Serial expiry months

On LIFFE serial expiry months are available for its exchange-traded options serial options are expiry months other than the traditional quarterly months of March, June, September, and December, gilt option expiry months are listed such that the two nearest serial months and the two nearest quarterly months are always available for trading. 

Expiration months The next two calendar (serial) months, plus March, June, September, December, such that (a) the nearest three expiry months are consecutive, and (b) 10 expiry months are available for trading. 

It is apparent from these figures that 99% of the trades in these STIR options involves contracts maturing within one year, with almost 80% of this volume coming from trades in the March and June 2003 contracts (there being little liquidity in the serial months). With only 10 days before their expiry on 17 March 2003, the March options do not exhibit much optionlike behaviour, so we will focus instead on the June 2003 contracts, whose settlement prices are shown in Exhibit 17.13. 

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See also in sourсe #XX -- [ ]

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