Reminder - Monday November 23: Strike Price Format Change for Eurodollar and SOFR Options in SPAN and Settlement Price Files

Please be reminded that effective Monday, November 23, 2020, CME will begin listing strikes for options on Three-Month Eurodollars and Three-Month SOFR at intervals of 6.25 basis points (0.0625 index points), and hence strike price formats for these options in daily SPAN and settlement price files will be modified so that they are all consistent, with four implied decimal places and without any usage of assumed trailing digits.

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