Test SPAN and Settlement Files for British Pound Strike Price Shift - Effective February 01, 2021

Effective Sunday evening January 31, 2021 for trade date Monday February 1, 2021 and pending all relevant CFTC regulatory review periods, CME will introduce strike prices at 0.0025 intervals for options on British Pound futures. As described in Product Modification Summary Advisory 20-471R issued on December 14, 2020, the strike price format for these options will accordingly be shifted one place to the left in the positional-format CME settlement price file and the positional-format (“PA2”) CME SPAN file, changing the “strike price decimal locator” – the number of implied decimal places in the strike price – from its current value of three to its new value of four.

To assist firms in testing, effective immediately we are publishing nightly sample SPAN and settlement price files which are exactly identical to the production files except that the strike prices for these options are shifted to what they will be beginning February 1.

Click here for the full text of the advisory

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