Wheat Calendar Spread Options
A New Way to Manage the Spread Risk Between Calendar Months

 

Consecutive Wheat CSO
Dec-July Wheat CSO
July-Dec Wheat CSO
July-July Wheat CSO

 

Wheat Calendar Spread options (CSOs) are options on the price differential between two 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.

CSOs are sensitive only 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.

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 MGEX-CBOT Wheat Spread Options Coming March 26, 2012

 

Resources
Grain and Oilseed Calendar Spread Options Fact Card (PDF)
UPDATED - CSO Symbols and Strike Increments (PDF)
Introduction to Calendar Spread Options
Benefits and Examples

 

For more information, please contact:

Chicago Office
Susan Sutherland
Associate Director
CME Group Products and Services
312-930-2325
susan.sutherland@cmegroup.com

London Office
Jeffry Kuijpers
Associate Director
Commodity/Alt. Investment Products
(44) 207-796-7108
jeffry.kuijpers@cmegroup.com

Chicago Office
Brenda Tucker
Associate Director
CME Group Products and Services
312-454-8304
brenda.tucker@cmegroup.com

Singapore Office
Nelson Low
Director
Commodity Products Asia
(11)-656-550-9621
nelson.low@cmegroup.com

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