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

  • 22 Apr 2020
  • By CME Group
  • Topics: Energy

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.