Live Cattle Calendar Spread Options
Lean Hog Calendar Spread Options
Options on calendar spreads will enable customers to mitigate the risk of changing price differentials between successive futures contract months when rolling from one futures contract month to another.
The pricing convention is to subtract the price of the deferred futures contract month from the price of the nearer futures contract month to determine the trading price of the calendar spread option and the strike price. For example, if the nearer futures contract month has a price of 86.20 and the deferred futures contract month has a price of 85.15, then the calendar spread is said to have a value of positive 1.05 or +1.05 (86.20-85.15). Since it is possible that the price of the nearer futures contract month is equal to or less than the price of the deferred futures contract month, this leads to the possibility that trading and strike prices for calendar spread options will be a zero or negative value at times.
|Introduction to Live Cattle and Lean Hog CSOs (PDF)
Live Cattle and Lean Hog Calendar Spread Options : An Overview (PDF)
The Benefits of Live Cattle and Lean Hog CSOs (PDF)
For more information, please contact:
Director, Agricultural Products
CME Group Products and Services
+1 312 930 4595
Commodity/Alt. Investment Products
+44 207 796 7108
+1 312 930 3237
Commodity Products Asia
+11 6593 5570