Updated implementation schedule for gross customer option value aggregation

As previously published on May 22, 2020 in Clearing Advisory 20-206, starting with the end-of-day clearing cycle today, Monday, June 1, 2020, CME Clearing will begin phasing out of Net Option Value (NOV) net end customer aggregation, and start the process of moving to gross aggregation at the end client level for all clearing members with client accounts.

Beginning today, June 1, 2020, ten percent (10%) of NOV will move from net to gross across end clients. In other words, for client accounts which have positive net option value greater than the risk, credit will be given for 90% of the excess of option value over the risk. The remainder of the implementation schedule as announced in Clearing Advisory 20-206 will be placed on hold, meaning that the 10% reduction will be maintained until further notice.

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20-221