SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 22-536 (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): 12/13/22 Filing Description: Migration of Open Interest from the 

Options on E-mini S&P 500 Index Futures – Quarterly PM (European-Style) Contract to 

the Weekly Options on E-mini S&P 500 Index Futures – Week 3 (European-Style) 

Contract.

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

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

December 13, 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. Migration of Open Interest from the Options 

on E-mini S&P 500 Index Futures – Quarterly PM (European-Style) Contract to the 

Weekly Options on E-mini S&P 500 Index Futures – Week 3 (European-Style) 

Contract.

CME Submission No. 22-536 (1 of 2)

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”), a registered designated contract market 

(“DCM”) and derivatives clearing organization (“DCO”) under the Commodity Exchange Act, as amended 

(“CEA” or “Act”), is certifying to the Commodity Futures Trading Commission (“CFTC” or “Commission”) 

rule amendments to facilitate the conversion of unexpired open positions in the Options on E-mini S&P 500 

Index Futures – Quarterly PM (European-Style) contract (the “Quarterly Contract”) at the close of business 

on Friday, February 10, 2023 into notionally equivalent positions in the Weekly Options on E-mini S&P 500 

Index Futures – Week 3 (European-Style) contract (the “Weekly Contract”). Following completion of the 

conversion process on February 12, 2023, there will be zero (0) open interest in the Quarterly Contract and 

it will be immediately delisted. 

In order to facilitate the conversion process and delisting of the Quarterly Contract, CME will:

1. Expand the listing schedule for the Weekly Contract from 9 non-consecutive week 3 contracts 

(excluding quarterly months) to 13 consecutive week 3 contracts (including quarterly months);

2. Terminate trading and trade submissions in the Quarterly Contract at close of business on trade 

date February 10, 2023; 

3. Implement the conversion process as further described below and in Exhibit A (Form of Advisory 

Notice); 

4. Delist the Quarterly Contract and make all necessary revisions to the CME Rulebook and website 

as further described below and in Exhibit B (effective immediately upon completion of the 

conversion process); and

5. Amend the Position Limit, Position Accountability and Reportable Level Table in Chapter 5 of the 

CME Rulebook as further described below and in Exhibit C (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

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Contract Title Commodity 

Code

Rulebook

Chapter

Current Listing 

Schedule

Amended Listing 

Schedule

Weekly Options on E-mini S&P 

500 Index Futures – Week 3 

(European-Style)

EW3 358A

9 non-consecutive 

weekly contracts

(excluding 

quarterly months)

13 consecutive

weekly contracts

(including quarterly 

months)

Options on E-mini Standard and 

Poor's 500 Stock Price Index 

Futures - Quarterly PM 

(European-Style)

EYC 358A

Quarterly 

contracts (Mar, 

Jun, Sep, Dec) 

listed for 4 

consecutive 

quarters

Last listed month: 

Dec 2023

Background

In June 2021, CME listed the Quarterly Contract as a solution for option box traders in the aftermath of the 

S&P 500 Options open outcry, trading floor closure. The Quarterly Contract provides option box traders 

with access to a European-style option expiry on the 3rd Friday of quarterly months (March, June,

September, December), a key date for liquidity provision in the futures and options markets. 

Previously the Exchange implemented amendments to the daily settlement of all options on E-mini and 

Micro S&P 500 Index futures contracts. As a result of those amendments, the Weekly Contract was 

essentially equalized with the Quarterly Contract. See CME Submission No. 22-329 dated November 1, 

2022.

The planned conversion of the Quarterly Contract will have zero (0) economic value change. 

Upon the effective date of this Submission, the existing option box strategies will continue to be available 

utilizing the Weekly Contract. 

Engagement with Market Participants

In connection with the Rule Amendments, market participants expressed support for the proposal to convert 

existing open interest in the Quarterly Contract to the notionally equivalent Weekly Contract.

Substantive Opposing Views

There were no substantive opposing views raised with respect to the conversion process reflected in the 

text of the Advisory Notice. Clearing Members and market participants have been generally supportive of 

the proposed conversion and delisting.

