SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 15-238

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

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): June 8, 2015 Filing Description: Delisting of Certain CME US 

and European Monthly, Weekly and Seasonal Strip Index Futures and Options 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: 

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: CME Rule Chapters 403, 405, 406, 407, 408, 409, 424 and 424A; Chapter 5 Position 

Limit, Position Accountability and Reportable Level Table; Rule 588.H
1 North End Avenue New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

June 8, 2015

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. Notification Regarding the Delisting of

Certain CME US and European Monthly, Weekly and Seasonal Strip Index Futures 

and Options Contracts.

CME Submission No. 15-238

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) hereby notifies the Commodity Futures Trading 

Commission (“CFTC” or “Commission”) that it is self-certifying the delisting of CME contracts shown in 

Exhibit 1 below, effective immediately. These contracts were listed for trading on CME Globex and the 

CME trading floor. There is no open interest in any contract subject to this action.

Exhibit 1 – CME Products Delisted

CME Rulebook Chapter 403 CME Degree Days Index Futures

CME Rulebook Chapter 405 CME Seasonal Strip Degree Days Index Futures

CME Rulebook Chapter 406 CME European HDD Index Futures

CME Rulebook Chapter 407 CME European Seasonal Strip HDD Index Futures

CME Rulebook Chapter 408 CME European CAT Index Futures

CME Rulebook Chapter 409 CME European Seasonal CAT Strip Index Futures

CME Rulebook Chapter 424 CME Weekly Average Temperature Index Futures

CME Rulebook Chapter 424A Options on CME Weekly Average Temperature Index Futures

The respective product rule chapters, as well as the terms and conditions contained CME Rule 588.H 

(“Globex Non-Reviewable Trading Ranges”) and in the Position Limit, Position Accountability and 

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

Qualifications and Practices) of the CME Rulebook were removed from the Exchange Rulebook.

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 delisting these contracts may have 

some bearing on the following Core Principles:

• Emergency Authority: There is no open interest in these contracts, and therefore there will be no 

market disruption related to their delisting.

• Availability of General Information: The Exchange shall make publicly available details of this 

action via a Special Executive Report to the marketplace, which will also be posted on the 

Exchange’s website.
1 North End Avenue New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com cmegroup.com

2

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

delisting of these 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:

Appendix A – Amendments to CME Rulebook Chapter 5 Position Limit Position Accountability and

 Reportable Level Table (attached under separate cover)

Appendix B – CME Rulebook Revision (blackline format)
3

Appendix A

Amendments to CME Rulebook Chapter 5

Position Limit, Position Accountability and Reportable Level Table

(Attached under separate cover)
4

Appendix B

CME RULEBOOK

(strikethrough indicates deletion)

Chapter 403

CME Degree Days Index Futures

40300. SCOPE OF CHAPTER

This chapter is limited in application to CME Degree Days Index futures: the CME Heating-Degree-Days 

(CME-HDD) Index and the CME Cooling-Degree-Days (CME-CDD) Index. In addition to this chapter, 

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.

40301. CONTRACT SPECIFICATIONS 

1. Heating Degree Days and Cooling Degree Days

The daily average temperature is defined as the arithmetic average of the maximum and minimum 

temperature recorded between midnight and 11:59 p.m. as reported by MDA Information Systems, Inc.

For each day, Heating-Degree-Days (HDD) is the greater of (1) zero, (2) 65 degrees Fahrenheit minus 

the daily average temperature.

For each day, Cooling-Degree-Days (CDD) is the greater of (1) zero, (2) the daily average temperature 

minus 65 degrees Fahrenheit.

2. The CME Degree Days Indexes and Listing Cities

Each particular CME Cooling-Degree Days index, is the accumulation of like Degree Days over a 

calendar month. The accumulation period of each CME-HDD or CME-CDD Index Futures contract 

begins with the first calendar day of the contract month and ends with the last calendar day of the 

contract month.

The temperature for a particular city is reported from a specific automated weather station. The table 

below lists the cities and their corresponding weather stations:

Listing Cities and Corresponding Automated Weather Stations

Atlanta Hartsfield International Airport (WBAN 13874)

Baltimore/Washington International Airport (WBAN 93721)

Boston Logan International Airport (WBAN 14739)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Colorado Springs Municipal Airport (WBAN 93037)

Dallas-Fort Worth International Airport (WBAN 03927)

Des Moines International Airport (WBAN 14933)

Detroit Metro Airport (WBAN 94847)

Houston Bush Intercontinental Airport (WBAN 12960)

Jacksonville International Airport (WBAN 13889)

Kansas City International Airport (WBAN 03947)

Las Vegas McCarran International Airport (WBAN 23169)

Little Rock Adams Field (WBAN 13963)

Los Angeles Downtown USC Campus (WBAN 93134)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Raleigh/Durham International Airport (WBAN 13722)

Sacramento Executive Airport (WBAN 23232)

Salt Lake City International Airport (WBAN 24127)

Tucson International Airport (WBAN 23160)

Washington/Reagan National Airport (WBAN 13743)
5

40302. TRADING SPECIFICATIONS

40302.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange.

