Clearing House Advisory Notices
To | All Clearing Member Firms
From | Clearing House Department
Subject | Shift to strike price formats for CBOT Options on Mini-Dow Futures
Notice Date | 2005-01-24
Notice Number | 05-17
Effective Date |
Effective for business day Tuesday, February 15, CBOT will begin introducing options on its Mini-Sized Dow futures contract at 50-point strike intervals. The ticker code for these options is OYM and the clearing code is YM. Currently, strikes for these options are at 100-point intervals – for example, 9200, 9300, 9400. With this change, there will be strikes at values such as 9200, 9250, 9300, 9350, 9400, etc. This change requires shifting the strike price format for the YM options as of the preceding business day, Monday February 14th. In particular, the "TCC" format for strike prices – the original four-digit format used for trade entry in TES, the PCS file, and the edit file – will be changed as follows: Currently, the TCC format for these strike prices has an implied two zeros at the end. For example, a TCC-format strike of 0092 means an actual strike price of 9200. With this change, the TCC format for these strikes will be shifted so there is only one implied zero at the end. For example, a TCC-format strike of 0925 will mean 9250, and a TCC-format strike of 0920 will mean 9200. An exactly analogous change will be applied to the seven-digit format for strike prices for these options in TREX messages, and in the SPAN file, the settlement price file, the trade register file, the APS routing file, and the reportable position (large trader reporting) file: Currently, a value of 0000092 means 9200. With this change, a value of 0000925 will mean 9250, and a value of 0000920 will mean 9200. Trade price and settlement price formats are unaffected by this change. Also, no change is being made to strike price formats for the options on full-sized Dow futures, product code 11. A sample settlement price file, SPAN file, and edit file showing strike prices for these YM options with this change are available at ftp.cme.com/pub/span/data/ccl/test. The sample settlement price file is named cbt.settle.ym-change.txt, the edit file is named cbt.edit.ym-change.txt and the sample SPAN file is named ccl.span.ym-change.pa2. These files are for business date January 14th. For more information please contact the CME Clearing House at 312-207-2525.