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A futures spread instrument represents the simultaneous purchase and/or sale of two or more different but related outright futures instruments (legs), depending upon spread definition. For example, placing an order on CME Globex to buy futures spread type '1-Year Eurodollar Pack' represents placing an order to buy the March, June, September, and December futures outright instruments.

Certain futures spread types are available only for certain products.

Futures Spread Instrument Legs

The term leg refers to one of the instruments comprising a spread, i.e., 'Leg 1' refers to the first instrument of the spread, 'Leg 2' refers to the second instrument of the spread, 'Leg 3' refers to the third instrument of the spread, etc.

Futures Spreads Available on CME Globex:

Futures - Bundle (FB)

Bundle (FB) consists of 8 to 40 instruments within the same product group and with consecutive quarterly expiration months per block of 4. For instance, a 2-year bundle consists of 8 instruments, a 5-year bundle con­sists of 20 instruments, and a 10-year bundle consists of 40 instruments. Buy 1 bundle = buy 1 of each leg. The maximum quantity for Bundles is 5000.

Construction: Buy1exp1  Buy1exp2  Buy1exp3  Buy1exp4  Buy1exp5  Buy1exp6 Buy1exp7  Buy1exp8...Buy1exp40

Security Definition Example: GE:FB 02Y M8

Example: Buy the 2-year Bundle

Buy 1 June 2018 Eurodollar

Buy 1 Sept 2018 Eurodollar

Buy 1 December 2018 Eurodollar

Buy 1 March 2019 Eurodollar

Buy 1 June 2019 Eurodollar

Buy 1 Sept 2019 Eurodollar

Buy 1 December 2019 Eurodollar

Buy 1 March 2020 Eurodollar

Example: Sell the 2-year Bundle

Sell 1 June 2018 Eurodollar

Sell 1 Sept 2018 Eurodollar

Sell 1 December 2018 Eurodollar

Sell 1 March 2019 Eurodollar

Sell 1 June 2019 Eurodollar

Sell 1 Sept 2019 Eurodollar

Sell 1 December 2019 Eurodollar

Sell 1 March 2020 Eurodollar

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Futures - Bundle Spread (BS)

Bundle-Spread (BS) consists of a calendar spread with each leg being a Bundle with different expirations. Buying 1 bundle spread = buying 1 bundle with closer expiration and selling 1 bundle with further expiration.

Bundle Spreads will have an equal number of legs on each leg of the bundle. For instance, a 2-year bundle can only be paired with a second 2-year bundle to create a bundle spread.

Common future legs between the two bundles are not allowed. For example, a June 2018 2-year bundle cannot be spread with a March 2020 2-year bundle, since this would result in a common leg of the March 2020 futures instrument between the two bundles.

June 2018 2-Year Bundle

March 2020 2-Year Bundle

Buy 1 June 2018 Eurodollar

Buy 1 March 2020 Eurodollar

Buy 1 September 2018 Eurodollar

Buy 1 June 2020 Eurodollar

Buy 1 December 2018 Eurodollar

Buy 1 September 2020 Eurodollar

Buy 1 March 2019 Eurodollar

Buy 1 December 2020 Eurodollar

Buy 1 June 2019 Eurodollar

Buy 1 March 2021 Eurodollar

Buy 1 September 2019 Eurodollar

Buy 1 June 2021 Eurodollar

Buy 1 December 2019 Eurodollar

Buy 1 September 2021 Eurodollar

Buy 1 March 2020 Eurodollar

Buy 1 December 2021 Eurodollar

Construction: Buy1(Bundle)exp1   Sell1(Bundle)exp2

Security Definition Example: GE:BS 2YM8 2YM0

Example: Buy the Bundle

Buy 1 June 2018 Eurodollar Bundle

Sell 1 June 2020 Eurodollar Bundle

Example: Sell the Bundle

Sell 1 June 2018 Eurodollar Bundle

Buy 1 June 2020 Eurodollar Bundle

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Futures - Butterfly (BF)

Butterfly (BF) consists of 3 instruments within the same product group and with equally distributed expiration months (e.g., M8-U8-Z8). Buy 1 butterfly = buy 1 of the closer expiration leg, sell 2 of the next expiration leg, and buy 1 of the furthest expiration leg (+1:-2:+1 ratio).

