Can someone please help me with the following?
I am trading on the CME and did some DEC 2019 ITM call and put options (American style). According to the CME, the value of these options is subject to a cost of carry:
Cost of carry = Intrinsic Value x (1 - e^ - (Interest Rate x Days to Expiration/365))
Based on a futures price of 1617, the 1400 C is 233 and the 1400 P is 20. According to the PC parity: F-C+P-K should equal 0. However this is not the case (+4), since they apply a cost of carry component.
However, the 1100C is 517 and the 1100P = 0.5 so the PC parity works there as it should since it is an American style option.
According to Asay(1982) as described in Haug, there should NOT be any interest rate component on Margined Options on Futures.
In my opinion the CME is wrong, but need some good arguments to show them their error.
Can someone please help?