40302.B. Trading Unit 

The size of the unit of trading shall be $20 times the respective CME Degree Days Index.

40302.C. Price Increments 

The minimum price fluctuation on the respective CME Degree Days Index futures shall be 1 index point 

and have a value of $20.

40302.D. 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.

40302.E. [Reserved]

40302.F. [Reserved]

40302.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the second Exchange Business Day after the futures 

contract month.

40302.H. [Reserved]

40302.I [Reserved]

40303. SETTLEMENT PROCEDURES

40303.A. Final Settlement Price 

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME Degree Days Index reported by MDA Information Systems, Inc. for that city for that contract 

month, using the methodology in effect on that date, on the second Exchange Business Day after the 

futures contract month. For example, on January 5, 1999, the December 1998 futures contract on the 

CME Chicago HDD Index would have been settled at 940.5 Heating Degree Days.

40303.B. Final Settlement

Clearing members holding open positions in a CME Degree Days Index futures contract at the 

termination of trading in that contract shall make payment to or receive payment from the Clearing 

House in accordance with normal variation performance bond procedures based on a settlement price 

equal to the final settlement price.

40304. [RESERVED]

40305. - 06.[RESERVED]

(End Chapter 403)

INTERPRETATIONS AND SPECIAL NOTICES

RELATING TO CHAPTER 403 

LIMITATION OF LIABILITY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “Earth Sat”) 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. 

MDA 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. MDA 

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 MDA have 

any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the 
6

possibility of such damages.

Chapter 405

CME Seasonal Strip Degree Days Index Futures

40500. SCOPE OF CHAPTER

This chapter is limited in application to CME Seasonal Strip Degree Days Index futures: the CME 

Seasonal Strip Heating-Degree-Days (CME SSHDD) Index and the CME Seasonal Strip CoolingDegree-Days (CME SSCDD) Index. In addition to this chapter, 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.

40501. CONTRACT SPECIFICATIONS 

1. Heating Degree Days and Cooling Degree Days 

The daily average temperature is defined as the arithmetic average of the maximum and minimum 

temperature recorded between midnight and 11:59p .m. as reported by MDA Information Systems, Inc.. 

For each day, Heating-Degree-Days (HDD) is the greater of (1) zero, (2) 65 degrees Fahrenheit minus 

the daily average temperature.

For each day, Cooling-Degree-Days (CDD) is the greater of (1) zero, (2) the daily average temperature 

minus 65 degrees Fahrenheit.

2. The CME Seasonal Strip Degree Days Indexes and Listing Cities 

Each particular CME Seasonal Strip Cooling-Degree Days index is the accumulation of like Degree 

Days over a minimum of two, and a maximum of seven, consecutive calendar months. For CME 

SSCDD a seasonal strip involving Cooling Degree Days, the first calendar month in the strip may be 

April or later, and the last calendar month in the strip may be October or earlier. For a seasonal strip 

involving Heating Degree Days, the first calendar month in the strip may be October or later, and the 

last calendar month in the strip may be April or earlier. A separate futures contract shall be listed for 

each strip. The accumulation period of each CME SSHDD or CME SSCDD begins with the first 

calendar day of the first month of the strip, and ends with the last calendar day of the last month of the 

defined strip. 

The temperature for a particular city is reported from a specific automated weather station. The table 

below lists the cities and their corresponding weather stations: 

Listing Cities and Corresponding Automated Weather Stations 

Atlanta Hartsfield International Airport (WBAN 13874) 

Baltimore/Washington International Airport (WBAN 93721)

Boston Logan International Airport (WBAN 14739)

Chicago O’Hare International Airport (WBAN 94846)

Cincinnati-Northern Kentucky ( Covington) Airport (WBAN 93814)

Colorado Springs Municipal Airport (WBAN 93037)

Dallas – Ft. Worth International Airport (WBAN 03927)

Des Moines International Airport (WBAN 14933) 

Detroit Metro Airport (WBAN 94847)

Houston Bush Intercontinental Airport (WBAN 12960)

Jacksonville International Airport (WBAN 13889)

Kansas City International Airport (WBAN 03947)

Las Vegas McCarran International Airport (WBAN 23169)

Little Rock Adams Field (WBAN 13963)

Los Angeles Downtown USC Campus (WBAN 93134)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Raleigh/Durham International Airport (WBAN 13722)

Sacramento Executive Airport (WBAN 23232) 
7

Salt Lake City International Airport (WBAN 24127)

Tucson International Airport (WBAN 23160)

Washington/Reagan National Airport (WBAN 13743)

40502. TRADING SPECIFICATIONS

40502.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange. 

