contract if a call 

is exercised and a short position if a put is exercised. 

All such futures positions shall be assigned at a price equal to the exercise price of the option and shall 

be marked to market in accordance with Rule 814 on the Trading Day of acceptance by the Clearing 

House of the exercise notice. 

405A03. [RESERVED]

(End Chapter 405A) 

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 405A

LIMITATION OF LIABILITY AND DISCLAIMER
11

Speedwell Settlement Services Ltd. (“SSS”) grants the Exchange the rights to use various data (“Data”) in connection 

with the trading of futures contracts and options on futures contracts based upon such Data. SSS makes no warranty, 

express or implied, as to the results to be obtained by any person or any entity from the use of the Data in connection 

with the trading of futures contracts, options on futures contracts or any other use. SSS makes no express or implied 

warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with 

respect to the Data. Without limiting any of the foregoing, in no event shall SSS have any liability for any special, 

punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.

Exhibit C

CME Rulebook

(additions underscored)

Chapter 406A

Options on CME European HDD Index Futures

406A00. SCOPE OF CHAPTER

This chapter is limited in application to options on CME European HDD Index futures. In addition to this 

chapter, options on CME European HDD Index 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 herein shall refer to and indicate 

Chicago time.

406A01. OPTIONS CHARACTERISTICS

406A01. A. Contract Months and Trading Hours

Options contracts shall be listed for such contract months and scheduled for trading during such hours 

as may be determined by the Exchange.

406A01. B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one 

respective CME European HDD Index futures contract as specified in Chapter 406. The table below lists 

the cities and their corresponding weather stations for which options on CME European HDD Index 

Futures are available:

Listing Cities and Corresponding Automated Weather Stations

Amsterdam-Schiphol, Netherlands (WMO 06240)

London-Heathrow, United Kingdom (WMO 03772)

ESSEN, Germany (WMO 10410)

PARIS ORLY, France (WMO 07149)

406A01.C. Minimum Fluctuations

The price of an option shall be quoted in terms of the respective CME European HDD Index. Each index 

point represents 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros (€) for all other 

locations. For example, a quote of 2 index points represents 40 British pounds (pounds sterling) for 

London-Heathrow, or 40 Euros (€) for all other locations. The minimum fluctuation shall be 1.0 index point 

(also known as one tick), equal to 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros 

(€) for all other locations.

406A01.D. [Reserved]

406A01.E. Exercise Prices

Exercise prices shall be stated in terms of the respective CME European HDD Index futures contract. 

Eligible exercise prices shall also be at intervals of 1 index point (e.g., 710, 711, 712, etc.). At the 

commencement of option trading in a contract month, the eligible put and call options are dynamically 

listed at intervals of 1 index point in a range of 0 to 1700 index points for HDD months. New options may 

be listed for trading up to and including the termination of trading. The Exchange may modify the 

provisions governing the establishment of exercise prices as it deems appropriate.

406A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels
12

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

406A01.G. [Reserved]

406A01.H. [Reserved]

406A01.I. Termination of Trading

Options trading shall terminate on the same date and time as the underlying futures contract.

406A01.J. [Reserved]

406A02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to the 

exercise of the CME European HDD options.

406A02.A. Exercise of Option by Buyer

An option may be exercised by the buyer only on the termination of Trading Day. To exercise an option 

the clearing member representing the buyer shall present an exercise notice to the Clearing House by 

5:30 p.m. on the day of exercise.

An option that is in the money and has not been liquidated prior to the termination of trading shall, in the 

absence of contrary instructions delivered to the Clearing House by 5:30 p.m. on the day of expiration by 

the clearing member representing the option buyer, be exercised automatically.

406A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random 

selection to clearing members with open short positions in the same series. A clearing member to which 

an exercise notice is assigned shall be notified thereof as soon as practicable after such notice is assigned 

by the Clearing House, but not later than 45 minutes before the opening of Regular Trading Hours in the 

underlying futures contract on the following Business Day.

The clearing member assigned an exercise notice shall be assigned a short position in the underlying 

futures contract if a call is exercised or a long position if a put is exercised. The clearing member 

representing the option buyer shall be assigned a long position in the underlying futures contract if a call 

is exercised and a short position if a put is exercised.

All such futures positions shall be assigned at a price equal to the exercise price of the option and shall 

be marked to market in accordance with Rule 814 on the Trading Day of acceptance by the Clearing 

House of the exercise notice.

