• 30-Day Fed Funds Options on Futures Strike Price Format Change - Effective Sunday, September 20, 2009

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-190
      • Notice Date
      • 27 August 2009
      • Effective Date
      • 20 September 2009

    • Effective Sunday, September 20, 2009 (trade date Monday, September 21), at customer request, the strike price format for 30-Day Federal Fund options on futures will be changed in FIX/FAST market data messages.

      ·          Example current format: 99750.0

      ·          Example new format: 9975.00

      This change will have no impact on ITC format market data messages or the format of tag 107-SecurityDesc.

      The strike price can be found in the Security Definition message (tag 35-MsgType=d), tag 202-StrikePrice.

      30-Day Federal Fund options with the new strike price format will be available for customer testing in New Release Monday, August 31.

      Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.

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