40502.B. Trading Unit 

The size of the unit of trading shall be $20 times the respective CME Seasonal Strip Degree Days 

Index.

40502.C. Price Increments 

The minimum price fluctuation on the CME Seasonal Strip Degree Days Index futures shall be 1 index 

point and have a value of $20.

40502.D. 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.

40502.E. [Reserved]

40502.F. [Reserved]

40502.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the second Exchange Business Day after the last 

calendar day of the last month of the defined strip.

40502.H. [Reserved]

40502.I. [Reserved]

40503. SETTLEMENT PROCEDURES 

40503.A. Final Settlement Price 

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME Seasonal Strip Degree Days Index reported by MDA Information Systems, Inc. for that city for that 

contract period, using the methodology in effect on that date, on the second Exchange Business Day 

after the last calendar day of the last month of the defined strip. For example, on April 3, 2001, the 

November 2000 - March 2001 futures contract on the CME Chicago Nov-Mar ’01 SSHDD Index would 

have been settled at 5660.0 Heating Degree Days.

40503.B. Final Settlement

Clearing members holding open positions in a CME Seasonal Strip Degree Days Index futures contract 

at the termination of trading in that contract shall make payment to or receive payment from the 

Clearing House in accordance with normal variation performance bond procedures based on a 

settlement price equal to the final settlement price. 

40504. [RESERVED]

40505 - 06 [RESERVED]

(End Chapter 405)

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 405

LIMITATION OF LIABILTY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “EarthSat”) grants the Exchange the rights to use various data 
8

(“Data”) in connection with the trading of futures contracts and options on futures contracts based upon such 

Data. MDA 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. MDA 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 MDA have any liability for any special, punitive, indirect, or consequential damages 

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

Chapter 406

CME European HDD Index Futures

40600. SCOPE OF CHAPTER

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

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.

40601. CONTRACT SPECIFICATIONS

1. Heating Degree Days (HDD) 

The daily average temperature is defined as the arithmetic average of the maximum temperature 

(Tmax) and minimum temperature (Tmin), measured at the following times for each location, as 

reported by MDA Information Systems, Inc.

• Amsterdam-Schiphol, Netherlands (WMO 06240): Between 0000 and 2359 UTC the current 

day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Barcelona Prat De Llobregat Aeropuerto, Spain (WMO 08181): Between 0000 and 2359 UTC 

the current day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Berlin-Tempelhof, Germany (WMO 10384): Between 2351 UTC the previous day and 2350 

UTC the current day for Tmax, and between 2351 UTC the previous day and 2350 UTC the 

current day for Tmin

• Essen, Germany (WMO 10410): Between 2351 UTC the previous day and 2350 UTC the 

current day for Tmax, and between 2351 UTC the previous day and 2350 UTC the current day 

for Tmin

• London-Heathrow, United Kingdom (WMO 03772): Between 0900 UTC the current day and 

0859 UTC the following day for Tmax, and between 0900 UTC the previous day and 0859 

UTC the current day for Tmin

• Madrid Barajas Aeropuerto, Spain (WMO 08221): Between 0000 and 2359 UTC the current 

day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Oslo-Blindern, Norway (WMO 01492): Between 1800 UTC the previous day and 1759 UTC the 

current day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current day 

for Tmin.1

• Paris-Orly, France (WMO 07149): Between 0600 UTC the current day and 0559 UTC the 

following day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current 

day for Tmin

• Rome Ciampino, Italy, (WMO 16239): Between 0000 and 2359 UTC the current day for Tmax, 

and between 0000 and 2359 UTC the current day for Tmin

• Stockholm-Observatoriet, Sweden (WMO 02485): Between 1800 UTC the previous day and 

 
9

1759 UTC the current day for Tmax, and between 1800 UTC the previous day and 1759 UTC 

the current day for Tmin

• Prague, Ruzyne Czech Republic (WMO 11518): Between 2100 UTC the previous day and 

2059 UTC the current day for Tmax, and between 2100 UTC the previous day and 2059 UTC 

the current day for Tmin

For each day, HDD is the greater of (1) zero, (2) 18 degrees Celsius (“C”) minus the daily average 

temperature.

