Calendar Spread Options are options on the price differential between 2 contract months, rather than on the underlying asset itself. Therefore, they offer alternative hedging capabilities compared to standard options, and can provide a more precise hedge against adverse movements in price spreads in the grain and oilseed markets.
Calendar Spread Options are sensitive to the value and volatility of the spread itself, rather than the price of the underlying commodity. They are more efficient than combining options on 2 different months in an effort to replicate the spread, and provide a better risk management device for hedgers and market participants exposed to calendar spread risks.
Corn Calendar Spread Options
Wheat Calendar Spread Options
Soybean Calendar Spread Options
Soybean Meal Calendar Spread Options
Soybean Oil Calendar Spread Options
Dynamic Strikes for Soybean Board Crush Spread Options and Calendar Spread Options
*Formerly named "Nearby"
**Formerly named "Old Crop / New Crop"
The three consecutive futures calendar spreads and the longer dated spreads will be listed at all times. When the existing longer dated spreads expire the corresponding longer dated spreads for the following year will be listed.
|New Webinar Archive: Grain Spread Options and Volatility—Accessing Unique Trading Opportunities
Grain and Oilseed Calendar Spread Options Fact Card (PDF)
UPDATED – CSO Symbols and Strike Increments
Introduction to Calendar Spread Options
Benefits and Examples
7/6/09 SER: Expansion of CSO Listings and Strike Increment Changes
Grain and Oilseed CSOs offer:
Precise hedges geared to your exposure to temporal risk
Protection against adverse price moves along with access to favorable moves
|•||Choice of venue
Trading floor or CME Globex electronic platform
Dedicated and active market makers on the trading floor and on CME Globex
Centralized clearing and guaranteed counterparty credit
Soybean-Corn Price Ratio options provide market participants a new tool for trading on the price relationship between corn and soybeans, and the subsequent impact on new crop planted acreage. Soybean-Corn Price Ratio options are cash-settled and traded via open outcry on the Chicago trading floor.
|Option Month||Mar 2011||May 2011||Jun 2011||Jul 2011||Aug 2011||Sep 2011||Oct 2011||Nov 2011||Jan 2012|
|Underlying Corn||Mar 2011||May 2011||Dec 2011||Jul 2011||Dec 2011||Sep 2011||Dec 2011||Dec 2011||Mar 2012|
|Underlying Soybean||Mar 2011||May 2011||Nov 2011||Jul 2011||Nov 2011||Sep 2011||Nov 2011||Nov 2011||Mar 2012|
Wheat-Corn Intercommodity Spread options provide market participants with a new alternative for trading the relationship between corn and wheat, which are closely linked by market fundamentals such as available planting acreage, demand for feed and the impact of weather.
Spreading Wheat and Corn futures allow market participants to trade the relationship between the shifting product profitability and production of corn and wheat. Listing these spreads as options provides the ability to manage risk at a fixed cost.
Wheat-Corn Intercommodity Spread Options Listing Cycle:
DECEMBER 2010 WHEAT – DECEMBER 2010 CORN
JULY 2011 WHEAT - JULY 2011 CORN
DECEMBER 2011 WHEAT – DECEMBER 2011 CORN
JULY 2012 WHEAT - JULY 2012 CORN
CME Globex: ZCW
Open Outcry and Clearing: XCW
Wheat-Corn Intercommodity Spread Rules (PDF)
Wheat-Corn Intercommodity Spread Options Vendor Codes (PDF)
Wheat-Corn Intercommodity Spread Options Contract Specifications
For more information, please contact:
Commodity/Alt. Investment Products
011 (44) 207-796-7108
Commodity Products Asia