• New fields in SPAN file and Product Reference files for Option Expiration Processing

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 17-084
      • Notice Date
      • 01 March 2017
      • Effective Date
      • 24 April 2017
    • On March 24, 2017, CME will introduce a change to the expiration behavior of options on FX futures which happen to close exactly at-the-money – an infrequent condition.

      Currently, both calls and puts in these options are treated as out-of-the-money if they end up precisely at-the-money at expiration.  With the change, exactly at-the-money calls will be treated as in-the-money and will be exercised or assigned, while exactly at-the-money puts will be treated as out-of-the-money and will be expired unexercised and unassigned.  The change is being introduced at the request of market participants and will allow certain conversion and reversal strategies to remain risk-neutral at option expiration even for a call/put pair that happens to end up exactly at-the-money. 

      To allow clearing firms to automate this different behavior in their bookkeeping systems, two new fields are being added to the PA2-format SPAN file and to both the FIXML-format and CSV-format Product Reference Files for options.  The new fields will be available in the “New Release” version of the files on April 12, and in production on Monday, April 24.

      Please click here for the full text of this advisory.