Recent market events have raised the possibility that certain NYMEX energy futures contracts could trade at negative or zero trade prices or be settled at negative or zero values, and that options on these futures contracts could be listed with negative or zero strike prices. Were this to occur, all of CME’s trading and clearing systems would continue to function normally. Support for zero or negative futures and/or strike prices is standard throughout CME systems. All file and message formats support such prices, and we have a variety of products which have long behaved in this manner, for example NYMEX BY (WTI-Brent Bullet) futures contracts and NYMEX BV options on those futures contracts.

Effective immediately, firms wishing to test such negative futures and/or strike prices in their systems may utilize CME’s “New Release” testing environments, for products CL (crude oil futures) and LO (options on those futures.) “New Release” SPAN files and settlement price files already reflect such prices. In the New Release environment, orders may be submitted in CME Globex, block trades may be submitted through CME Clearport, and all normal trade and position processing may be performed in Clearing.

Click here for the full text of the advisory

20-160