406A03. [RESERVED]

(End Chapter 406A)

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 406A

LIMITATION OF LIABILITY AND DISCLAIMER

Speedwell Settlement Services Ltd. (“SSS”) grants the Exchange the rights to use various data (“Data”) in connection 

with the trading of futures contracts and options on futures contracts based upon such Data. SSS makes no warranty, 

express or implied, as to the results to be obtained by any person or any entity from the use of the Data in connection 

with the trading of futures contracts, options on futures contracts or any other use. SSS makes no express or implied 

warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with 

respect to the Data. Without limiting any of the foregoing, in no event shall SSS have any liability for any special, 

punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.
13

Exhibit D

CME Rulebook

(additions underscored)

Chapter 407A

Options on CME European Seasonal Strip HDD Index Futures

407A00. SCOPE OF CHAPTER

This chapter is limited in application to options on CME European Seasonal Strip HDD Index futures. In 

addition to this chapter, options on CME European Seasonal Strip HDD Index 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 herein shall refer to and indicate 

Chicago time.

407A01. OPTIONS CHARACTERISTICS

407A01. A. Contract Months and Trading Hours

Options contracts shall be listed for such contract months and scheduled for trading during such hours 

as may be determined by the Exchange. 

407A01. B. Trading Unit

The trading unit shall be an option to buy, in the case of the call, or to sell, in the case of the put, one 

respective CME European Seasonal Strip HDD Index futures contract as specified in Chapter 407. The 

table below lists the cities and their corresponding weather stations for which options on CME European 

Seasonal Strip HDD Index Futures are available:

Listing Cities and Corresponding Automated Weather Stations

Amsterdam-Schiphol, Netherlands (WMO 06240)

London-Heathrow, United Kingdom (WMO 03772)

ESSEN, Germany (WMO 10410)

PARIS ORLY, France (WMO 07149)

407A01.C. Minimum Fluctuations

The price of an option shall be quoted in terms of the respective CME European Seasonal Strip HDD 

Index. Each index point represents 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros 

(€) for all other locations. For example, a quote of 2 index points represents 40 British pounds (pounds 

sterling) for London-Heathrow, or 40 Euros (€) for all other locations. The minimum fluctuation shall be 

1.0 index point (also known as one tick), equal to 20 British pounds (pounds sterling) for LondonHeathrow, or 20 Euros (€) for all other locations. 

407A01.D. [Reserved]

407A01.E. Exercise Prices

Exercise prices shall be stated in terms of the respective CME European Seasonal Strip HDD Index 

futures contract. Eligible exercise prices shall be at intervals of 1 CME Seasonal Degree Days Index point 

(e.g., 4510, 4511, 4512, etc.). At the commencement of options trading in a contract month, the eligible 

put and call options are dynamically listed at intervals of 1 index point in a range of 0 to 8500 index points 

for a seasonal Strip HDD. New options may be listed for trading up to and including the termination of 

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

deems appropriate.

407A01.F. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth 

in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special 

Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the 

Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion.
14

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions 

from the specified position limits.

407A01.G. [Reserved]

407A01.H. [Reserved]

407A01.I. Termination of Trading

Options trading shall terminate on the same date and time as the underlying futures contract.

407A01.J. [Reserved]

407A02. EXERCISE AND ASSIGNMENT

In addition to the applicable procedures and requirements of Chapter 7, the following shall apply to the 

exercise of the CME European Seasonal Strip HDD options. 

407A02.A. Exercise of Option by Buyer

An option may be exercised by the buyer only on the termination of Trading Day. To exercise an option 

the clearing member representing the buyer shall present an exercise notice to the Clearing House by 

5:30 p.m. on the day of exercise. 

An option that is in the money and has not been liquidated prior to the termination of trading shall, in the 

absence of contrary instructions delivered to the Clearing House by 5:30 p.m. on the day of expiration by 

the clearing member representing the option buyer, be exercised automatically. 

407A02.B. Assignment

Exercise notices accepted by the Clearing House shall be assigned through a process of random 

selection to clearing members with open short positions in the same series. A clearing member to which 

an exercise notice is assigned shall be notified thereof as soon as practicable after such notice is assigned 

by the Clearing House, but not later than 45 minutes before the opening of Regular Trading Hours in the 

underlying futures contract on the following Business Day. 

The clearing member assigned an exercise notice shall be assigned a short position in the underlying 

futures contract if a call is exercised or a long position if a put is exercised. The clearing member 

representing the option buyer shall be assigned a long position in the underlying futures contract if a call 

is exercised and a short position if a put is exercised. 

