Trading delta-hedged options and options strategies through RFQs

Did you know that in 2022 over 70% of all options at CME Group were traded as spreads? Spreads, or strategies, are combinations of options and/or futures that are traded on CME Group’s Central Limit Order Book (CLOB). Users can anonymously submit a Request for Quote (RFQ) for any combination of options and/or futures and receive instant prices from electronic market makers for their chosen combination.

RFQs are a popular method of executing options strategies for several reasons, such as:

  • Mitigating leg slippage risk – trade spreads of options and/or futures as a “package,” meaning all legs are executed simultaneously with the same counterparty with no risk of one leg trading without the other(s).
  • Receiving better liquidity – market makers are often willing to show tighter pricing in larger size for RFQs than for outright options because they know they are responding to counterparty interest.
  • Spreads receive tighter bid/offer spreads than the constituent legs traded individually if the net market risk is lower than the gross market risk (see analysis below). 
  • RFQs can be submitted for delta-hedged options, allowing traders to gain exposure to implied volatility changes without exposure to the underlying future at trade inception.

In 2023, there have been over 27,500 RFQs submitted for FX options alone, averaging over 335 per day.   

During North American trading hours, electronic market makers responded to 99.5% of all FX options RFQs within five seconds. These market makers offer firm two-sided prices, enabling RFQ submitters and other market participants to anonymously trade, submit passive counter orders, or not take any action.

What kind of strategies can be submitted?

Various pre-populated strategy types are available, with popular options including verticals (simple call/put spreads), strangles, condors, straddles, calendar spreads, risk reversals, and butterflies. Alternatively, build custom strategies from any combination of options.

What strategies can be submitted? Examples include:

- Vertical (Call/Put Spread)
- Straddle
- Strangle
- Risk Reversal

- Calendar Spread
- Butterfly
- 1x2
- Condor

Or build custom strategies from any combination of options.

Delta-hedged options, which involve requesting a combination of an option and a futures contract to achieve a “delta neutral” or “covered” option, are frequently requested. These allow a trader to gain exposure to changes in implied volatility without exposure to changes in the underlying futures price at trade inception.

Liquidity benefits

As stated above, RFQs often receive better liquidity from market makers than outright options.

Recent analysis looked at all EUR/USD vertical spreads that were submitted as RFQs on March 1, 2023 and compared the response bid/offer spread with the combined bid/offer spread of the individual legs at the same time as the RFQ submission. In this way, we can compare the average transaction costs involved in trading a spread via a RFQ versus trading the two legs individually. 

It found that on all occasions trading as a spread would have incurred lower bid/offer transaction costs than trading the legs individually, with the spreads being on average four times tighter, ranging from 0.9 times to 8.5 times tighter.

The same analysis confirmed similar results in other currency pairs, for example spreads in GBP/USD were found to be on average 5.6 times tighter than the individual legs, ranging 1.75 times to 10.5 times tighter. 

Currency Pair

Average BID/offer Spread for RFQ relative to individual legs

Tightest Bid/Offer Spread for RFQ relative to individual legs


4x tighter

8.5x tighter


3.7x tighter

6.4x tighter


5.6x tighter

10.5x tighter

Source: CME Group

How do I create and submit an RFQ?

Options RFQs can be created and submitted via our market leading options trading platform CME Direct, through a third-party vendor, or by means of API connections.

Before submission, the free QuikStrike strategy simulator allows users to build a “what if” scenario to test how a given strategy will perform based on hypothetical underlying price.

All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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