Our Company
Founding Partners
The ELX Advantage
Management Team
Getting Started on ELX
Approved Participants
Careers
Trading Platform
Application Integration
Connectivity
ISV Program
Eurodollar Futures
2 Year Notes
5 Year Notes
10 Year Notes
30 Year Bonds
Ultra Long Bonds
September 2010
December 2010
Reports & Timetable
OCC Notices
Contract Specifications
Conversion Factors
Delivery Process
Regulatory
Margin Notices
General
Eurodollar Futures
Interest Rates
Rules & Regulations
Margin Rates
Notices to Participants
Trading Hours
Fee Schedule
Block Trades
Settlement Prices
Quote Vendor Codes
Market Data Reports
Billing
Clearing
Market Data
Risk Management
General
Trading & Clearing
Technology
Market Data
Home
About ELX
Technology
Products
Services
FAQ
Contact ELX
Products
Eurodollar Futures
Interest Rates
Rules & Regulations
Margin Rates
Notices to Participants
Trading Hours
Fee Schedule
Block Trades
Settlement Prices
Quote Vendor Codes
Search:
Margin Rates
Click here for Margin Rate PDF
Effective Close of Business September 2, 2010
Spread
Type
Priority Spread #
Position
Rate
Period / Ratio
Outright
N/A
2 Year Treasury Note (ZTE)
$600
N/A
Outright
N/A
5 Year Treasury Note (ZFE)
$800
N/A
Outright
N/A
10 Year Treasury Note (ZNE)
$1,400
N/A
Outright
N/A
U.S. Treasury Bond (ZBE)
$2,500
N/A
Outright
N/A
Ultra Long Bond (ZUE)
$3,500
N/A
Outright
N/A
Eurodollar (GEE)
$650
Mo. 01-08
Outright
N/A
Eurodollar (GEE)
$750
Mo. 09-12
Intra
1
Eurodollar (GEE) - All Months GEE Double Butterfly
50
Mo.05
Intra
2
Eurodollar (GEE) - All Months GEE Double Butterfly
0
Mo.04
Intra
3
Eurodollar (GEE) - All Months GEE Double Butterfly
0
Mo.03
Intra
4
Eurodollar (GEE) - 3 Month Double Butterfly
200
Mo.02
Intra
5
Eurodollar (GEE) - 3 Month Double Butterfly
300
Mo.01
Intra
6
Eurodollar (GEE) - All Months GEE Double Butterfly
0
Mo.02
Intra
7
Eurodollar (GEE) - All Months GEE Double Butterfly
150
Mo.01
Intra
8
Eurodollar (GEE) - All Months GEE Double Condor
0
Mo.4
Intra
9
Eurodollar (GEE) - All Months GEE Double Condor
0
Mo.2
Intra
10
Eurodollar (GEE) - All Months GEE Double Condor
0
Mo.3
Intra
11
Eurodollar (GEE) - All Months GEE Double Condor
150
Mo.1
Intra
12
Eurodollar (GEE) - All Months Condor
50
Mo. 05
Intra
13
Eurodollar (GEE) - All Months Butterfly
75
Mo. 05
Intra
14
Eurodollar (GEE) - All Months Butterfly
50
Mo. 06
Intra
15
Eurodollar (GEE) - All Months Butterfly
0
Mo. 04
Intra
16
Eurodollar (GEE) - All Months Condor
0
Mo. 04
Intra
17
Eurodollar (GEE) - 3 Month Butterfly
150
Mo. 04
Intra
18
Eurodollar (GEE) - 3 Month Butterfly
200
Mo. 03
Intra
19
Eurodollar (GEE) - All Months Butterfly
0
Mo. 03
Intra
20
Eurodollar (GEE) - All Months Condor
150
Mo. 02
Intra
21
Eurodollar (GEE) - 6 Month Butterfly
300
Mo. 02
Intra
22
Eurodollar (GEE) - All Months Condor
150
Mo. 03
Intra
23
Eurodollar (GEE) - All Months Butterfly
100
Mo. 02
Intra
24
Eurodollar (GEE) - 3 Month Butterfly
200
Mo. 02
Intra
25
Eurodollar (GEE) - 3 Month Butterfly
250
Mo. 01
Intra
26
