On Monday, April 19, CME Clearing will introduce into its production SPAN® files, super-intercommodity spreads with more than four legs.
In particular, we will introduce several delta-based super-intercommodity spreads with as many as twenty legs. These allow recognition of risk offsets between certain Goldman Sachs Commodity Index contracts and the basket of individual contracts which comprise those indices.
Super-intercommodity spreads have long been a feature of SPAN files published by CME Clearing, but previously these spreads have never had more than four legs.
Sample SPAN files containing these super-intercommodity spreads are available at ftp.cmegroup.com/pub/span/data/cme/testDev. Select any file beginning with cme.test.20100405.a.pa2.zip or newer.
To view these spreads using PC-SPAN®: load the sample SPAN file into PC-SPAN, save the resulting SPAN document file, open this file in the Risk Reporter software, and select the Super Spreads report.
For more information please contact CME Clearing’s Risk Department at 312-648-3888.
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