• Transition Back to Whaley and Black 76 Options Pricing Methodology - Effective Trade Date August 31, 2020

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers
      • From
      • CME Clearing
      • #
      • 20-320
      • Notice Date
      • 13 August 2020
      • Effective Date
      • 31 August 2020

    • Further to Clearing Advisory 20-171 dated April 21, 2020, CME Clearing will revert its options pricing and valuation methodology, currently based on the Bachelier model, effective for trade date on Monday, August 31, 2020. Products will transition from Bachelier back to Whaley or Black 76, depending on the product.

      Click here for the full text of the advisory

      20-320

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