Synthetic Prices Used For Options Settlement Derivation

As a result of the underlying futures settling at their limit prices for the below options, these are the synthetic prices used for the derivation of the corresponding options settlements:

Trade Date: 09/10/2020

 

Contract Month Futures Settlement Price (Limit) Synthetic Price
Lean Hogs October 2020 64.375 66.400
Lean Hogs December 2020 62.850 64.300
Lean Hogs February 2021 67.400 67.800