• Negative Strike Price Dissemination - Effective January 25, 2010

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2010-03
      • Notice Date
      • 07 January 2010
      • Effective Date
      • 25 January 2010

    • Effective January 25, 2010, negative strike prices will be disseminated in the ITC 2.1 Category Code “Z” message for options. CME Group currently supports negative prices but had not added the negative strikes to the “Z” message. 

       

      Please review sample ITC 2.1 Category Code “Z” option messages below.  

       

      Sample ITC 2.1 Messages:

      aN   OZOS00641281157040 b IA  F10C                    03 010000200-0000180+10            c

      aN   OZOS00641291157040 b IA  G10C                    03 010000180-0000360+10            c

       

      aN   OZOS00813461204050 b WA  G10C                 02 010001000-0007200+10            c

      aN   OZOS00813471204050 b WA  H10C                 02 010000600-0007000+10            c

       

      aE   OZOS00000731156590 b HX  F10C                    02 010000112+0000410+02            c

      aE   OZOS00000741156590 b HX  G10C                    02 010000114+0000410+02            c

       

      aE   OZOS00000961159410 b OG  F10C                    00 010000600+0001500+05            c

      aE   OZOS00000971159410 b OG  G10C                    00 010000600+0002200+05            c

       

      aE   OZOS00001801203140 b SO  G10C                    02 010001450+0002400+25            c

      aE   OZOS00001811203140 b SO  H10C                    02 010000850+0003500+25            c

       

      aM   OZOS00126601328450 b NFP F10C                   00 010000500-0000500+10            c

       

      aM   OZOS00132121329210 b SP1 H10C                   04 010000035-0000275+10            c

      aM   OZOS00132131329210 b SP1 M10C                  04 010000025+0000265+05            c

       

      aB   OZOS00007021329000 b PYC H10C                    0E 010000210-0000030+10            c

      aB   OZOS00007031329000 b PYC K10C                    0E 010000200-0000040+10            c

       

      aB   OZOS00010511329590 b WZC H10C                  0E 010000260-0000010+10            c

       

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

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