2. The CME European HDD Indexes 

Each particular CME European HDD Index is the accumulation of like Degree Days over a calendar 

month. The accumulation period of each CME European HDD Index futures contract begins with the 

first calendar day of the contract month and ends with the last calendar day of the contract month.

40602. TRADING SPECIFICATIONS

40602.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange.

40602.B. Trading Unit

The size of the unit of trading shall be 20 British pounds (pounds sterling) for London-Heathrow, or 20 

Euros (€) for all other locations, times the respective CME European HDD Index.

40602.C. Price Increments 

The minimum price fluctuation of the respective CME European HDD Index futures shall be 1 index 

point and have a value of 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros (€) for 

all other locations.

40602.D. 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.

40602.E. [Reserved]

40602.F. [Reserved]

40602.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the fifth Exchange Business Day after the futures 

contract month.

40602.H. [Reserved]

40602.I. [Reserved]

40603. SETTLEMENT PROCEDURES

40603.A. Final Settlement Price

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME European HDD Index reported by MDA Information Systems, Inc. for that city for that contract 

month, using the methodology in effect on that date, on the fifth Exchange Business Day after the 

futures contract month. For example, on January 8, 2003, the December 2002 futures contract on the 

CME Amsterdam-Schiphol European HDD Index would have been settled at 468.60 Heating Degree 

Days.

40603.B. Final Settlement

Clearing members holding open positions in a CME European HDD Index futures contract at the 

termination of trading in that contract shall make payment to or receive payment from the Clearing 

House in accordance with normal variation performance bond procedures based on a settlement price 

equal to the final settlement price.

40604. [RESERVED]
10

40605.-06. [RESERVED]

(End Chapter 406)

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 406

LIMITATION OF LIABILITY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “EarthSat”) 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. MDA 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. MDA 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 MDA have any liability for 

any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the 

possibility of such damages.

Chapter 407

CME European Seasonal Strip HDD Index Futures

40700. SCOPE OF CHAPTER

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

this chapter, 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.

40701. CONTRACT SPECIFICATIONS

1. Heating Degree Days (HDD) 

The daily average temperature is defined as the arithmetic average of the maximum temperature 

(Tmax) and minimum temperature (Tmin), measured at the following times for each location, as 

reported by MDA Information Systems, Inc. 

• Amsterdam-Schiphol, Netherlands (WMO 06240): Between 0000 and 2359 UTC the current day for 

Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Barcelona Prat De Llobregat Aeropuerto, Spain (WMO 08181): Between 0000 and 2359 UTC the 

current day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Berlin-Tempelhof, Germany (WMO 10384): Between 2351 UTC the previous day and 2350 UTC 

the current day for Tmax, and between 2351 UTC the previous day and 2350 UTC the current day 

for Tmin

• Essen, Germany (WMO 10410): Between 2351 UTC the previous day and 2350 UTC the current 

day for Tmax, and between 2351 UTC the previous day and 2350 UTC the current day for Tmin

• London-Heathrow, United Kingdom (WMO 03772): Between 0900 UTC the current day and 0859 

UTC the following day for Tmax, and between 0900 UTC the previous day and 0859 UTC the 

current day for Tmin

• Madrid Barajas Aeropuerto, Spain (WMO 08221): Between 0000 and 2359 UTC the current day for 

Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Oslo-Blindern, Norway (WMO 01492): Between 0600 UTC the current day and 0559 UTC the 

current day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current day for 

Tmin.

• Paris-Orly, France (WMO 07149): Between 0600 UTC the current day and 0559 UTC the following 
11

day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current day for Tmin

• Rome Ciampino, Italy (WMO 16239): Between 0000 and 2359 UTC the current day for Tmax, and 

between 0000 and 2359 UTC the current day for Tmin

• Stockholm-Observatoriet, Sweden (WMO 02485): Between 1800 UTC the previous day and 1759 

UTC the current day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current 

day for Tmin

• Prague, Ruzyne Czech Republic (WMO 11518): Between 2100 UTC the previous day and 2059 

UTC the current day for Tmax, and between 2100 UTC the previous day and 2059 UTC the 

current day for Tmin

For each day, HDD is the greater of (1) zero, (2) 18 degrees Celsius (“C”) minus the daily average 

temperature.