All such futures positions shall be assigned at a price equal to the exercise price of the option and shall 

be marked to market in accordance with Rule 814 on the Trading Day of acceptance by the Clearing 

House of the exercise notice. 

407A03. [RESERVED]

(End Chapter 407A) 

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 407A

LIMITATION OF LIABILITY AND DISCLAIMER

Speedwell Settlement Services Ltd. (“SSS”) grants the Exchange the rights to use various data (“Data”) in connection 

with the trading of futures contracts and options on futures contracts based upon such Data. SSS makes no warranty, 

express or implied, as to the results to be obtained by any person or any entity from the use of the Data in connection 

with the trading of futures contracts, options on futures contracts or any other use. SSS makes no express or implied 

warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with 

respect to the Data. Without limiting any of the foregoing, in no event shall SSS have any liability for any special, 

punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.
15

Exhibit E

Exchange Fees

Membership Type

Venue/Transaction 

Type Fee

Individual Members

Clearing Members

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

Subsidiaries

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

Rule 106.S Member Approved Funds

CME Globex $0.15

EFP $0.46 

EFR $0.46

Block $0.46

Delivery $0.02 

Exe|Asn|Future 

From $0.07 

Rule 106.D Lessees

Rule 106.F Employees 

CME Globex $0.20

EFP $0.51 

EFR $0.51 

Block $0.51

Delivery $0.07

Exe|Asn|Future 

From $0.12 

Rule 106.R Electronic Corporate Members 

(For other than CME Globex - Non-Member rates apply) CME Globex $0.44 

Rule 106.H and 106.N Firms 

CME Globex $0.25

EFP $0.56

EFR $0.56 

Block $0.56

Delivery $0.12

Exe|Asn|Future 

From $0.17 

International Incentive Program (IIP) Participants

International Volume Incentive Program (IVIP) Participants 

(For other than CME Globex - Non-Member rates apply)

CME Globex $0.26

Members Trading Outside of Division 

(For other than CME Globex During ETH - Non-Member rates apply)

CME Globex

During ETH Only $0.29

Non-Members

CME Globex $0.54

EFP $0.60

EFR $0.60 

Block $0.60

Delivery $0.16

Exe|Asn|Future 

From $0.21

Processing Fees Fee

Position Adjustment/Position Transfer $0.10 

Give-Up Surcharge $0.05 

Facilitation Fee $0.40 
16

Exhibit F

CME Rulebook 

Chapter 5

(“Trading Qualifications and Practices”) 

Position Limits, Position Accountability and Reportable Level Table 

(attached under separate cover)
17

Exhibit G

CME Rulebook 

Chapter 5

(“Trading Qualifications and Practices”) 

Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table

Instrument Globex 

Symbol

Globex Non-Reviewable Ranges (NRR)

Boston HDD Options HW

The greater of the following:

 • Delta multiplied by the underlying 

futures non-reviewable range

 • 20% of premium up to 1/4 of the 

underlying futures non-reviewable range

 • 5 ticks

Boston HDD Seasonal Strip Options HWX

Boston HDD Seasonal Strip Options HWZ

Burbank HDD Options LP

Burbank HDD Seasonal Strip Options LPX

Burbank HDD Seasonal Strip Options LPZ

Houston HDD Options HR

Houston HDD Seasonal Strip Options HRX

Houston HDD Seasonal Strip Options HRZ

Philadelphia HDD Options H6

Philadelphia HDD Seasonal Strip Options H6X

Philadelphia HDD Seasonal Strip Options H6Z

Paris HDD Options D1

Paris HDD Seasonal Strip Options D1X

Paris HDD Seasonal Strip Options D1Z

Essen HDD Options D4

Essen HDD Seasonal Strip Options D4X

Essen HDD Seasonal Strip Options D4Z

Boston CDD Options KW

Boston CDD Seasonal Strip Options KWK

Boston CDD Seasonal Strip Options KWN

Burbank CDD Options KP

Burbank CDD Seasonal Strip Options KPK

Burbank CDD Seasonal Strip Options KPN

Houston CDD Options KR

Houston CDD Seasonal Strip Options KRK

Houston CDD Seasonal Strip Options KRN

Philadelphia CDD Options K6

Philadelphia CDD Seasonal Strip Options K6K
18

Philadelphia CDD Seasonal Strip Options K6N

Paris CAT Options G1

Paris CAT Seasonal Strip Options G1K

Paris CAT Seasonal Strip Options G1N

Essen CAT Options G4

Essen CAT Seasonal Strip Options G4K

Essen CAT Seasonal Strip Options G4N
19

Exhibit H

Cash Market Overview and Deliverable Supply Analysis

Position Limit/Accountability Levels 

The Contracts will mirror the currently listed weather futures and options contracts with single month 

accountability levels of 10,000 contracts. These changes will be reflected in the position accountability table 

in Chapter 5. 

