• Increase in maximum precision of Eurodollar and SOFR strike prices - Effective October 12, 2020

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 20-371
      • Notice Date
      • 23 September 2020
      • Effective Date
      • 12 October 2020

    • Effective Monday October 12, 2020, listing rules for certain CME options on Three-Month Eurodollar futures and on Three-Month SOFR futures will be modified to allow creation of strikes at intervals of 0.0625 index points. Currently, the interval is 0.125. Thus, the maximum number of decimal places needed to represent a strike price will change from three to four.

      CME is taking this opportunity to simplify and harmonize the strike format conventions in the PA2-format SPAN file and the positional-format settlement price file, so that all options on 3-month and 1-month Eurodollars, 3-month and 1-month SOFR, and 1-month Fed Funds, will have four implied decimal places and without any need for assumed trailing digits.

      For the full text of this advisory, please click here.

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