2. The CME European Seasonal Strip HDD Indexes 

Each particular CME European Seasonal Strip HDD index is the accumulation of like Degree Days over 

a minimum of two, and a maximum of seven, consecutive calendar months. For a Heating Degree Days 

seasonal strip, the first calendar month in the strip may be October or later, and the last calendar month 

in the strip may be April or earlier. A separate futures contract shall be listed for each strip. The 

accumulation period of each CME European Seasonal Strip HDD begins with the first calendar day of 

the first month of the strip and ends with the last calendar day of the last month in the defined strip. 

40702. TRADING SPECIFICATIONS

40702.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange. 

40702.B. Trading Unit

The size of the unit of trading shall be 20 British pounds (pounds sterling) for London-Heathrow, or 20 

Euros (€) for all other locations, times the respective CME European Seasonal Strip HDD Index. 

40702.C. Price Increments

The minimum price fluctuation on the CME European Seasonal Strip HDD Index futures shall be 1 

index point and have a value of 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros 

(€) for all other locations. 

40702.D. 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.

40702.E. [Reserved]

40702.F. [Reserved]

40702.G. Termination of Trading 

Futures trading shall terminate at 9:00 a.m. on the fifth Exchange Business Day after the last calendar 

day of the last month of the defined strip.

40702.H. [Reserved]

40702. I. [Reserved]

40703. SETTLEMENT PROCEDURES

40703.A. Final Settlement Price

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME European Seasonal Strip HDD Index reported by MDA Information Systems, Inc. for that city for 

that contract period, using the methodology in effect on that date, on the fifth Exchange Business Day 

after the last calendar day of the last month of the defined strip. For example, on April 7, 2003, the 

November 2002 - March 2003 futures contract on the CME Amsterdam-Schiphol Nov ’02 – Mar ’03 

European Seasonal Strip HDD Index would have been settled at 1994.90 Heating Degree Days.
12

40703.B. Final Settlement

Clearing members holding open positions in a CME European Seasonal Strip HDD Index futures 

contract at the termination of trading in that contract shall make payment to or receive payment from the 

Clearing House in accordance with normal variation performance bond procedures based on a 

settlement price equal to the final settlement price. 

40704. [RESERVED]

40705.-06. [RESERVED]

(End Chapter 407) 

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 407

 LIMITATION OF LIABILITY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “EarthSat”) 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. MDA 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. MDA 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 MDA have any liability for any special, punitive, indirect, or consequential damages 

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

Chapter 408

CME European CAT Index Futures

40800. SCOPE OF CHAPTER

This chapter is limited in application to CME European CAT Index futures. In addition to this chapter, 

CME European CAT 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.

40801. CONTRACT SPECIFICATIONS

1. Cumulative Average Temperature (CAT) 

The daily average temperature is defined as the arithmetic average of the maximum temperature 

(Tmax) and minimum temperature (Tmin), measured at the following times for each location, as 

reported by MDA Information Systems, Inc.

• Amsterdam-Schiphol, Netherlands (WMO 06240): Between 0000 and 2359 UTC the current 

day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Barcelona Prat De Llobregat Aeropuerto, Spain (WMO 08181): Between 0000 and 2359 UTC 

the current day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Berlin-Tempelhof, Germany (WMO 10384): Between 2351 UTC the previous day and 2350 

UTC the current day for Tmax, and between 2351 UTC the previous day and 2350 UTC the 

current day for Tmin

• Essen, Germany (WMO 10410): Between 2351 UTC the previous day and 2350 UTC the 

current day for Tmax, and between 2351 UTC the previous day and 2350 UTC the current day 

for Tmin

• London-Heathrow, United Kingdom (WMO 03772): Between 0900 UTC the current day and 

0859 UTC the following day for Tmax, and between 0900 UTC the previous day and 0859 

UTC the current day for Tmin
13

• Madrid Barajas Aeropuerto, Spain (WMO 08221): Between 0000 and 2359 UTC the current 

day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Oslo-Blindern, Norway (WMO 01492): Between 1800 UTC the previous day and 1759 UTC the 

current day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current day 

for Tmin

• Paris-Orly, France (WMO 07149): Between 0600 UTC the current day and 0559 UTC the 

following day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current 

day for Tmin

• Rome Ciampino, Italy, (WMO 16239): Between 0000 and 2359 UTC the current day for Tmax, 

and between 0000 and 2359 UTC the current day for Tmin

• Stockholm-Observatoriet, Sweden (WMO 02485): Between 1800 UTC the previous day and 

1759 UTC the current day for Tmax, and between 1800 UTC the previous day and 1759 UTC 

the current day for Tmin

• Prague, Ruzyne Czech Republic (WMO 11518): Between 2100 UTC the previous day and 

2059 UTC the current day for Tmax, and between 2100 UTC the previous day and 2059 UTC 

the current day for Tmin

2. The CME European CAT Indexes 

Each particular CME European CAT Index is the accumulation of like daily average temperatures over a 

calendar month. The accumulation period of each CME European CAT Index futures contract begins 

with the first calendar day of the contract month and ends with the last calendar day of the contract 

month.

