The Request for Quote (RFQ) feature within CME Direct is fully anonymous and provides instantaneous quotes sourcing liquidity for size on advanced options strategies with no legging risk and no wait time.
P&L benefits of RFQ
Improved market quality: Unique RFQ instruments consistently have larger size and tighter bid-ask spreads compared to implying the markets from the pre-listed outright calls and puts.
- Enhanced size and tighter markets: For example, when trading an out-of-the money prompt $2 wide WTI call spread, a single RFQ instrument has 5x the size and 50% tighter markets versus executing the options as individual legs.
- Reduced execution costs: Crossing a bid/ask spread to execute 1,000 call spreads using RFQ costs less than 1 tick compared to 2.5-5 ticks if you crossed bid/ask spreads on each leg individually.
Cost Savings using RFQ Strategies1
| RFQ Call Spread Bid/Ask | Legged Call Spread Bid/Ask | RFQ vs Legs | ||||
|---|---|---|---|---|---|---|
| Avg Spread | Avg Quantity | Avg Spread | Avg Quantity | Avg Spread | Avg Quantity | |
| US Hours | 1.48 | 2,580 | 2.90 | 490 | (1.42) | 2,090 |
| Non-US Hours | 1.52 | 1,550 | 3.20 | 235 | (1.68) | 1,315 |
Instant liquidity, efficient execution
- Fast response: 99% of WTI and Henry Hub RFQs receive a response in less than one second.
- Wide market access: Users access liquidity from multiple providers anonymously and instantaneously. All responses are aggregated on a central limit order book, allowing for instant execution with full Globex capability.
- Cost-saving strategy: Traders can reduce costs by creating and executing unique instruments via RFQ.
What is an RFQ?
A Request for Quote (RFQ) is an anonymous electronic notification sent to all CME Direct users, signaling interest in a specific strategy or instrument. The requester defines the strategy but is not obligated to disclose the volume or whether they are a buyer or seller. RFQs can be on a multi-leg strategies or a single instrument.
Once the RFQ enters the market, participants are immediately alerted to the trading interest and respond instantly with a live, tradable, two-way market. The strategy then exists as a single tradable instrument on a central limit order book, which eliminates legging risk. After receiving quotes, a user can either hit a bid, lift an offer, post their own bid or offer, or choose to take no action.
Features of using RFQ
- Customizable: Users can use RFQs with strategies that already exist on screen, or build exactly the strategy they are interested in.
- Anonymous: Like all CME Group electronic markets, RFQs are anonymous.
- Wide-reaching: RFQs are disseminated to all CME Direct users, allowing any participant to provide responses to requests.
For more information about RFQs on CME Direct, visit cmegroup.com/rfq or contact us at energy@cmegroup.com.
References
[1] Compares constructing LOV5 call spreads, $5 OTM, $2 wide at top of book, with similar RFQ’d strategies during September 2025.
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.