Analysis under DCM and DCO 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 Rule Amendments may have some 

bearing on the following Core Principles:

DCM Core Principles

Compliance with Rules: CME Globex trading and trade submissions in the Quarterly Contract will 

terminate at the normal close of business time on February 10, 2023. All Quarterly Contract

positions that are unexpired at that time will be converted into notionally equivalent Weekly Contract

positions during the conversion period. Neither voluntary offset or closure of Quarterly Contract
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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positions prior to the conversion period nor mandatory conversion during the conversion period will 

impact the Exchange’s ability to monitor or enforce compliance with its Rules.

Contracts Not Readily Subject to Manipulation: The Quarterly Contract and the Weekly Contract 

counterparts settle to the same index. 

Prevention of Market Disruption: The conversion process supports CME’s ability to prevent 

market disruption or price distortion, which could otherwise occur where liquidity in the Quarterly 

Contract gradually diminishes as they expire and roll off, or where they are listed for trading on

CME Globex to trade side-by-side with the Weekly Contract, which would unnecessarily bifurcate 

liquidity across two screen-based products that serve the same risk management needs. Further, 

at the time of delisting there will be no open interest in the Quarterly Contract and therefore there 

will be no market disruption related to their delisting.

Position Limitations or Accountability: Position limits for the Weekly Contract resulting from the 

conversion will be maintained at current levels, which are equivalent to those for the Quarterly 

Contract after adjusting for the notional size basis between the respective contracts.

Execution of Transactions: The Exchange will continue its current practice of providing a 

competitive, open, and efficient market mechanism for executing transactions in the Weekly

Contract, including the expansion of the listing schedule of the Weekly Contract.

Trade Information: The Clearing House will convert the Quarterly Contract positions into notionally 

equivalent Weekly Contract positions. The mechanism for conversion supports electronic 

confirmations to Clearing Members, regulatory reporting and accurate audit trail data. Positions 

resulting from the conversion will be reflected on Clearing Member trade registers and CME 

Group’s Daily Bulletin, which shows volume and open interest for all products.

Recordkeeping: Records pertaining to the conversion process will remain subject to 

recordkeeping requirements established in accordance with this Core Principle.

Antitrust Considerations: Termination of trading in the Quarterly Contract and conversion of open 

interest will enhance price discovery by transitioning to a deeper pool of liquidity and efficient 

execution on CME Globex. 

Availability of General Information: The Advisory Notice will be published on the CME Group 

website along with a related SER regarding the Rule Amendments. The SER will also be posted 

on the CME Group website. 

Daily Publication of Trading Information: The Exchange will continue to publish daily trading 

volumes, open interest levels, and price information for the Weekly Contract on the CME Group 

website and through quote vendors

DCO Core Principles

Risk Management: The conversion will not impact the Clearing House’s ability to manage risk. On 

a notionally adjusted basis the performance bond requirements for the Quarterly Contract and 

the Weekly Contract are the same.

Settlement Procedures: The conversion will not impact the Clearing House’s ability to effect 

settlement with its Clearing Members. All Quarterly Contracts will go through the EOD settlement 

cycle for February 10, with contracts expiring that day following the normal process for final 

settlement. All positions resulting from the conversion will be subject to daily and final settlement 

processes for the Weekly Contract.
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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Reporting: Positions subject to or resulting from the conversion process will be reflected on reports 

to the Commission in accordance with this Core Principle.

Recordkeeping: Records pertaining to the conversion process will remain subject to 

recordkeeping requirements established in accordance with this Core Principle.

Public Information: The Advisory Notice will be published on the CME Group website. CME will 

remove all references to the Quarterly Contract in the product rule chapters and from the CME 

Rulebook and website.

The text of the Advisory Notice is provided in Exhibit A.

The Advisory Notice is intended to be effective as of February 10, 2023, pending all relevant CFTC 

regulatory review periods. 

