A subset of options on interest rate and treasury futures futures have truncated strike prices in tag 55-Symbol of 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 - Options on One-Month SOFR Futures
- S3 - Three-Year Mid-Curve Options on Three-Month SOFR Futures
EJ - Options on Euroyen
OptionsFutures
- BTC - Options on Bitcoin
options- Futures
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- CBOT
- OZQ -
Fed Fund Options - Options on 30 Day Federal Funds Futures
- ZQ6 -
Fed Fund 1- One-Year
Midcurve- Mid-Curve options on 30 Day Federal Funds Futures
- ZQ1 -
Fed Fund 2- Two-Year
Midcurve- OZT - 2YR Treasury Note Options (WT1-WT5) - Weekly Wednesday
- Mid-Curve options on 30 Day Federal Funds Futures
- OZT - Options on 2-Year
Treasury - T-Note Futures
- T-Note Futures
...
- Please note: the strike price for OZT options is also truncated in tag 202-StrikePrice.
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- Clients must determine the full strike
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- price by postpending "5" when the published price ends in the numbers "2" or "7"
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- WT1-WT5 - Weekly Wednesday Options on 2-Year T-Note Futures
- (ZT1 – ZT5)
- 2YR Treasury Note Weekly Options- - Weekly options on 2-Year T-Note Futures
- OZF -
5YR Treasury Note Options- Options on 5-Year T-Note Futures
- (ZF1 – ZF5) -
5YR Treasury Note Weekly Options
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- Weekly options on 5-Year T-Note Futures
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"