Options with Truncated Strike Prices

A subset of options on 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 - 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 Futures

  • BTC - Options on Bitcoin Futures

• CBOT

  • OZQ - Options on 30 Day Federal Funds Futures

  • ZQ6 - One-Year Mid-Curve options on 30 Day Federal Funds Futures

  • ZQ1 - Two-Year Mid-Curve options on 30 Day Federal Funds Futures

  • OZT - Options on 2-Year T-Note Futures

    • 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 T-Note Futures

  • (ZT1 – ZT5) - Weekly options on 2-Year T-Note Futures

  • OZF - Options on 5-Year T-Note Futures

  • (ZF1 – ZF5) - 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"