Construction: Buy1exp1  Sell2exp2  Buy1exp3

Security Definition Example: GE:BFM8-U8-Z8

Example: Buy the Butterfly

Buy 1 June 2018 Eurodollar and

Sell 2 September 2018 Eurodollar and

Buy 1 December 2018 Eurodollar

Example: Sell the Butterfly

Sell 1 June 2018 Eurodollar and

Buy 2 September 2018 Eurodollar and

Sell 1 December 2018 Eurodollar

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Futures - Calendar

A Calendar spread consists of 2 instruments with the same product with different expiration months. There are variations in Calendar spreads base on the product. Each Calendar spread variation is designated through the use of a different spread type code.

Not all CME Group futures spread markets follow the convention where Buying the Spread indicates Buying the front expiry and selling the back expiry. The following markets use the logic for calendar spreads where Buying the Spread sells the front expiry month and buys the back expiry month:

  • CME FX
  • Equity
Futures - Standard Calendar Spread (SP)

The standard calendar spread (SP) consists of 2 instruments within the same product group having different expiration months. Buy 1 calendar means Buy 1 front month leg and Sell 1 back month leg (+1:-1 ratio).

Construction: Buy1exp1 Sell1exp2

Example: Buy the Spread

Buy 1 December 2018 Eurodollar

Sell 1 March 2019 Eurodollar

Security Definition Example: GEZ8-GEH9

Example: Sell the Spread

Sell 1 December 2019 Eurodollar

Buy 1 March 2019 Eurodollar

Security Definition Example: Selling 1 GEZ8-GEH9

Futures - Equity Calendar Spread (EQ)

The Equities (EQ) calendar spread consists of 2 instruments within the same product group and with different expiration months. Buy 1 calendar = sell 1 front month leg and buy 1 back month leg, ( -1 : +1 ratio).

Construction: Sell1exp1  Buy1exp2

Security Definition Example: ESZ8-ESH9

Example: Buy the Spread

Sell 1 December  2018 e-mini S&P and

Buy 1 March 2019 e-mini S&P

Example: Sell the Spread

Buy 1 December 2018 e-mini S&P and

Sell 1 March 2019 e-mini S&P

Futures - Foreign Exchange Calendar Spread (FX)

Foreign Exchange (FX) consists of 2 instruments within the Foreign Exchange product group and with dif­ferent expiration months. Due to tick differences between the spread and the outright markets, FX Leg prices from Spread trades may be allowed at non-standard tick increments.

Construction: Buy1exp2  Sell1exp1

Security Definition Example: 6EH9-6EZ8

Example: Buy the Spread

Buy 1 March 2019 CME EuroFX and

Sell 1 December  2018 CME EuroFX

Example: Sell the Spread

Sell 1 March 2019 EuroFX and

Buy 1 December 2018 EuroFX

The Goldman Sachs Commodity Index (GSCI) product, which is classified as an agricultural product, supports the Calendar spread FX strategy.

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Futures - SD Calendar

The SD Calendar is the simultaneous purchase (sale) of a deferred outright futures and sale (purchase) of a nearby outright futures within the same product, priced as the differential of the legs. The SD Calendar is identified by tag 762-SecuritySubType=SD. SD is available as an Exchange-Defined Spread only.

An SD Calendar has

  • One product
  • Two legs
    • Leg1 expires later than Leg2
    • Leg2 expires earlier than Leg1
  • Quantity/side ratio of +1:-1
The SD Calendar may have a smaller minimum tick than the outright futures leg or the same tick for both the spread and the futures.

