EXHIBIT 4 

Case: 1:20-cv-04577 Document #: 27-5 Filed: 11/27/20 Page 1 of 4 PageID #:134
To Clearing Member Firms; Chief Financial Officers; Back Office Managers

From CME Clearing

# 20-152

Notice Date 08 April 2020

Effective Date 08 April 2020

CME Clearing Plan to Address the Potential of a

Negative Underlying in Certain Energy Options

Contracts

The purpose of this advisory is to assure CME clearing firms and end clients that if major energy

prices continue to fall towards zero in the coming months, CME Clearing has a tested plan to

support the possibility of a negative options underlying and enable markets to continue to

function normally.

Click here for the full text of the advisory

20-152

Case: 1:20-cv-04577 Document #: 27-5 Filed: 11/27/20 Page 2 of 4 PageID #:135
TO: Clearing Member Firms 

Chief Financial Officers 

Back Office Managers 

FROM: CME Clearing 

ADVISORY #: 20-152

SUBJECT: CME Clearing Plan to Address the Potential of a Negative Underlying in Certain 

Energy Options Contracts

DATE: April 8

th, 2020

____________________________________________________________________________

The purpose of this advisory is to assure CME clearing firms and end clients that if major energy 

prices continue to fall towards zero in the coming months, CME Clearing has a tested plan to 

support the possibility of a negative options underlying and enable markets to continue to 

function normally. That plan is as follows:

• If WTI Crude Oil futures prices settle, in any month, to a price between $8.00/bbl and 

$11.00/bbl, CME Clearing MAY switch its pricing and margining options models from the 

existing models to the Bachelier model, currently utilized in numerous spread options 

products where negative underlying prices and strike levels are a regular occurrence. If 

any WTI Crude Oil futures prices settle, in any month, to a level below $8.00/bbl, CME 

Clearing WILL move to the Bachelier model for all WTI Crude oil options contracts as 

well as all related crude oil options contracts effective the following trade date. CME 

Clearing will send out an advisory notice with one day notice before any implementation 

occurs with all appropriate details. 

• Similarly, if RBOB Gasoline futures prices settle, in any month, to a price between 

$0.20/gal and $0.30/gal, CME Clearing MAY switch its pricing and margining options 

models from the existing models to the Bachelier model. If any RBOB Gasoline futures 

price settle, in any month, to a level below $0.20/gal, CME Clearing WILL move to the 

Bachelier model for all RBOB Gasoline options contracts as well as all related gasoline 

options contracts effective the following trade date. CME Clearing will send out an 

advisory notice with one day notice before any implementation occurs with all 

appropriate details. 

• Similarly, if Heating Oil futures prices settle, in any month, to a price between $0.20/gal 

and $0.30/gal, CME Clearing MAY switch its pricing and margining options models from 

the existing models to the Bachelier model. If any Heating Oil futures price settle, in any 

Case: 1:20-cv-04577 Document #: 27-5 Filed: 11/27/20 Page 3 of 4 PageID #:136
month, to a level below $0.20/gal, CME Clearing WILL move to the Bachelier model for 

all Heating Oil options contracts as well as all related heating oil options contracts

effective the following trade date. CME Clearing will send out an advisory notice with 

one day notice before any implementation occurs with all appropriate details. 

The primary goal of this advisory is to let the market know that CME Clearing is ready to handle 

the situation of negative underlying prices in major energy contracts and we want to give all of 

our clearing firms, customers, and partners a view into what the CME Clearing plan is so that 

each of our partners can do their own respective planning for this potential situation. 

Negative strike prices will NOT be listed in any of these energy markets until this model change 

is made per the plan above and may not occur even if the modelling changes do happen.

Please note that all existing CME Clearing message and file formats already support, without 

modification, negative futures prices as well as negative strike prices. We will publish additional 

information shortly regarding the details of potentially affected products and sample files.

Should you have any questions, please contact CME Clearing Risk Management at 

Clearing.RiskManagement@cmegroup.com or 312-648-3888 or CME Clearing Pricing & 

Valuations at OTCPricing&ValuationsFnOTeam@cmegroup.com

Case: 1:20-cv-04577 Document #: 27-5 Filed: 11/27/20 Page 4 of 4 PageID #:137