CME and ICE change options pricing model in a way that is likely to impact consumer collars and make them go "ouch". Hint, it covers negative prices.
Both CME and ICE (US and Europe) have published circulars related to the collapse below zero of the crude contracts.
CME published a brief little note here on April 21 - effective yesterday - changing the settlement pricing model for options in over 60 crude and refined contracts to the Bachelier model (which is interesting since Bachelier died in 1946 so I am not sure how he got option pricing down).
ICE US and ICE Europe both issued their notices today - ICE US covering 9 crude contracts and 5 options contracts (all crude outrights only - CME covered BALMOs and others) while ICE Europe covered 13 crude contracts and 3 options contracts (all crude but including Brent and US BALMOs). The ICE US notice is here and the ICE Europe is here.
The big impacts here are going to be on any entity short puts - under standard option models