• Switch to Bachelier Options Pricing Model - Effective April 22, 2020

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers
      • From
      • CME Clearing
      • #
      • 20-171
      • Notice Date
      • 21 April 2020
      • Effective Date
      • 22 April 2020

    • Pursuant to Clearing Advisory 20-152 that was published on April 8th, the clearing house will switch the options pricing and valuation model to Bachelier to accommodate negative prices in the underlying futures and allow for listing of option contracts with negative strikes for the set of products specified in the link below. The switch will be effective for the margin cycle run at the end of trading tomorrow April 22, 2020 and will remain in place until further notice.

      Click here for the full text of the advisory

      20-170

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