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

Rule Amendments comply with the Act, including 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 CME Group 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 – Form of Advisory Notice

Exhibit B – Amendments to CME Rulebook Chapter 358A (blackline format) (effective close 

of business February 10, 2023)

Exhibit C – Amendments to the Position Limit, Position Accountability, and Reportable 

Level Table in Chapter 5 of the CME Rulebook (attached under separate cover) (effective 

close of business February 10, 2023)
5

Exhibit A

Form of Advisory Notice

TO: Clearing Member Firms; Back Office Managers

FROM: CME Clearing

[

ADVISORY #: 22-[xxx]

DATE: December [xx], 2022

SUBJECT: Migration of Open Interest from the Options on E-mini S&P 500 Index Futures 

– Quarterly PM (European-Style) Contract to the Weekly Options on E-mini 

S&P 500 Index Futures – Week 3 (European-Style) Contract

Subject to all CFTC regulatory review periods, Chicago Mercantile Exchange Inc. (“CME Clearing”) will 

implement rule amendments to facilitate the conversion of unexpired open positions in the Options on Emini S&P 500 Index Futures – Quarterly PM (European-Style) contract (the “Quarterly Contract”) at the 

close of business on Friday, February 10, 2023 into notionally equivalent positions in the Weekly Options 

on E-mini S&P 500 Index Futures – Week 3 (European-Style) contract (the “Weekly Contract”). Following 

completion of the conversion process on February 12, 2023, there will be zero (0) open interest in the 

Quarterly Contract and it will be immediately delisted. 

Contract Title Commodity 

Code

Rulebook

Chapter

Current Listing

Schedule Amended Listing Schedule

Weekly Options on Emini S&P 500 Index 

Futures – Week 3 

(European-Style)

EW3 358A

9 non-consecutive 

weekly contracts

(excluding 

quarterly months)

13 consecutive weekly 

contracts (including quarterly 

months)

Options on E-mini 

Standard and Poor's 

500 Stock Price Index 

Futures - Quarterly 

PM (European-Style)

EYC 358A

Quarterly 

contracts (Mar, 

Jun, Sep, Dec) 

listed for 4 

consecutive 

quarters

Last listed month: Dec 2023

Given the importance of EYC contract for risk management purposes, CME will expand the listing schedule 

of the existing Weekly Contract, specifically the week 3 contract (contract code EW3). The existing EW3 

contract has the same economic characteristics as the EYC contract and the listing expansion of EW3 will 

enable customers to trade contract expiries that previously only existed under the EYC contract. The 

expanded listing schedule of EW3 will be available for trading on CME Globex electronic trading platform 

(“CME Globex”) and for submission for clearing via CME ClearPort at 5:00 p.m. CT Sunday, February 12, 

2023, for trade date Monday, February 13, 2023.

Please note the behavior for the EYC contract is quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 

consecutive quarters, with trading terminating on the 3rd Friday of the contract month. Currently EW3 

contract expiries are listed as 9 weekly contracts (excluding quarterly months) and trading terminates at 

3:00 p.m. CT on Friday of the contract week. With the listing expansion, this will change to 13 consecutive 

weekly contracts (including quarterly months) and trading will terminate at 3:00 p.m. CT on Friday of the 

contract week.
6

In order to support Clearing Members with open interest in EYC contracts after trading ceases at 4.00 p.m. 

CT on Friday February 10, 2023, CME Clearing will convert those positions into an equivalent strike and 

expiry in the EW3 contract. CME Clearing will be in touch will Clearing Members prior to the conversion 

weekend, however the conversion process will look as follows:

1. On Friday February 10, 2023, trading in the EYC contract will terminate at 4:00 p.m. CT. For Friday’s end 

of day clearing cycle, it is important that Clearing Members complete all their allocation activity in the EYC 

contract and ensure an accurate PCS is submitted given that Friday’s EOD positions will be used in the 

conversion process to establish the EW3 positions.

