Clearing House Advisory Notices
To | Clearing Member Firms and Back Office Managers
From | Clearing House Department
Subject | Reference Price for Option Expiration Available in SPAN Files on Oct. 29
Notice Date | 2004-10-12
Notice Number | 04-181
Effective Date |
On Friday October 29, we will make a small enhancement to the combined CBOT/CME SPAN® files published daily by the CME Clearing House. With this enhancement, the price of the underlying future used to determine whether expiring options are in-the-money or not, can be determined by looking only at the option series record, without having to look at the underlying futures record. We are making this enhancement because CME is planning next year to introduce options on futures in which exercise and assignment processing is done not at end-of-day based on the end-of-day settlement price of the underlying future. Rather, this processing would be done in the morning, based on an intraday fixing of that underlying price – the "special reference price." In addition to being provided in the SPAN file, this special reference price will be published over the CME ticker. SPAN files with this enhancement are available on the Internet today in a special location, namely: ftp.cme.com/pub/span/data/ccl/test These are actual CME-CBOT SPAN files, produced daily, as they will be in production beginning Friday, October 29th. Please note that the files with this enhancement are produced by a different system than the current production files. Within particular blocks of records, you will notice differences in record sort order. Other than these slight differences and the enhancement for reference prices, we have made every effort to ensure that the new files are identical in every respect to the existing production files. Since SPAN files are critical to firm bookkeeping systems, however, we strongly recommend that firms and bookkeeping service providers test their systems using files from this special "test" directory, to make certain that they will not have any problems on October 29th. For the full text of this advisory...