Switch to Bachelier Options Pricing Model - Effective April 22, 2020

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.

Additionally:

• 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.