2. On Sunday February 12, 2023, prior to the trading open at 5:00 p.m. CT, CME Clearing will convert 

individual trading positions in outstanding EYC positions through establishing offsetting transfers in the 

Clearing Members’ account opposite the CME 995 account to establish notionally equivalent positions 

from EOD Friday into EW3 positions. For each 1 contract position a Clearing Member holds in the EYC 

contract, CME Clearing will process 2 transfers: 1 transfer offsetting the EYC position and 1 transfer 

onsetting an EW3 position. These transfers will be processed at a trade price of 0 and Clearing Members

will receive clearing confirmation messages for these transfers. CME Clearing will provide a file to clearing 

Members showing the transfers booked in the conversion process. At 5:00 p.m. on Sunday, the expanded 

listing schedule of the EW3 contract will be available for trading and clearing for trade date Monday

February 13, 2023.

3. On Monday February 13, 2023, should Clearing Members need to make any morning Position Change 

Submission (“PCS”) adjustments in the EYC contract as a result of an inaccurate PCS value from Friday, 

the open interest adjustments should be performed on the converted EW3 positions prior to the normal 

8:15 a.m. CT deadline. For the end of day clearing cycle on Monday, Clearing Members should submit a 

PCS value of 0 for their EYC positions or refrain from submitting a value for EYC positions altogether.

Should Clearing Members have any questions please call 312-207-2525 or email ccs@cmegroup.com.
7

Exhibit B

CME Rulebook

(additions underscored; deletions struck through)

(effective close of business February 10, 2023)

Chapter 358A

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

358A00. SCOPE OF CHAPTER

This chapter is limited in application to options on E-mini Standard and Poor’s 500 Stock Price Index

futures (“E-mini S&P 500 Index futures” or “futures”). In addition to this chapter, options on futures shall

be subject to the general rules and regulations of the Exchange as applicable.

Unless otherwise specified, times referenced herein shall refer to and indicate Chicago time.

358A00.A. Primary Listing Exchange

For the purposes of this chapter a Primary Listing Exchange shall be as defined in the “Plan to Address

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to 

Rule 608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by 

the U.S.Securities and Exchange Commission (“SEC”), as amended from time to time (SEC, SRO 

Rulemaking, National Market System Plans, File 4-631).

358A00.B. Regulatory Halt

For the purposes of this chapter a Regulatory Halt shall be as defined in the “Plan to Address

Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to 

Rule 608 of Regulation NMS Under the Securities Exchange Act of 1934” approved 31 May 2012 by 

the SEC, as amended from time to time (SEC, SRO Rulemaking, National Market System Plans, File 

4- 631) and as implemented under New York Stock Exchange Rule 7.12 for Trading Halts Due to

Extraordinary Volatility or under Nasdaq Stock Market Rule 4121 for Trading Halts Due to Extraordinary

Volatility.

358A01. OPTIONS CHARACTERISTICS

358A01.A. Contract Months, Trading Hours, and Trading Halts

Options shall be listed for expiration on such dates and shall be scheduled for trading during such 

hoursas may be determined by the Exchange, provided that there shall be no trading in options when 

tradingis halted in the Primary Futures Contract Month for E-mini S&P 500 Index futures pursuant to 

Rule 35802.I.

In accordance with Rule 35802.I. the Exchange shall determine, in its sole discretion, the futures

delivery month that represents such Primary Futures Contract.

358A01.B. Trading Unit

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

S&P 500 Index futures contract (Chapter 358).

358A01.C. Minimum Fluctuations

Option prices shall be quoted in Index points. Each Index point shall represent $50.00 per option

contract.

Subject to Rule 358A01.C.1., the minimum price fluctuation shall be 0.25 Index points (equal to $12.50

per option contract), for trades executed on CME Globex electronic trading platform, provided that 

trades at price levels equal to or less than 5.00 Index points may occur at price levels that are integer 

multiples of 0.05 Index points (equal to $2.50 per option contract), and provided that trade may occur

at a price level of 0.05 Index points irrespective of whether suchtrade results in the liquidation of

positions for both parties to such trade. For transactions submitted for clearing via CME ClearPort, the 

minimum price increment shall be 0.05 Index points, regardless of the price level.

