1
$\begingroup$

CME, 10 year Note Call Strike 1300 How to convert this strike to future price? (today's open at 131'100)

For example we can take current prices EOD data for example chart on CMEgroup: http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note.html

Yesterday Close: 130'24'0 The nearest Option strike for this price will be: Link : http://www.cmegroup.com/daily_bulletin/current/Section42_10YrNote_5yrNote_2yrNote_30YrBond_Options.pdf

May Strike: 1300?

$\endgroup$
1
$\begingroup$

Look at the CMEgroup web site. 1300 means 130.0, 1305 would mean 130.5, etc. The decimal point is implicit. The minimum increment in the strike is 0.5.

$\endgroup$
  • $\begingroup$ Thank you, please help me ti understand on example, for example chart on CMEgroup: cmegroup.com/trading/interest-rates/us-treasury/… Yesterday Close: 130'24'0 The nearest Option strike for this price will be: Link : cmegroup.com/daily_bulletin/current/… May Strike: 1300? $\endgroup$ – Vladimir Feb 29 '16 at 15:44
  • 1
    $\begingroup$ The current i.e. March futures closed 130"24' which means 130+24/32 or 130.75 in decimal form. The June futures closed 130"12' or 130.375 in decimal. Keep in mind that the May options will deliver the June futures (the March futures will be expired by then). So for the June futures the nearest strike is 130.5 or 1305. The May 1305 option closed at 101 which means 1'01 or 1+1/64 = 1.015625. All this is in the second link you gave. $\endgroup$ – noob2 Feb 29 '16 at 17:12
  • $\begingroup$ Thank you, noob2, for the explanation. Could you be so kind, and clarify for me one more calculation JUN16 Call Strike 1155 Settlement Price 1406 - how to convert this price to points on chart? $\endgroup$ – Vladimir Mar 2 '16 at 14:58
  • 1
    $\begingroup$ The strike is 115.5 so it is about 14 in the money (future was between 129 and 130 I think), the price of the option was 14+6/64 = 14.09375. To summarize, the futures are in points and 32nds, the options are in point and 64th of a point $\endgroup$ – noob2 Mar 2 '16 at 18:29
  • $\begingroup$ So, to convert option settlement price to future price (from 64 -> 32) I can just half the right side? Example: Jun16 Call 127'0, Settlement Price 2.51. cmegroup.com/trading/interest-rates/us-treasury/… Or do this price equal 2.51 = 2'51? In other words, I'd like to plot option settlement on future chart Settlement 251 -> 251/64 = 3.92 127.0 + 3.92 = 130.92? $\endgroup$ – Vladimir Mar 3 '16 at 15:07

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.