• Valuation Model Change for Four Natural Gas Option Products - Effective May 26, 2020

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 20-209
      • Notice Date
      • 22 May 2020
      • Effective Date
      • 26 May 2020

    • CME Clearing is switching the pricing model used for valuation of four options products on NYMEX European Natural Gas Futures to the Bachelier model, effective with trade date Tuesday, May 26, 2020. (Note that Monday, May 25, is Memorial Day, an exchange holiday, and hence trades executed on CME Globex beginning on the evening of Sunday May 24 will be for trade date Tuesday May 26.)

      Click here for the full text of the advisory

      20-209

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