Options with Truncated Strike Prices

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

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:

If strike ends in "2" or "7", postpend "5"

- - (ZT1 – ZT5) - 2YR Treasury Note Weekly Options
  - OZF - 5YR Treasury Note Options
  - (ZF1 – ZF5) - 5YR Treasury Note Weekly Options

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"