A subset of options on interest rate and treasury futures Interest Rate futures have truncated strike prices in tag 55-Symbol of the the market data Security Definition message:. CME Group strongly encourages clients to use tag 202-StrikePrice to determine the full strike price.
- 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
- Please note: the strike price for OZT options is also truncated in tag 202-StrikePrice. Clients must determine the full strike price by postpending "5" when the published price ends in the numbers "2" or "7"
- (WT1-WT5) - Weekly Wednesday Options on 2-Year Treasury Note Futures
- (ZT1 – ZT5) - 2YR Treasury Note Weekly Options
- OZF - 5YR Treasury Note Options
- (ZF1 – ZF5) - 5YR Treasury Note Weekly Options
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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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If using tag 55-Symbol to determine the strike price, the following rules apply:
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