A subset of options on interest rate and treasury futures have truncated strike prices in tag 55-Symbol of the market data Security Definition message:
- CME
- SR3 - Three-Month SOFR Futures / Options on Three-Month SOFR Futures
- S0 - One-Year Mid-Curve Options on Three-Month SOFR Futures
- S2 - Two-Year Mid-Curve Options on Three-Month SOFR Futures
- SR1 - One-Month SOFR Futures
- S3 - Three-Year Mid-Curve Options on Three-Month SOFR Futures
EJ - Euroyen Options
- BTC - Bitcoin options
- CBOT
- OZQ - Fed Fund Options
- ZQ6 - Fed Fund 1-Year Midcurve
- ZQ1 - Fed Fund 2-Year Midcurve
- OZT - 2YR Treasury Note Options
- (WT1-WT5) - Weekly Wednesday Options on 2-Year Treasury Note Futures
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The 2-Year T-Note options (OZT) strike prices are truncated in both tag 55-Symbol and tag 202-StrikePrice. Therefore, for OZT, apply the following rule to determine the strike price:
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- (ZT1 – ZT5) - 2YR Treasury Note Weekly Options
- OZF - 5YR Treasury Note Options
- (ZF1 – ZF5) - 5YR Treasury Note Weekly Options
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CME Group strongly encourages clients to use tag 202-StrikePrice to determine the full strike price. |
If using tag 55-Symbol to determine the strike price, the following rules apply:
- CME products:
- If strike ends in "2" or "7", postpend "5"
- CBOT products
- If strike ends in "2" or "7", postpend "5"
- If strike ends in "1" or "6", postpend "25"
- If strike ends in "3" or "8", postpend "75"