Eurodollar (GEE) - All Months Butterfly
200
Mo. 01
Intra
27
Eurodollar (GEE) - All Months Condor
200
Mo. 01
Intra
28
Eurodollar (GEE) - 3 Month Condor
300
Mo. 01
Intra
29
Eurodollar (GEE) - 3 Month Condor
300
Mo. 02
Intra
30
Eurodollar (GEE) - 6 Month Butterfly
350
Mo. 01
Intra
31
Eurodollar (GEE) - All Months Consecutive Spread
75
Mo. 09-10
Intra
32
Eurodollar (GEE) - All Months Consecutive Spread
75
Mo. 10-11
Intra
33
Eurodollar (GEE) - All Months Consecutive Spread
75
Mo. 11-12
Intra
34
Eurodollar (GEE) - All Months Consecutive Spread
0
Mo. 08-09
Intra
35
Eurodollar (GEE) - All Months Consecutive Spread
200
Mo. 01-02
Intra
36
Eurodollar (GEE) - All Months Consecutive Spread
200
Mo. 02-03
Intra
37
Eurodollar (GEE) - All Months Consecutive Spread
200
Mo. 03-04
Intra
38
Eurodollar (GEE) - All Months Consecutive Spread
200
Mo. 04-05
Intra
39
Eurodollar (GEE) - All Months Consecutive Spread
200
Mo. 05-06
Intra
40
Eurodollar (GEE) - All Months Consecutive Spread
200
Mo. 06-07
Intra
41
Eurodollar (GEE) - All Months Consecutive Spread
200
Mo. 07-08
Intra
43
Eurodollar (GEE) - Tier 3 vs. Tier 3
150
Mo. 09-12 vs. Mo. 09-12
Intra
44
Eurodollar (GEE) - Tier 2 vs. Tier 3
375
Mo. 05-08 vs. Mo. 09-12
Intra
45
Eurodollar (GEE) - Tier 1 vs. Tier 1
100
Mo. 01-04 vs. Mo. 01-04
Intra
46
Eurodollar (GEE) - Tier 1 vs. Tier 2
200
Mo. 01-04 vs. Mo. 05-08
Intra
47
Eurodollar (GEE) - Tier 1 vs. Tier 3
350
Mo. 01-04 vs. Mo. 09-12
Intra
48
Eurodollar (GEE) - Tier 2 vs. Tier 2
175
Mo. 05-08 vs. Mo. 05-08
Intra
1
Treasury Bond (ZBE)
125
N/A
Intra
1
5 Year Treasury Note (ZFE)
150
N/A
Intra
1
10 Year Treasury Note (ZNE)
150
N/A
Intra
1
2 Year Treasury Note (ZTE)
150
N/A
Intra
1
Ultra Long Bond (ZUE)
125
N/A
Inter - Scan
1
Ultra Long Bond (ZUE) vs U.S. Treasury Bond (ZBE) vs
10 Year Treasury Note (ZNE) vs 5 Year Treasury Note (ZFE)
70%
2:2:3:5
Inter
2
10 Year Treasury Note (ZNE) vs Eurodollar (GEE) Tier 1
85%
2:5
Inter
3
10 Year Treasury Note (ZNE) vs Eurodollar (GEE) Tier 2
85%
2:5
Inter
4
10 Year Treasury Note (ZNE) vs Eurodollar (GEE) Tier 3
85%
2:5
Inter
5
U.S. Treasury Bond (ZBE) vs Eurodollar (GEE) Tier 1
85%
1:5
Inter
6
U.S. Treasury Bond (ZBE) vs Eurodollar (GEE) Tier 2
85%
1:5
Inter
7
U.S. Treasury Bond (ZBE) vs Eurodollar (GEE) Tier 3
85%
1:5
Inter
8
5 Year Treasury Note (ZFE) vs Eurodollar (GEE) Tier 1
75%
2:1
Inter
9
5 Year Treasury Note (ZFE) vs Eurodollar (GEE) Tier 2
75%
2:1
Inter
10
5 Year Treasury Note (ZFE) vs Eurodollar (GEE) Tier 3
75%
2:1
Inter
11
2 Year Treasury Note (ZTE) vs Eurodollar (GEE) Tier 1
60%
2:3
Inter
12
2 Year Treasury Note (ZTE) vs Eurodollar (GEE) Tier 2
60%
2:3
Inter
13
2 Year Treasury Note (ZTE) vs Eurodollar (GEE) Tier 3
60%
2:3
Inter
14
10 Year Treasury Note (ZNE) vs 2 Year Treasury Note (ZTE)
70%
1:2
Inter
15
5 Year Treasury Note (ZFE) vs 2 Year Treasury Note (ZTE)
60%
5:6
Inter
16
Ultra Long Bond (ZUE) vs 2 Year Treasury Note (ZTE)
50%
1:3
Inter
17
U.S. Treasury Bond (ZBE) vs 2 Year Treasury Note (ZTE)
50%
1:3