EXHIBIT 5 

Case: 1:20-cv-04577 Document #: 27-6 Filed: 11/27/20 Page 1 of 4 PageID #:138
To Clearing Member Firms

From CME Clearing

# 20-160

Notice Date 15 April 2020

Effective Date 15 April 2020

Testing Opportunities in CME's "New Release"

Environment for Negative Prices and Strikes for

Certain NYMEX Energy Contracts

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

Case: 1:20-cv-04577 Document #: 27-6 Filed: 11/27/20 Page 2 of 4 PageID #:139
DATE: April 15, 2020

TO: Clearing Member Firms 

FROM: CME Clearing 

ADVISORY #: 20-160

SUBJECT: Testing opportunities in CME’s “New Release” environment

for negative prices and strikes for certain NYMEX energy contracts

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.

Clearing Advisory 20-152 was published on April 8, 2020, and detailed the process, considerations 

and timing by which CME would transition from the Whaley option pricing model to the Bachelier 

option pricing model for margining and settlements for particular groups of products. It’s at:

https://www.cmegroup.com/content/dam/cmegroup/notices/clearing/2020/04/Chadv20-152.pdf

Globex Advisory 20200403 was published on April 3, 2020 and details the changes to Price and 

Strike Price Eligibility flags associated with this possibility. It’s at:

https://www.cmegroup.com/notices/electronic-trading/2020/04/20200403.html#pageNumber=1

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.

The full list of potentially affected products is provided on the following page.

For more information please contact CME Clearing at ccs@cmegroup.com or via phone at 

Chicago (312) 207 2525 | London (44) 203 379 3198 | Singapore (65) 6593 5591.

Case: 1:20-cv-04577 Document #: 27-6 Filed: 11/27/20 Page 3 of 4 PageID #:140
Product Clearing 

Code

Clearing 

Product 

Type

Globex 

Code

Group 

Code

Category Benchmark

Brent Crude Oil Last Day Financial Futures BZ FUT BZ OP BZ Y

Brent Crude Oil Average Price Option BA OOF BA OT BZ N

Brent Crude Oil BALMO Futures J9 FUT AJ9 BB BZ N

Brent Crude Oil European Financial Option BE OOF BE OT BZ N

Brent Crude Oil Futures-Style Margin Option BZO OOF BZO PR BZ N

Brent Crude Oil Option OS OOF OSX OT BZ N

Brent Crude Oil Penultimate Financial Futures BB FUT BB BB BZ N

Brent Financial Futures CY FUT CY CC BZ N

Dated Brent (Platts) BALMO Futures DBB FUT DBB BB BZ N

Mini Brent Financial Futures MBC FUT MBC CC BZ N

Light Sweet Crude Oil Futures CL FUT CL CL CL Y

Argus WTI Formula Basis Calendar Month 

Futures 39 FUT 39 CC CL N

Argus WTI Trade Month Futures V7 FUT V7 CC CL N

Crude Oil Bullet Futures WS FUT WS WS CL N

Crude Oil Last Day Financial Futures 26 FUT 26 CC CL N

Crude Oil Weekly Options

LO1-

LO5 OOF

LO1-

LO5 LO CL N

Daily Crude Oil Option CD OOF ICD LO CL N

Daily WTI Financial Futures DCL FUT DCL CC CL N

E-mini Crude Oil Futures QM FUT QM CL CL N

Light Sweet Crude Oil European Financial Option LC OOF LCE LO CL N

Light Sweet Crude Oil Option LO OOF LO LO CL N

LLS (Argus) Financial Futures XA FUT AXA CC CL N

WTI BALMO Futures 42 FUT A42 CC CL N

WTI Financial Futures CS FUT CSX CC CL N

WTI Trade Month Futures TCS FUT TCS CC CL N

WTI Average Price Option AO OOF AAO LO CS N

WTI Houston Crude Oil Option HCO OOF HCO H3 HCL Y

WTI Houston Crude Oil Futures HCL FUT HCL HC HCL N

NY Harbor ULSD Option OH OOF OH OH HO Y

E-mini NY Harbor ULSD Futures QH FUT QH CL HO N

NY Harbor ULSD Average Price Option AT OOF ATX EP HO N

NY Harbor ULSD BALMO Futures 1G FUT A1G RF HO N

NY Harbor ULSD Bullet Futures BH FUT ABH RF HO N

NY Harbor ULSD European Financial Option LB OOF LB EF HO N

NY Harbor ULSD Financial Futures MP FUT MPX PT HO N

NY Harbor ULSD Futures HO FUT HO CL HO N

NY Harbor ULSD Last Day Financial Futures 23 FUT 23 CP HO N

DME Oman Crude Oil Futures OQD FUT OQD DE OQD Y

DME Dubai Crude Oil (Platts) BALMO Futures DDI FUT DDI DE OQD N

DME Dubai Crude Oil (Platts) Futures DCD FUT DCD DE OQD N

Dubai Crude Oil (Platts) BALMO Futures BI FUT ABI BB OQD N

Dubai Crude Oil (Platts) Financial Futures DC FUT DCB BB OQD N

RBOB Gasoline Average Price Option RA OOF RA EF RB Y

E-mini RBOB Gasoline Futures QU FUT QU CL RB N

RBOB Gasoline BALMO Futures 1D FUT A1D RF RB N

RBOB Gasoline Bullet Futures RT FUT RT WS RB N

RBOB Gasoline European Financial Option RF OOF ARF EF RB N

RBOB Gasoline Financial Futures RL FUT RLX PT RB N

RBOB Gasoline Futures RB FUT RB CL RB N

RBOB Gasoline Last Day Financial Futures 27 FUT 27 CP RB N

RBOB Gasoline Option OB OOF OB OB RB N

Case: 1:20-cv-04577 Document #: 27-6 Filed: 11/27/20 Page 4 of 4 PageID #:141