40802. TRADING SPECIFICATIONS

40802.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange.

40802.B. Trading Unit

The size of the unit of trading shall be 20 British pounds (pounds sterling) for London-Heathrow, or 20 

Euros (€) for all other locations, times the respective CME European CAT Index.

40802.C. Price Increments 

The minimum price fluctuation of the respective CME European CAT Index futures shall be 1 index 

point and have a value of 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros (€) for 

all other locations.

40802.D. 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.

40802.E. [Reserved]

40802.F. [Reserved]

40802.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the fifth Exchange Business Day after the futures 

contract month.

40802.H. [Reserved]

40802.I. [Reserved]

40803. SETTLEMENT PROCEDURES

40803.A. Final Settlement Price
14

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME European CAT Index reported by MDA Information Systems, Inc. for that city for that contract 

month, using the methodology in effect on that date, on the fifth Exchange Business Day after the 

futures contract month. For example, on July 8, 2003, the June 2003 futures contract on the CME 

Amsterdam-Schiphol European CAT Index would have been settled at 507.65 Degrees.

40803.B. Final Settlement

Clearing members holding open positions in a CME European CAT Index futures contract at the 

termination of trading in that contract shall make payment to or receive payment from the Clearing 

House in accordance with normal variation performance bond procedures based on a settlement price 

equal to the final settlement price.

40804. [RESERVED]

40805.-06. [RESERVED]

(End Chapter 408)

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 408

LIMITATION OF LIABILITY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “EarthSat”) 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. MDA 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. MDA 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 MDA have any liability for any special, punitive, indirect, or consequential damages 

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

Chapter 409

CME European Seasonal CAT Strip Index Futures

40900. SCOPE OF CHAPTER

This chapter is limited in application to CME European Seasonal Strip CAT Index futures. In addition to 

this chapter, CME European Seasonal CAT Strip 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.

40901. CONTRACT SPECIFICATIONS

1. Cumulative Average Temperature (CAT) 

The daily average temperature is defined as the arithmetic average of the maximum temperature 

(Tmax) and minimum temperature (Tmin), measured at the following times for each location, as 

reported by MDA Information Systems, Inc. 

• Amsterdam-Schiphol, Netherlands (WMO 06240): Between 0000 and 2359 UTC the current 

day for Tmax, and between 0000 and 2359 UTC the current day for Tmin 

• Barcelona Prat De Llobregat Aeropuerto, Spain (WMO 08181): Between 0000 and 2359 UTC 

the current day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Berlin-Tempelhof, Germany (WMO 10384): Between 2351 UTC the previous day and 2350 

UTC the current day for Tmax, and between 2351 UTC the previous day and 2350 UTC the 

current day for Tmin 

• Essen, Germany (WMO 10410): Between 2351 UTC the previous day and 2350 UTC the 

current day for Tmax, and between 2351 UTC the previous day and 2350 UTC the current day 

for Tmin 
15

• London-Heathrow, United Kingdom (WMO 03772): Between 0900 UTC the current day and 

0859 UTC the following day for Tmax, and between 0900 UTC the previous day and 0859 

UTC the current day for Tmin 

• Madrid Barajas Aeropuerto, Spain (WMO 08221): Between 0000 and 2359 UTC the current 

day for Tmax, and between 0000 and 2359 UTC the current day for Tmin

• Oslo-Blindern, Norway (WMO 01492): Between 1800 UTC the previous day and 1759 UTC the 

current day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current day 

for Tmin

• Paris-Orly, France (WMO 07149): Between 0600 UTC the current day and 0559 UTC the 

following day for Tmax, and between 1800 UTC the previous day and 1759 UTC the current 

day for Tmin 

• Rome Ciampino, Italy (WMO 16239): Between 0000 and 2359 UTC the current day for Tmax, 

and between 0000 and 2359 UTC the current day for Tmin

• Stockholm-Observatoriet, Sweden (WMO 02485): Between 1800 UTC the previous day and 

