• Update base trade price (or prior day’s settlement price) to 0 from 100 & set high/low limits +/- 10 from 90-110

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 09-209
      • Notice Date
      • 19 May 2009
      • Effective Date
      • 21 June 2009
    • Effective Sunday, June 21 (trade date Monday, June 22), the trade pricing conventions for all energy Trade At Settlement (TAS) products listed on CME Globex will be re-benchmarked.


      Currently on CME Globex, these products trade at settlement price equals 100, with valid trade prices ranging from 110 to 90.


      With this change, settlement price will equal 0, and valid trade prices will range from -10 to 10. Thus, these instruments may trade at both negative and zero price.


      As a reminder, instruments eligible to trade at negative prices are identified by tag 871=24, tag 872=11 in the Security Definition (tag 35=d) message. Instruments eligible to trade at zero prices are identified by tag 871=24, tag 872=16 in the Security Definition message.



      For the full-text of this advisory, please click here.