• STRIKE PRICE GENERATION IN CBOT GRAIN AND OILSEED OPTIONS

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5476
      • Notice Date
      • 18 November 2010
      • Effective Date
      • 02 December 2010

    • In April 2008, due to customer demand because of higher prices and volatility, the CBOT implemented wider strike price ranges based on a percentage of the underlying futures price. At that time, however, the strike generators used in clearing to generate strike prices were unable to generate new strike ranges daily. Instead, the strike listing rules were based on a percentage of the underlying futures quarterly, and used to approximate percentage-based strike ranges for the remainder of the quarter.

      For the full Special Executive Report, please click here (PDF).

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