1. Option Spreads and Combinations
8

Any option contract that trades as a component of a spread or combination shall be traded at a price 

that conforms to the applicable CME Globex minimum price fluctuation as set forth in this Rule, 

provided that for any option spread or combination that trades at a net premium of 5.00 Index points 

or less, each option contract comprised within such spread or combination may trade in price 

increments of 0.05 Index points. For spread and combination transactions submitted for clearing via 

CME ClearPort, the minimum price increment shall be 0.05 Index points, regardless of the price level.

358A01.D. Underlying Futures Contract

1. American Style Options in the March Quarterly Cycle (“Quarterly options”)

For any American style option for which the expiration month is in the March quarterly cycle (i.e., March,

June, September, or December), the Underlying Futures Contract shall be for delivery in such option’s

expiration month.

Example: For a given year, futures for delivery in March shall be the Underlying Futures Contract for a

March Quarterly option.

2. European Style Weekly Options

For any European style Weekly option, the Underlying Futures Contract shall be for delivery on the 

thirdFriday of the March quarterly cycle month next following such option’s expiration, subject to Rule

35803.A.

Examples: For a given year, futures for delivery in June shall be the Underlying Futures Contract for

third (3rd) March, fourth (4th) March, first (1st) April, second (2nd) April, third (3rd) April, fourth (4th)

April, first (1st) May, second (2nd) May, third (3rd) May, fourth (4th) May, first (1st) June, and second

(2nd) June European style Weekly options. Futures for delivery in September shall be the Underlying

Futures Contract for third (3rd) June and fourth (4th) June European style Weekly options.

The Exchange shall not list a European style Weekly option for trading in any instance where such

option’s expiration would occur on the last Business Day of a month.

3. European Style Monday Weekly Options

For any European style Monday Weekly option, the Underlying Futures Contract shall be for delivery 

on the third Friday of the March quarterly cycle month next following such option’s expiration, subject

to Rule 35803.A.

The Exchange shall not list a European style Monday Weekly option for trading in any instance where

such option’s expiration would occur on the last Business Day of a month.

4. European Style Tuesday Weekly Options

For any European style Tuesday Weekly option, the Underlying Futures Contract shall be for delivery 

onthe third Friday of the March quarterly cycle month next following such option’s expiration, subject 

to Rule 35803.A.

The Exchange shall not list a European style Tuesday Weekly option for trading in any instance where

such option’s expiration would occur on the last Business Day of a month.

5. European Style Wednesday Weekly Options

For any European style Wednesday Weekly option for the Underlying Futures Contract shall be for 

delivery on the third Friday of the March quarterly cycle month next following such option’s expiration, 

subject to Rule 35803.A.

The Exchange shall not list a European style Wednesday Weekly option for trading in any instance 

where such option’s expiration would occur on the last Business Day of a month.

6. European Style Thursday Weekly Options

For any European Style Thursday option, the Underlying Futures Contract shall be for delivery on the 

third Friday of the March quarterly cycle month next following such option’s expiration, subject to Rule 

35803.A.

The Exchange shall not list a European style Thursday Weekly option for trading in any instance where 

such option’s expiration would occur on the last Business Day of a month.

7. European Style End-of-Month Options

For any European style End-of-Month option, the Underlying Futures Contract shall be for delivery on

the third Friday of the March quarterly cycle month next following such option’s expiration, subject to

Rule 35803.A.

Examples: For a given year, futures for delivery in March shall be the Underlying Futures Contract for 

aJanuary European style End-of-Month option and for a February European style End-of-Month option.

Futures for delivery in June shall be the Underlying Futures Contract for a March European style Endof-Month option.
9

8. European Style Quarterly PM Options

For any European Style Quarterly PM option, the Underlying Futures Contract shall be for delivery on 

the third Friday of the March quarterly cycle month next following such option’s expiration, subject to 

Rule 35803.A.

