IMPORTANT UPDATE – March 23, 2011
This change has been cancelled and will be rescheduled for a future date. The change had a broader impact to bookkeeping systems than had been anticipated. For now, there will be no changes to strike price formats for Eurodollar options and the other products enumerated below.
In CME’s positional-format SPAN files and settlement price files, there has long been a set of CME and CBOT option products where the strike price was truncated to fit into four decimal digits. This truncated strike price was the same format that was used in TREX messages.
For example, for CME Eurodollar options (product code ED), a strike price of 93.375 would be formatted in a seven-digit strike price field as 0009337. The trailing digit was truncated, and programs which read the file needed to be smart enough to replace it. For CBOT Fed Funds options (product code 41), a strike price of 99.3125 would be formatted as 9931, with both trailing digits truncated.
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