• Changes to Price and Strike Price Eligibility Flags for Certain Energy Products

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20200403
      • Notice Date
      • 03 April 2020
      • Effective Date
      • 05 April 2020
    • This Sunday, April 5 (trade date Monday, April 6), as an operational step toward potentially supporting negative pricing and strikes, the MDP 3 Security Definition (tag 35-MsgType=d) for these Energy outright futures and options on CME Globex will be flagged as eligible to trade at negative prices. The options on futures will also be flagged as negative strike price eligible.

      Trading at negative prices for these outright markets will not be supported at this time. Negative strike prices will not be listed.

      Negative order prices will be rejected with Execution Report (tag 35-MsgType=8) message:

      • Reject code tag 103-OrdRejReason = 1012
      • Tag 58-Text=<’Price must be greater than zero'>

      Any changes will be published in future CME Globex Notices.

      Negative trade price instruments, and negative strike price eligible instruments, are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType:

      • tag 872-InstAttribValue= 9: Negative Strike Eligible
      • tag 872-InstAttribValue=10: Negative Price Eligible
      • tag 872-InstAttribValue= 14: Zero Price Eligible