Example: For a given year, futures for delivery in June shall be the Underlying Futures Contract for a 

March European Style Quarterly PM option.

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.

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

appropriate.

358A01.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

tothe 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.

358A01.G. Nature of Options

Upon exercise of a put option by the buyer of such option, the seller of such option shall incur the

obligation to assume a long position in one Underlying Futures Contract (Rule 358A01.D.) at such

option’s exercise price (Rule 358A01.E.). Upon exercise of a call option by the buyer of such option,

the seller of such option shall incur the obligation to assume a short position in one Underlying Futures

Contract at such option’s exercise price.

1. Quarterly Options

The buyer of a Quarterly option (Rule 358A01.D.1.) may exercise such option at any time prior to its

expiration.

2. All Options Excluding Quarterly Options

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.), or 

European Style Quarterly PM (Rule 3538A01.D.8.) options may be exercised only at expiration.

358A01.H. [Reserved]

358A01.I. Termination of Trading

1. Quarterly Options

Trading in any Quarterly option shall terminate on the same date and at the same time as the

termination of trading in such option’s Underlying Futures Contract (Rule 358A01.D.1.).

2. European Style Weekly Options

Trading in any European style Weekly option shall terminate at 3:00 p.m., or at noon in the case of an

early scheduled close of the Primary Listing Exchange (Rule 358A00.A.), on the Friday designated by

the Exchange as such option’s expiration date. For a given calendar month:

Trading shall terminate in European style First Weekly options, and such options shall expire, on

thefirst Friday of such month.

Trading shall terminate in European style Second Weekly options, and such options shall expire, on 

the second Friday of such month. Trading shall terminate in European style Third Weekly options, and 

such options shall expire, on the third Friday of such month.

Trading shall terminate in European style Fourth Weekly options, and such options shall expire, on the

fourth Friday of such month.

If the market in the Underlying Futures Contract for such option does not open on the day scheduled 

fortermination of option trading and for option expiration, then trading in such option shall terminate, 

and such option shall expire, on the next day on which the market in such Underlying Futures Contract 

is open for trading.

3. European Style Monday Weekly Options
10

Trading in any European style Monday Weekly option shall terminate at 3:00 p.m., or at noon in the case 

of an early scheduled close of the Primary Listing Exchange (Rule 358A00.A.), on the Monday 

designated by the Exchange as such option’s expiration date. For a given calendar month:

Trading shall terminate in European style First Monday Weekly options, and such options shall expire, 

on the first Monday of such month.

Trading shall terminate in European style Second Monday Weekly options, and such options shall 

expire, on the second Monday of such month.

Trading shall terminate in European style Third Monday Weekly options, and such options shall expire, 

on the third Monday of such month.

Trading shall terminate in European style Fourth Monday Weekly options, and such options shall expire, 

on the fourth Monday of such month.

Trading shall terminate in European style Fifth Monday Weekly options, and such options shall expire, 

on the fifth Monday of such month.

If the market in the Underlying Futures Contract for such option does not open on the day scheduled for 

termination of option trading and for option expiration, then trading in such option shall terminate, and 

such option shall expire, on the next day on which the market in such Underlying Futures Contract is 

open for trading.

4. European Style Tuesday Weekly Options

Trading in any European style Tuesday Weekly option shall terminate at 3:00 p.m., or at noon in the 

case of an early scheduled close of the Primary Listing Exchange (Rule 358A00.A.), on the Tuesday 

designated by the Exchange as such option’s expiration date. For a given calendar month:

Trading shall terminate in European style First Tuesday Weekly options, and such options shall expire, 

on the first Tuesday of such month.

Trading shall terminate in European style Second Tuesday Weekly options, and such options shall 

expire, on the second Tuesday of such month.

Trading shall terminate in European style Third Tuesday Weekly options, and such options shall expire, 

on the third Tuesday of such month.

Trading shall terminate in European style Fourth Tuesday Weekly options, and such options shall expire, 

on the fourth Tuesday of such month.

Trading shall terminate in European style Fifth Tuesday Weekly options, and such options shall expire, 

on the fifth Tuesday of such month.

