IMPORTANT: Clarification on Price Formats for Euro FX Cross-Rate Options

This is to clarify the strike price and settlement price formats in positional-format SPAN files and settlement price files, for three Euro FX cross-rate option products.

For Euro FX versus Swiss Franc (product codes RF and 1I through 5I for the weekly options): 

• Strike prices have four implied decimal places.  For example, a typical strike price is 1.2275 and appears in the SPAN file as 0012275.
  
  
• Settlement prices have five implied decimal places.  For example, a typical settlement price is 0.00015 and appears in the SPAN file as 0000015.

For Euro FX versus British Pound (product codes RP and 1E through 5E for the weekly options): 

• Strike prices have four implied decimal places.  For example, a typical strike price is 0.7675, and appears in the SPAN file as 0007675.
  
  
• Settlement prices have six implied decimal places.  For example, a typical settlement price is 0.000225 and appears in the SPAN file as 0000225.

 For Euro FX versus Japanese Yen (product codes RY and 1H through 5H for the weekly options): 

• Strike prices have one implied decimal place.  For example, a typical strike price is 94.5, and appears in the SPAN file as 0000945.
  
• Settlement prices have three implied decimal places.  For example, a typical settlement price is 1.480, and appears in the SPAN file as 0001480.

 Note that there is currently no open interest for any of these option products.  So you would need to inspect the “complete” end of day SPAN file, which contains all eligible option contracts, to see examples.  The complete SPAN file for business day February 11 is named cme.20110211.c.pa2.zip.

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