Pricing

  • The SD Calendar Trade Price is the differential of the outright futures legs

  • Leg price assignment
    1. Determine anchor outright futures leg
      1. Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1
    2. Subtract the SD Calendar Trade Price from the non-anchor outright futures leg

SD Calendar EUSH7-EUSZ6 trades at 455

  1. Outright futures Leg1 has the most recent trade at price 112665 and is designated the anchor
    1. Outright futures Leg2 = 112210 (Leg1 Price - Spread Trade Price)

Futures - Condor (CF)

Condor (CF) consist of 4 instruments within the same product group and with consecutive quarterly expiration months (e.g. Z8-H9-M9-U9). Buy 1 condor = buy 1 of the closer month leg, sell 1 of the next expiration leg, sell 1 of the next expiration leg, and buy 1 of the furthest expiration leg (+1:-1:-1:+1 ratio).

Construction: Buy1exp1  Sell1exp2  Sell1exp3  Buy1exp4

Security Definition Example: GE:CFZ8H9M9U9

Example: Buy the Condor

Buy 1 December 2018 Eurodollar and

Sell 1 March 2019 Eurodollar and

Sell 1 June 2019 Eurodollar

Buy 1 September  2019 Eurodollar

Example: Sell the Condor

Sell 1 December 2018 Eurodollar and

Buy 1 March 2019 Eurodollar and

Buy 1 June 2019 Eurodollar

Sell 1 September  2019 Eurodollar

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Futures - Crack One-One (C1)

The Crack One:One (C1) is unique to energy products and consists of 2 different products within the same product group and with the same expiration months. Buy 1 = buy 1 front month leg1 and sell 1 back month leg2 (+1:-1 ratio).

When buying the Crack spread, the user is buying the distilled product (Gasoline or Heating Oil) and sell­ing the Crude Oil. All Crack Spreads will be listed as "same month" instruments.

Construction: Buy1exp1Distillate   Sell1exp1Crude

Security Definition Example: CL:C1 HO-CL U8

Example: Buy the Spread

Buy 1 Sept 2018 Heating Oil

Sell 1 Sept 2018 Crude Oil

Example: Sell the Spread

Sell 1 Sept 2018 Heating Oil

Buy 1 Sept 2018 Crude Oil

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Futures - Double Butterfly (DF)

The Double Butterfly (DF) spread is a "calendar" spread between two future butterfly strategies where one butterfly is bought and a deferred month butterfly is sold. The second and third leg of the first butterfly are identical to the first and second leg of the second butterfly.

The resulting strategy consists of positions in 4 equally distributed expiration months within the same product group consistent with the following pattern:

Buy 1 double butterfly = buy 1 of the closer expiration leg, sell 3 of the next expiration leg, buy 3 of the next expiration leg, sell 1 of the furthest expiration leg (e.g., Z7-H8-M8-U8).

Double Butterfly is equal to the price of Leg 1, minus the price of three Leg 2's, plus the price of three Leg 3s, minus the price of Leg 4.

Construction: Buy1exp1  Sell3exp2 Buy3exp3 Sell1exp4

Security Definition Example: ES:DF Z8H9M9U9

Example: Buy the Spread

Buy 1 December 2018 Eurodollar

Sell 3 March 2019 Eurodollar

Buy 3 June 2019 Eurodollar

Sell 1 Sept 2019 Eurodollar

Example: Sell the Spread

Sell 1 December 2018 Eurodollar

Buy 3 March 2019 Eurodollar

Sell 3 June 2019 Eurodollar

Buy 1 Sept 2019 Eurodollar

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Futures - TAS Calendar Spread (EC)

Trade at Settlement (TAS) intra-commodity calendar spread in the nearby month/second month spread, the second month/third month spread, and the nearby month/third month.

Construction: Buy1exp1  Sell1exp2

Security Definition Example: NNTX7-NNTF8

Example: Buy the Spread

Buy 1 November 2017 Henry Hub Natural Gas Last Day Financial TAS

Sell 1 January 2018 Henry Hub Natural Gas Last Day Financial TAS

Example: Sell the Spread

Sell 1 November 2017 Henry Hub Natural Gas Last Day Financial TAS

Buy 1 January 2018 Henry Hub Natural Gas Last Day Financial TAS

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Futures - Inter-Commodity (IS)

Inter-commodity spreads (IS) consist of two futures instruments of different products. Tick increments must be the same value.

