Cross Trades Overview

 
 

Options 
Pre-Execution Communication
CME Group Market Regulation Advisory Notice (MRAN) on Pre-Execution Communications
Request for Cross (RFC)
RFC Requirements
RFC Matching for Options
RFC and CME EOS Trader Smart Cross Ticket
Agency Cross on CME Direct – Available June 9th!

Other
Additional Resources

 


Pre-Execution Communications 

Pre-execution communications are discussions between market participants for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. Pre-execution communications are governed by each Exchange's Rule 539.

  • Pre-execution communications are permitted in all CME, NYMEX and COMEX options traded on CME Globex and in CBOT Interest Rate, Ethanol and Dow options. Pre-execution communications are also permitted in CBOT and KCBT Grain and Oilseed options on CME Globex from 7:00 p.m. to 7:45 a.m. Central Time each business day. Pre-execution communications on CBOT and KCBT Grain and Oilseed options are prohibited outside those hours. Pre-execution communications for CBOT and KCBT Grain and Oilseed futures remain prohibited at all times.
  • Pre-execution communications allow for size, price and direction to be discussed prior to the entry of orders into CME Globex.
  • Parties engaging in pre-execution communications must have permission to do so from their customers.
  • Pre-execution communications are not permitted in any CME, CBOT, NYMEX or COMEX futures or options executed via open outcry on the trading floor.

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CME Group Market Regulation Advisory Notice (MRAN) on Pre-Execution Communications 

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Request for Cross (RFC) 

  • Subsequent to engaging in a pre-execution communication, a Request for Quote ("RFQ") must be entered into CME Globex for the particular option or option spread or combination trade.
  • All market participants are thereby notified of interest in a particular option and liquidity providers are able to respond with their best prices.
  • Subsequent to the entry of the required RFQ, the RFC ticket allows a sales desk to enter an options buy order and sell order in a single order entry.
  • View a presentation on using RFC for energy options
  • View a presentation on using RFC for agricultural options

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RFC Requirements 

  • A Request for Quote (RFQ) must be entered before the RFC can be submitted.
  • Subsequent to the RFQ, the trader must
    • For IR and Equity options wait 5 seconds before submitting the RFC order, which includes both the buy and the sell orders.
    • For all other options wait 15 seconds before submitting the RFC order, which includes both the buy and the sell orders.
  • If an RFC order is not entered within 30 seconds after the RFQ, the RFQ must be resubmitted prior to submission of an RFC

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RFC Matching for Options 

  • If the RFC price improves both the best bid and best offer in the order book or if there is no bid/offer in the order book, 100 percent of the RFC quantity will match at the RFC price immediately upon submission.
  • If the RFC price matches or is outside the best bid or offer in the market, the applicable side of the RFC order will immediately match against the orders in the market at a price better than, or equal to, the RFC price. The remainder of the smaller quantity will then immediately match at the RFC price.
  • Any remaining balance will remain working unless cancelled by the RFC initiator.

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RFC and CME EOS Trader Smart Cross Ticket 

  • Ensures observance of the time rules within each asset class.
  • Requires an RFQ from the ticket before you can submit the RFC.
  • "Submit" button is only enabled within the applicable 5-30 second or 15-30 second time period.
  • If more than 30 seconds elapses, the RFQ must be resubmitted prior to being able to enter an RFC.

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Agency Cross on CME Direct – Available June 9th! 

  • Agency Cross introduces cross functionality in CME Direct and leverages existing CME ClearPort (RAV) credit limits. Agency Cross will allow brokers to submit trades directly to the CME Globex engine as Cross Trades with prior client approval.
  • This functionality will be available for WTI Options and select NYMEX and COMEX futures and at launch. Additional products will be available for Agency Cross at a later date.

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Additional Resources 

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Futures & Options Trading

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, and COMEX.