Pursuant to clearing advisory 20-171, CME Direct will change to the Bachelier model for all associated options for CL, RB, HO and BZ instruments at Globex close (4/22/2020). All terms, strikes, and strategies, including negative strikes, will have their implied volatilities, Greeks, and Theos calculated according to this model.
- CME Direct analytics will broadcast the Bachelier model.
- The following impacts to Greeks will occur with the model change:
- The numeraire for implied volatilities
- Change to Delta values
- Deltas in Strategy Builder will be based on the Bachelier model.
- Users with Excel connectivity for CME Direct Greeks will broadcast Bachelier-based values and should adjust accordingly.