Construction: Buy1exp1com1  Sell1exp1com2

Security Definition Example: GTBZ8-GEH9

Example: Buy the Spread

Buy 1 December 2018 13-week US Treasury Bill and

Sell 1 March 2019 Eurodollar

Example: Sell the Spread

Sell 1 December 2018 13-week US Treasury Bill and

Buy 1 March 2019 Eurodollar

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Futures - Month Pack (MP)

Month-Pack (MP) consists of selling 1 pack with a later expiration and buying 4 outright instruments of the same instrument month with a expiration earlier than the front month of the pack.

The strategy is listed with the month code followed by a space, then the pack code. For example, GE:MP Z8 1YZ9 would represent 4 of the GEZ8 futures vs. the Z9 1-year Pack (GEH9, GEM9, GEU9, GEZ9)

Construction: Buy4exp1  Sell (Pack)1exp2

Security Definition Example: GE:MP Z8 1YH9

Example: Buy the Spread

Buy 4 December 2018 Eurodollar Futures and

Sell 1 March 2019 Eurodollar Pack

Pack = March 2019, June 2019, Sept 2019, Dec 2019

Example: Sell the Spread

Sell 4 December 2018 Eurodollar Futures and

Buy 1 March 2019 Eurodollar Pack

Pack = March 2019, June 2019, Sept 2019, Dec 2019

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PK Pack

The PK Pack is the simultaneous purchase (sale) of four consecutive quarterly contracts within the same product, priced as the average net differential basis from the prior day settlement. The PK Pack is identified by tag 762-SecuritySubType=PK. PK Pack is available as a futures Exchange-Defined Spread only. Packs are currently listed for Eurodollar futures only.

A PK Pack has

  • One product
  • Four legsQuantity/side ratio of +1:+1:+1:+1
    • Consecutive outright futures expirations

Pricing

  • The PK Pack Trade Price is the average net differential from the prior day settlement price
  • Leg price assignment
    1. If PK Pack Trade Price is a whole number
      1. Add the PK Pack Trade Price to each outright futures leg's prior day settlement price
    2. If PK Pack Trade Price is a decimal
      1. Add the whole number PK Pack Trade Price to each outright futures leg's prior day settlement price
      2. If decimal is .25, add 1 to the most deferred contract
      3. If decimal is .5, add 1 to the most and second-most deferred contract
      4. If decimal is .75, add 1 to the most, second-most and third-most deferred contract

Pricing Example

PK Pack GE:PK 01Y M5 trades at 1.5

  1. Outright futures Leg 1 = prior day settlement price + 1.0
  2. Outright futures Leg 2 = prior day settlement price + 1.0
  3. Outright futures Leg 3 = prior day settlement price + 2.0
  4. Outright futures Leg 4 = prior day settlement price + 2.0

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Futures - Pack Butterfly (PB)

Pack-Butterfly (PB) consists of a butterfly spread with each of the legs being a Pack. Buy 1 pack-butterfly = buy 1 of the closer expiration pack, sell 2 of the next expiration pack, and buy 1 of the furthest expiration pack.

Construction: Buy (Pack)1exp1  Sell (Pack)2exp2   Buy (Pack)1exp3

Security Definition Example: GE:PB Z8-Z9-Z0

Example: Buy the Spread

Buy 1 December 2018 Eurodollar Pack

Sell 2 December 2019 Eurodollar Pack

Buy 1 December  2020 Eurodollar Pack

Example: Sell the Spread

Sell 1 December 2018 Eurodollar Pack

Buy 2 December 2019 Eurodollar Pack

Sell 1 December 2020 Eurodollar Pack

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PS Pack Spread

The PS Pack Spread is the simultaneous purchase (sale) of a nearby PK Pack and sale (purchase) of a deferred PK Pack, priced as the differential of the PK Pack prices. The PS Pack Spread is identified by tag 762-SecuritySubType=PS. PS Pack Spread is available as a futures Exchange-Defined Spread only.