1759 UTC the current day for Tmax, and between 1800 UTC the previous day and 1759 UTC 

the current day for Tmin

• Prague, Ruzyne Czech Republic (WMO 11518): Between 2100 UTC the previous day and 

2059 UTC the current day for Tmax, and between 2100 UTC the previous day and 2059 UTC 

the current day for Tmin

2. The CME European Seasonal Strip CAT Indexes 

Each particular CME European Seasonal Strip CAT index is the accumulation of like daily average 

temperatures over a minimum of two, and a maximum of seven, consecutive calendar months. For a 

seasonal strip involving a CAT, the first calendar month in the strip may be April or later, and the last 

calendar month in the strip may be October or earlier. A separate futures contract shall be listed for 

each strip. The accumulation period of each CME European Seasonal Strip CAT Index begins with the 

first calendar day of the first month of the strip, and ends with the last calendar day of the last month of 

the strip. 

40902. TRADING SPECIFICATIONS

40902.A. Trading Schedule

Futures contracts shall be scheduled for trading and delivery during such hours in such months as may 

be determined by the Exchange. 

40902.B. Trading Unit

The size of the unit of trading shall be 20 British pounds (pounds sterling) for London-Heathrow, or 20 

Euros (€) for all other locations, times the respective CME European Seasonal Strip CAT Index. 

40902.C. Price Increments

The minimum price fluctuation on the CME European Seasonal Strip CAT Index futures shall be 1 index 

point and have a value of 20 British pounds (pounds sterling) for London-Heathrow, or 20 Euros (€) for 

all other locations. 

40902.D. 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.

40902.E. [Reserved]

40902.F. [Reserved]

40902.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the fifth Exchange Business Day after the last calendar 

day of the last month of the defined strip.

40902.H. [Reserved]

40902.I. [Reserved]

40903. SETTLEMENT PROCEDURES
16

40903.A. Final Settlement Price

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME European Seasonal Strip CAT Index reported by MDA Information Systems, Inc. for that city for 

that contract period, using the methodology in effect on that date, on the fifth Exchange Business Day 

after the last calendar day of the last month of the defined strip. For example, on October 7, 2002, the 

May 2002 - September 2002 futures contract on the CME Amsterdam-Schiphol May – September ’02 

European Seasonal Strip CAT Index would have been settled at 2481.10 Degrees.

40903.B. Final Settlement

Clearing members holding open positions in a CME European Seasonal Strip CAT Index futures 

contract at the termination of trading in that contract shall make payment to or receive payment from the 

Clearing House in accordance with normal variation performance bond procedures based on a 

settlement price equal to the final settlement price. 

40904. [RESERVED]

40905.-06. [RESERVED]

(End Chapter 409) 

INTERPRETATIONS & SPECIAL NOTICES 

RELATING TO CHAPTER 409

LIMITATION OF LIABILITY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “EarthSat”) 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. 

MDA 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. MDA 

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 MDA have 

any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the 

possibility of such damages.

Chapter 424

CME Weekly Average Temperature Index Futures

42400. SCOPE OF CHAPTER

This chapter is limited in application to CME Weekly Average Temperature Index futures. In addition to 

this chapter, CME Weekly Average Temperature 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.

42401. CONTRACT SPECIFICATIONS

The daily average temperature is defined as the arithmetic average of the maximum temperature 

(Tmax) and minimum temperature (Tmin) recorded between midnight and 11:59 p.m. as reported by 

MDA Information Systems, Inc. 

Each particular CME Weekly Average Temperature Index is the arithmetic average of daily average 

temperatures over a 5-weekday period. The accumulation period of each CME Weekly Average 

Temperature Index futures contract begins with Monday and ends with Friday of the same calendar 

week.

The temperature for a particular city is reported from a specific automated weather station. The table 

below lists the cities and their corresponding weather stations: 

Listing Cities and Corresponding Automated Weather Stations 

Atlanta Hartsfield International Airport (WBAN 13874)

Baltimore/Washington International Airport (WBAN 93721)
17

Boston Logan International Airport (WBAN 14739)

Chicago O'Hare International Airport (WBAN 94846)

Cincinnati Northern Kentucky (Covington) Airport (WBAN 93814)

Colorado-Springs Municipal Airport (WBAN 93097)

Dallas-Fort Worth International Airport (WBAN 03927)

Des Moines International Airport (WBAN 14933)

Detroit Metro Airport (WBAN 94847)

Houston Bush Intercontinental Airport (WBAN 12960)

Jacksonville International Airport (WBAN 13889)

Kansas City International Airport (WBAN 03947)

Las Vegas McCarran International Airport (WBAN 23169)

