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A subset of options on interest rate and treasury futures have truncated strike prices in tag 55-Symbol of the market data Security Definition message:

    • CME

      • GE - Eurodollar Options

      • GE0 - Eurodollar 1-Year MidCurve Options

      • (E01 – E05) - Eurodollar Weekly 1-YR Options

      • GE2 - Eurodollar 2-Year Midcurve Options

      • (E21 – E25) - Eurodollar Weekly 2-Yr Options

      • GE3 - Eurodollar 3-Year Midcurve Options

      • (E31 – E35) - Eurodollar Weekly 3-Yr Options

      • GE4 - Eurodollar 4-Year Midcurve Options

      • GE5 - Eurodollar 5-Year Midcurve Options

      • OL - 1 Month Eurodollar Options

      • EJ - Euroyen Options

    • CBOT
      • OZQ - Fed Fund Options
      • ZQ6 - Fed Fund 1-Year Midcurve
      • ZQ1 - Fed Fund 2-Year Midcurve
      • OZT - 2YR Treasury Note Options
      • (WT1-WT5) - Weekly Wednesday Options on 2-Year Treasury Note Futures

The 2-Year T-Note options (OZT) strike prices are truncated in both tag 55-Symbol and tag 202-StrikePrice. Therefore, for OZT, apply the following rule to determine the strike price: 

  • If strike ends in "2" or "7", postpend "5" 
      • (ZT1 – ZT5) - 2YR Treasury Note Weekly Options
      • OZF - 5YR Treasury Note Options
      • (ZF1 – ZF5) - 5YR Treasury Note Weekly Options

CME Group strongly encourages clients to use tag 202-StrikePrice to determine the full strike price.

If using tag 55-Symbol to determine the strike price, the following rules apply:

    • CME products:
      • If strike ends in "2" or "7", postpend "5"
    • CBOT products
      • If strike ends in "2" or "7", postpend "5"
      • If strike ends in "1" or "6", postpend "25"
      • If strike ends in "3" or "8", postpend "75"
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