The 10,000 per month contract accountability level for similar weather products has been previously vetted 

with the CFTC. Note that Section 151 of the Act was vacated and reverted back to Section 150, which 

does not have an interpretation for position accountability for Alternative products. The CFTC previously 

acknowledged that weather is unique and that it is an excluded commodity and has no deliverable supply. 

At that time, CME noted the following: 1) due to the secured locations of the recording instruments, major 

airports, the index is not easily susceptible to manipulation and 2) a number of weather data suppliers are 

monitoring the data being released by these governmental agencies and any errors would most likely be 

reported and corrected promptly by the reporting agencies.

Cash Market Overview

Heating Degree Days (HDD)/Cooling Degree Days (CDD) and Cumulative Average Temperature (CAT) 

contracts are employed by a wide variety of enterprises, largely operating in the context of the energy 

industry, to manage their temperature related risks. 

Energy companies, for example, have been known to sell HDD or CDD contracts to manage the risk of 

diminished revenues under mild weather conditions, noting that the quantity of energy sold is heavily 

contingent upon consumer demand driven by temperatures. Large scale energy consumers including 

automobile manufacturers and large residential building operators may buy HDD or CDD contracts to hedge 

against the risk of rising utility costs under extreme weather conditions. 

Retailers whose sales are sensitive to weather conditions might control inventory costs more effectively 

through the use of HDD or CDD contracts. Beer consumption reaches a seasonal peak in the summer and 

cool weather can put a dent in beer sales. “the 2000 Preliminary Report for SABMiller, “History shows that 

on a summer day with the temperature over 25 degrees Celsius, sales can be more than 50% greater than 

on a day where the temperature is under 20 degrees... ” 

Utility companies may utilize HDD or CDD contracts to guard against “volumetric risks.” These volumetric 

risks are based upon the quantity of energy that might be expected to be marketed throughout the course 

of a heating or cooling season. These transactions rely upon the intuitive and well-documented relationship 

between power consumption and temperature extremes. 

Thus, if the daily average temperatures during the course of a winter season were abnormally high, utility 

firms might face depressed demand for heating. Utilities have traditionally increased consumer prices to 

offset lower retail consumption volume. However, intensifying competition caused by ongoing deregulation 

has made it increasingly difficult for utilities to raise prices arbitrarily. Therefore, it becomes necessary for 

utility firms to address volumetric risks using other means such as HDD or CDD contracts. 

Proper use of temperature related contracts not only enables utility firms to stabilize revenue streams but 

may also be used to provide at least a partial hedge to the cost side of the equation. Note that most utility 

firms operate under inherent capacity limitations. Electricity represents a non-storable commodity. If 

temperature suddenly rises or declines dramatically, utility firms may need to deploy less efficient 

generators to meet the sudden jump in demand or may be compelled to purchase electricity from the power 

grid in the face of soaring demands and rising prices. This implies that energy prices may increase, and 
20

transmission costs may grow simultaneously. In this case, utility firms may find both weather derivatives 

and energy contracts useful to stabilize their economic outcomes, i.e., to hedge both volumetric and costbased risks. 

Weather Market Overview

It has been estimated that over 2/3 of the global economy is impacted either directly or indirectly by weather 

conditions. The impact that weather has on businesses such as energy and agriculture is particularly acute. 

However, not only energy and agriculture observe the weather conditions. The lists of other economic 

sectors that are affected by the weather include construction and transportation sectors that have to 

contend with delays and budget overruns. The retail and entertainment sectors face similar challenges 

when weather turns unfavorable. A retailer may have stocked up on winter clothing only to have the season 

be unseasonably warm, causing markdowns at the end of the season to move merchandise, and incurring 

a loss. Entertainment such as concerts, municipal parades, ski resorts, amusement parks etc. can be 

impacted by rain, cold and heat translating into lost revenue. 

In addition to the commercial market participants like utility companies, some of the most active participants 

in the existing weather markets are insurance and reinsurance companies. Reinsurance companies, for 

example, offer clients a path to transfer their weather-related risk, and are then able to lay off a portion of 

that risk by participating in our weather futures and options markets. Hedge funds, pension funds, and asset 

managers that are looking for assets that are uncorrelated to their current portfolio holdings are also active 

participants in weather futures and options markets.