A PS Pack Spread has

  • One product
  • Two PK Pack legs
  • expirations of legs must be different
  • Quantity/side ratio of +1:-1

Pricing

  • The PS Pack Spread Trade Price is the differential of the PK Pack leg prices
    • The PK Pack prices are calculated following the PK rules
  • Leg price assignment
    1. Determine anchor PK Pack leg
      1. Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else the PK Pack leg with an outright futures leg with most recent trade, best bid/best offer, or Indicative Opening Price; else nearby PK Pack
    2. Subtract the PS Pack Spread Trade Price from the anchor PK Pack leg and assign to non-anchor PK Pack leg

Pricing Example

PS Pack Spread GE:PS M7-M8 trades at -2.25

  1. GE:PK 01Y M7 Leg1 has the most recent trade at -1 and is designated the anchor
    1. GE:PK 07Y M8 Leg 2 = +1.25 (Leg1 Price - PS Pack Spread Trade Price)

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Futures - Reduced Tick (RT)

Reduced Tick (RT) allows a difference in tick size between the underlying instrument and the spread, where the underlying instrument trades at a larger tick size than the spread market.

Construction: Buy1exp1 Sell1exp2

Security Definition Example: ZBZ8-ZBH9

Example: Buy the Spread

Buy 1 December 2018 30-year US Treasury Bond and

Sell 1 March 2019 30-year US Treasury Bond

Example: Sell the Spread

Sell 1 December 2018 30-year US Treasury Bond and

Buy 1 March 2019 30-year US Treasury Bond

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FS Strip

The FS Strip is the simultaneous purchase or sale of futures positions at the averaged price of the legs. The FS Strip is identified by tag 762-SecuritySubType=FS. FS is available in futures markets only in both Exchange- and User-Defined spreads.

An FS Strip has:

  • One product
  • Minimum of two legs
  • Maximum of 26 legs
  • Quantity/side ratio of +1:+1...+1
  • All legs must have the same tick size

For any single market, only FS or SA User-Defined Spreads will be recognized.

Pricing

  • Spread Trade Price = (Leg1+Leg2+...LegN)/Total number of legs
  • Leg price assignment
    1. Calculate strip settlement price by averaging all of the legs' most recent settlement prices and round to closest on-tick
    2. Subtract the result from step 1 from the Trade Price
    3. Add the differential from step 2 to each leg's settlement price
      1. Note: Leg prices may not be identical.

 

Currently, the FS Strip for 30-Day Federal Funds Futures (ZQ) and Ethanol Futures (EH) is settled to zero. As a result, the trade entry price is a net change from settlement.

Pricing Example

CU:FS 03M V6 trades at 13490

Given that

  • Average leg settlement price is 13550
    • Leg1 last settle price is 13750
    • Leg2 last settle price is 13550
    • Leg3 last settle price is 13350
  1. 13490 (Trade price) - 13550 (Average leg settlement price)  = -60
    1. Leg1 = 13750 (last settle price) - 60 = 13690
    2. Leg2 = 13550 (last settle price) - 60 = 13490
    3. Leg3 = 13350 (last settle price) - 60 = 13290

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SA Strip

The SA Strip is the simultaneous purchase or sale of futures or options positions at the averaged price of the legs; the spread price is identical to the price assigned to each leg. The SA Strip is identified by tag 762-SecuritySubType=SA. SA is available in futures and options markets in both Exchange- and User-Defined spreads.

An SA Strip has

  • One product
  • Minimum of two legs
  • Maximum of 26 legs
  • Quantity/side ratio of +1:+1...+1
  • All legs must have the same tick size
  • Expiration of all legs must be different and symmetric

An options SA Strip has an additional requirement

  • All legs must be either Calls or Puts

 

For any single market, only FS or SA User-Defined Spreads will be recognized.

Pricing

  • The Spread Trade Price is the average price of all legs.
  • Leg price assignment
    1. The Spread Trade Price is assigned to each outright options leg

Pricing Example

SA Strip CSC:SA 03M F7 trades at 1685

  1. 1685 (Trade price) assigned to each leg
    1. Leg1 = 1685
    2. Leg2 = 1685
    3. Leg3 = 1685

SB Balanced Strip Spread

The SB Balanced Strip Spread is the simultaneous purchase or sale of futures strips at the differential price of the legs. The SB Balanced Strip Spread is identified by tag 762-SecuritySubType=SB. SB is available in futures markets only in both Exchange- and User-Defined spreads.

An SA Strip has

  • One product
  • Two legs
  • Quantity/side ratio of +1:-1
  • Expiration of all legs must be different and symmetric
  • Legs will both be FS Strips or SA Strips; no FS vs SA Strip legs
    • FS or SA Strips must have the same number of legs
    • FS or SA Strips must not share any outright legs
    • FS or SA Strips must have the same duration (3 months, 6 months, etc.)

Pricing

  • The Spread Trade Price is the differential of the strip legs
  • Leg price assignment
    1. Determine anchor strip leg
      1. Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1
    2. Subtract the Spread Trade Price from the non-anchor strip leg

Pricing Example

SB Balanced Strip Spread NG:SB 05M X6-X7 trades at 4

  1. Strip Leg1 has the most recent trade at price 3229 and is designated the anchor
    1. Strip Leg1 = 3229
    2. Strip Leg2 = 3225 (Leg1 Price - Spread Trade Price)

Futures - Unbalanced Strip (WS)

Unbalanced Strip (WS) is a spread between two strips in the same product (Intra-commodity), but with differing durations (to allow for spreads between Winter and Summer, etc.). An Unbalanced Strip is constructed by buying the first expiring strip and selling the later expiring strip (Buy 1 stripExp1, Sell 1 stripExp2). The durations of each strip cannot be equal. The balance of the strip will continue to expire until only one expiration month remains.

Construction: Buy StripLeg1exp1  Sell StripLeg2exp2

Security Definition Example: GL:WS X2-J3

Example: Buy the Spread

Buy 1 November 2012 5Month Strip (GL:SA 05M X2) and

Sell 1 April 2013 7Month Strip (GL:SA 07M J3)

Futures - Energy Inter-Commodity Strip (XS)

Energy Inter-commodity Strip (XS) is a spread between two related products, with the same durations. Inter-commodity Strips are constructed by buying a strip in one product and selling a strip in another product with equivalent duration and expiration (Buy 1 stripExp1Product1, Sell 1 stripExp1Product2). Each Energy Inter-commodity Strip must consist of 2 strips, each of which contains the identical number of months (3 through 12) for a total of 6 to 24 individual instruments in each Energy Inter-Commodity Strip. After the first month of the strip from the first leg of the Inter-commodity Strip expires, the leg becomes a “balance of” spread. The balance of the strip will continue to expire until only one expiration month remains.

Construction: Buy1Strip1(GL)exp1   Sell1Strip2(TC)exp1

Security Definition Example: GU:XS 7M GL-TC J2

Example: Buy the Spread

Buy 1 April 2012 7Month Strip GL (GL:SA 07M J2) and

Sell 1 April 2012 7Month Strip TC (TC:SA 07MJ2)

Futures - Interest Rate Inter-Commodity Spread (DI)

Interest Rate inter-commodity implied spreads consist of two Interest Rate futures instruments of different products but the same expiration. The tick increments may be different.

Construction: Buy1exp1com1  Sell1exp1com2

Security Definition Example: ZNH3-N1UH3

Example: Buy the Spread

Buy 1 March 2013 10-Year Treasury Note

Sell 1 March 2013 10-Yr USD Deliverable Interest Rate Swap Futures

Example: Sell the Spread

Sell 1 March 2013 10-Year Treasury Note

Buy 1 March 2013 10-Yr USD Deliverable Interest Rate Swap Futures

Futures - Implied Treasury Intercommodity Spread (IV)

Implied Treasury inter-commodity spreads consist of one Treasury futures instrument and one Interest Rate futures instrument having the same expiration.

Construction: Buy1exp1com1 Sell1exp1com2

Security Definition Example: FOS 01-01 M3

Example: Buy the Spread

Buy 1 June 2013 5 year T-Note

Sell 1 June 2013 5-year Interest Rate Swap

Example: Sell the Spread

Sell 1 June 2013 5-year T-Note

Buy 1 June 2013 5-year Interest Rate Swap

Futures - Commodities Intercommodity Spread (SI)

This spread type, also known as the Soybean Crush, represents the price differential between the raw soybean product and the yield of its two processed products

Construction: Sell11exp1com1 Sell9exp1com2 Buy10exp1com3

Security Definition Example: SOM:SI N4-N4-N4

Example: Buy the Spread

Buy 11 July Soybean Meal

Buy 9 July Soybean Oil

Sell 10 July Soybeans

Example: Sell the Spread

Sell 11 July Soybean Meal

Sell 9 July Soybean Oil

Buy 10 July Soybeans

Futures - BMD Futures Strip (MS)

The BMD futures strip consists of multiples of four consecutive, quarterly expirations of a single product with the legs having a +1:+1:+1:+1 ratio. A 1-year strip, for example, consists of an equal number of futures contracts for each of the four consecutive quarters nearest to expiration.
Construction: Buy1exp1  Buy1exp2  Buy1exp3 Buy1exp4
Security Definition Example: FKB3:MS 01Y M8

Example: Buy the Spread

Buy 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate
Buy 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate

Example: Sell the Spread

Sell 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate

Sell 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate

Invoice Swap Spread (IN)

An Invoice Swap is an Inter-commodity spread trade consisting of a long (short) Treasury futures contract and a long (short) non-tradeable Interest Rate Swap (IRS).

Construction

Buy 1 Invoice IRS spread buy 1 Treasury futures contract

Security Definition Example: IN:ZTM4L026220NOV14

Example: Buy the Spread

Buy 1 June 2014 2-Year Treasury Invoice Swap Spread, Buy 1 June Treasury Future

Example: Sell the Spread

Sell 1 June 2014 2-Year Treasury Invoice Swap Spread, Sell 1 June Treasury Future

Invoice Swap Calendar Spread (SC)

An Invoice Swap calendar spread lists invoice swaps of the same tenor with consecutive quarters (e.g., 2 yr Dec 2015 vs. 2 yr Mar 2016) as two legs.

Security Definition Example: ZTU50317A-ZTM50317A

Example: Buy the Spread

Buy 1Mar 2016 5Y IN and sell 1 Dec 2015 5Y IN

Example: Sell the Spread

Sell 1Mar 2016 5Y IN and buy 1 Dec 2015 5Y IN

Invoice Swap Switch Spread (SW)

A Treasury Invoice Swaps Switch Spread lists invoice swaps of the same contract month with different tenors with consecutive quarters (e.g., 2 yr Mar 2015 vs. 10 yr Mar 2015) as two legs.

Security Definition Example: ZNM51221A-ZTM50317A

Example: Buy the Spread

Buy 1 Mar 2015 10Y IN and sell 1 Mar 2015 2Y IN

Example: Sell the Spread

Sell 1 Mar 2015 10Y IN and buy 1 Mar 2015 2Y IN

Treasury Tail Spread (TL)

The Treasury Tail User Defined Spread has a 1:1 calendar spread as leg 1 and a single future for leg 2. Leg 2 must be one of the 1:1 calendar spread legs (i.e., if Leg 1 is ZFZ5-ZFH6, then Leg 2 must be either ZFZ5 or ZFH6). The side of the outright leg must match the 1:1 calendar spread; Leg 2 must be on the buy side if it is the same as the front month of the calendar and on the sell side if it is the deferred month.

Example: Buy the Spread

Buy 1 ZFZ5-ZFH6, Buy 0.2 ZFZ5 at price 118.078125

Example: Sell the Spread

Sell 1 ZFZ5-ZFH6, Sell 0.2 ZFZ6 at price 118.078125

Henry Hub Intercommodity (BC)

This combination buys 1 Henry Hub Natural Gas futures contract and buys 1 Henry Hub Natural Gas Index futures contract with both contracts having the same expiration.

Example: Buy the Combination

Buy 1 HB:IN H7 =

Buy 1 Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) March 2017 expiration

Buy 1 Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (IN) March 2017 expiration

Example: Sell the Combination

Sell 1 HB:IN H7 =

Sell 1 Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) March 2017 expiration

Sell 1 Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (IN) March 2017 expiration