Little Rock Adams Field (WBAN 13963)

Los Angeles Downtown USC Campus (WBAN 93134)

Minneapolis-St. Paul International Airport (WBAN 14922)

New York La Guardia Airport (WBAN 14732)

Philadelphia International Airport (WBAN 13739)

Portland International Airport (WBAN 24229)

Raleigh/Durham International Airport (WBAN 13722)

Sacramento Executive Airport (WBAN 23232)

Salt Lake City International Airport (WBAN 24127)

Tucson International Airport (WBAN 23160)

Washington/Reagan National Airport (WBAN 13743)

42402. TRADING SPECIFICATIONS

42402.A. Trading Schedule

Futures contracts shall be scheduled for trading during such hours in such defined weeks as may be 

determined by the Exchange. 

42402.B. Trading Unit

The size of the unit of trading shall be $100 times the respective CME Weekly Average Temperature 

Index.

42402.C. Price Increments

The minimum price fluctuation on the respective CME Weekly Average Temperature Index futures shall 

be 0.1 (one-tenth) index points and have a value of $10.

42402.D. 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.

42402.E. [Reserved]

42402.F. [Reserved]

42402.G. Termination of Trading

Futures trading shall terminate at 9:00 a.m. on the second Exchange Business Day after the Friday of 

the defined week.

42402.H. [Reserved]

42402. I. [Reserved]

42403. SETTLEMENT PROCEDURES

42403.A. Final Settlement Price

All futures contracts remaining open at the termination of trading shall be settled using the respective 

CME Weekly Average Temperature Index reported by MDA Information Systems, Inc. for that city for 
18

that defined week, using the methodology in effect on that date, on the second Exchange Business Day 

after the Friday of the defined week. For example, on August 15, 2006, the August 11, 2006 futures 

contract on the Chicago CME Weekly Average Temperature Index would have been settled at 75.6 

Degrees.

42403.B. Final Settlement

Clearing members holding open positions in a CME Weekly Average Temperature Index futures 

contract at the termination of trading in that contract shall make payment to or receive payment from the 

Clearing House in accordance with normal variation performance bond procedures based on a 

settlement price equal to the final settlement price. 

42404. [RESERVED]

42405.-06. [RESERVED]

INTERPRETATIONS AND SPECIAL NOTICES

RELATING TO CHAPTER 424

LIMITATION OF LIABILITY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “EarthSat”) 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. 

MDA 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. MDA 

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 MDA have 

any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the 

possibility of such damages. 

Chapter 424A

Options on CME Weekly Average Temperature Index Futures

424A00. SCOPE OF CHAPTER

This chapter is limited in application to options on CME Weekly Average Temperature Index futures. In 

addition to this chapter, options on CME Weekly Average Temperature 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.

424A01. OPTIONS CHARACTERISTICS

424A01.A. Contracts and Trading Hours

Options contracts shall be listed for such defined weeks and scheduled for trading during such hours as 

may be determined by the Exchange. 

424A01.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 Weekly Average Temperature Index futures contract as specified in Chapter 424. 

424A01.C. Minimum Fluctuations

The price of an option shall be quoted in terms of the respective CME Weekly Average Temperature 

Index. Each index point represents $100. For example, a quote of 2 index points represents $200. The 

minimum fluctuation shall be 0.1 (one-tenth) index point (also known as one tick), equal to $10. 

424A01.D. [Reserved]

424A01.E. Exercise Prices

Exercise prices shall be stated in terms of the respective CME Weekly Average Temperature Index 

futures contract. Eligible exercise prices shall also be at intervals of 1 index point (e.g., 71, 72, 73, etc.). 

At the commencement of option trading in a contract, the eligible put and call options are at intervals of 
19

1 index point in a range of 20 index points above and below the final settlement value for the most 

recent expiration of the respective CME Weekly Average Temperature Index futures contract. 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.

424A01.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.

424A01.G. [Reserved]

424A01.H. [Reserved]

424A01.I. Termination of Trading

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

424A01.J. [Reserved]

424A02. EXERCISE AND ASSIGNMENT

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

exercise of the CME Weekly Average Temperature Index options. 

424A02.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 

7:00 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 7:00 p.m. on the day of expiration 

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

424A02.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. 

424A03. [RESERVED]

(End Chapter 424A)

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 424A

LIMITATION OF LIABILITY AND DISCLAIMER

MDA Information Systems, Inc. (“MDA”, formerly “EarthSat”) 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. 

MDA 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. MDA 

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 MDA have 
20

any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the 

possibility of such damages.