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Enhanced Options price banding is identical to futures price banding, with the following modifications. Based :         

For Outright Options - based on market conditions, the reference price is set to either the:

  • Last Price of the option or spread;
  • Theoretical Options Price (TOP), based on well-established options pricing algorithms; or,
  • Last Price in combination with the TOP, if practicalTheoretical Options Price, if practical.

For Options Spreads (UDS) – the reference price is a theoretical value derived from the reference prices of the legs within the UDS. A change to the legs’ reference prices will result in an updated reference price of the UDS. The Last Price or Bid/Offer of the UDS will not update the reference price.  If a customer experiences issues entering orders due to price banding, contact the CME Global Command Center (GCC) to adjust price bands.

The width of the price bands is determined by one of the following: