TT Impact – January 25th Change to Minimum Price Increment for ICE 3 Month Sterling Interest Rate Futures
Effective January 25th, ICE will make a change to the minimum price increment for the Three Month Sterling Interest Rate Futures contract. As a result, the first quarterly delivery month (which will be Mar16 on the effective date), and any spread, butterfly or condor strategy which includes the first quarterly delivery month as one of its legs, will have a Minimum Price Movement (MPM) of 0.005 (£6.25).
Implied pricing and matching will be disabled for all of the above strategies which include the first quarterly delivery month. This change will be deployed to production during the maintenance period on Friday, January 22, 2016 with the effective date being Monday, January 25, 2016.
For further information, please see the exchange circular.
X_TRADER versions prior to XT 188.8.131.52 with the “Calculated Implieds” setting enabled, may display incorrect Implied prices on the front month Sterling contract. To correct this issue, users have the following options:
Should you have any questions, please contact your local Technical Account manager (TAM).
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