If the market in the Underlying Futures Contract for such option does not open on the day scheduled for 

termination of option trading and for option expiration, then trading in such option shall terminate, and 

such option shall expire, on the next day on which the market in such Underlying Futures Contract is 

open for trading.

5. European Style Wednesday Weekly Options

Trading in any European style Wednesday Weekly option shall terminate at 3:00 p.m., or at noon in the 

case of an early scheduled close of the Primary Listing Exchange (Rule 358A00.A.), on the Wednesday 

designated by the Exchange as such option’s expiration date. For a given calendar month:

Trading shall terminate in European style First Wednesday Weekly options, and such options shall 

expire, on the first Wednesday of such month.

Trading shall terminate in European style Second Wednesday Weekly options, and such options shall 

expire, on the second Wednesday of such month.

Trading shall terminate in European style Third Wednesday Weekly options, and such options shall 

expire, on the third Wednesday of such month.

Trading shall terminate in European style Fourth Wednesday Weekly options, and such options shall 

expire, on the fourth Wednesday of such month.

Trading shall terminate in European style Fifth Wednesday Weekly options, and such options shall 

expire, on the fifth Wednesday of such month.

If the market in the Underlying Futures Contract for such option does not open on the day scheduled for 

termination of option trading and for option expiration, then trading in such option shall terminate, and 

such option shall expire, on the next day on which the market in such Underlying Futures Contract is 

open for trading.

6. European Style Thursday Weekly Options

Trading in any European style Thursday Weekly option shall terminate at 3:00 p.m., or at noon in the 
11

case of an early scheduled close of the Primary Listing Exchange (Rule 358A00.A.), on the Thursday 

designated by the Exchange as such option’s expiration date. For a given calendar month:

Trading shall terminate in European style First Thursday Weekly options, and such options shall expire, 

on the first Thursday of such month.

Trading shall terminate in European style Second Thursday Weekly options, and such options shall 

expire, on the second Thursday of such month.

Trading shall terminate in European style Third Thursday Weekly options, and such options shall expire, 

on the third Thursday of such month.

Trading shall terminate in European style Fourth Thursday Weekly options, and such options shall 

expire, on the fourth Thursday of such month.

Trading shall terminate in European style Fifth Thursday Weekly options, and such options shall expire, 

on the fifth Thursday of such month.

If the market in the Underlying Futures Contract for such option does not open on the day scheduled for 

termination of option trading and for option expiration, then trading in such option shall terminate, and 

such option shall expire, on the next day on which the market in such Underlying Futures Contract is 

open for trading.

7. European Style End-Of-Month Options

Trading in any European End-Of-Month option shall terminate at 3:00 p.m., or at noon in the case of an 

early scheduled close of the Primary Listing Exchange (Rule 358A00.A.), on the last Business Day of 

such option’s expiration month. 

If the market in the Underlying Futures Contract for such option does not open on the day scheduled for 

termination of option trading, then trading in such option shall terminate, and such option shall expire, 

on the next day on which the market in such Underlying Futures Contract is open for trading.

8. European Style Quarterly PM Options 

Trading in any European Style Quarterly PM option shall terminate at 3:00 p.m., or at noon in the case 

of any early scheduled close of the Primary Listing Exchange (Rule 358A00.A.), on the day on which 

the final settlement price of the Futures Contract Month immediately preceding such option’s Underlying 

Futures Contract is scheduled to be determined.

If the market in the Underlying Futures Contract for such option does not open on the day scheduled for 

termination of option trading, then trading in such option shall terminate, and such option shall expire, 

on the day on which the market in such Underlying Futures Contract is open for trading.

9.8. Unscheduled Market Holiday

Notwithstanding the aforementioned, if the Primary Listing Exchange (Rule 358A00.A.) is closed in

observance of an unscheduled market holiday on a day previously scheduled as a Business Day, then

trading in option contracts that had been scheduled to expire on such day shall terminate, and such

option contracts shall expire, on the Business Day immediately preceding such unscheduled market

holiday.

