New Values in SPAN® File Drive Money Calculations and Position Holding

On Friday, July 29th, we will introduce two new bytes at the end of the type "P" (product definition) record in the CBOT-CME SPAN files.

For the options on crush spreads which CBOT plans to introduce this fall, firms may use the first of these fields to indicate that you can hold a position in the option on the spread, but that if you exercise this option, the resulting spread transaction is immediately decomposed into its legs.

For the new CME Auction Markets initiative being launched this September, firms may use the second of these fields to indicate that money calculations for these new products should be done "nominal-style", rather than "futures-style."

Because these fields are provided in previously unused bytes at the end of the record, there should be no impact to firm bookkeeping systems.