358A01.J. [Reserved]

358A02. EXERCISE AND ASSIGNMENT

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

exercise of options.

358A02.A. Exercise

1. Quarterly Options

Any Quarterly option (Rule 358A01.D.1.) may be exercised by the buyer on any Business Day prior to

and including such option’s Expiration Date. To exercise such option, the clearing member

representing the option buyer shall present an exercise notice to the Clearing House by 5:30 p.m., or 

bysuch other time as the Exchange may designate, on the day of exercise.

Any unexercised option shall expire at 5:30 p.m. on the day scheduled for determination of the Final

Settlement Price (Rule 35803.A.) of such option’s Underlying Futures Contract. Any option that is in 

themoney, and that has not been liquidated or exercised prior to its termination of trading, shall be

exercised automatically upon expiration, in the absence of contrary instructions. Such contrary

instructions must be delivered to the Clearing House, by the clearing member representing the buyer 

of such option, no later than 5:30 p.m., or at such other time on such option’s Expiration Date as may 

be designated by the Exchange.

An expiring call option shall be in the money if the Final Settlement Price of such option’s Underlying
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Futures Contract (Rule 358A01.D.) on such option’s Expiration Date is strictly above such option’s

exercise price, and shall be out of the money if such settlement price is at or below such option’s

exercise price.

An expiring put option shall be in the money if the Final Settlement Price of such option’s Underlying

Futures Contract on such option’s Expiration Date is strictly below such option’s exercise price,

and

shall be out of the money if such Final Settlement Price is at or above such option’s exercise price.

2. 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.), or 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

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 
13

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 at or above such

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

358A02.B. Assignment

For a given option contract, an exercise notice accepted by the Clearing House in accordance with

Rules 358A02.A. shall be assigned by the Clearing House through a process of random selection to

clearing members carrying open short positions in such option contract. A clearing member to whom

such exercise notice has been assigned shall be notified thereof as soon as practicable following such

assignment.

The clearing member to whom such exercise notice has been assigned shall be assigned a short

position in such option’s Underlying Futures Contract (Rules 358A01.D.) if such option is a call, or a

long position in such option’s Underlying Futures Contract if such option is a put. The clearing member

representing the option buyer making exercise shall be assigned a long position in such option’s

Underlying Futures Contract if such option is a call, or a short position in such option’s Underlying

Futures Contract if such option is a put.

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

contract, and shall be marked to market (in accordance with Rule 814) on the Business Day on which

the Clearing House accepts such exercise notice.

358A03. [RESERVED]

358A04. [RESERVED]

358A05.-29. [RESERVED]

(End Chapter 358A)

INTERPRETATIONS AND SPECIAL NOTICES

IRELATING TO CHAPTER 358A

S&P Dow Jones Indices LLC directly or through one or more affiliates (collectively, "S&P") licenses

the Exchange to use various S&P stock indices ("S&P Stock Indices") in connection with the trading

of futures contracts and options on futures contracts based upon such indices. S&P shall have no

liability for any damages, claims, losses or expenses caused by any errors or delays in calculating 

ordisseminating the S&P Stock Indices.

S&P Dow Jones Indices LLC and its affiliates (collectively, "S&P") do not guarantee the accuracy

and/or completeness of the S&P Stock Indices or any data included therein. S&P makes no 

warranty,express or implied, as to the results to be obtained by any person or any entity from the use

of the S&PStock Indices or any data included therein in connection with the trading of futures 

contracts, options on futures contracts or any other use. S&P 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 S&P Stock Indices or any data included therein. Without limiting any of the foregoing, in no event

shall S&P have any liability for any special, punitive, indirect, or consequential damages (including

lost profits), even if notified of the possibility of such damages.
14

Exhibit C

CME Rulebook

Chapter 5 

(“Trading Qualifications and Practices”)

Position Limits, Position Accountability and Reportable Level Table

(attached under separate cover)

(deletions struck through)

(effective close of business February 10, 2023)