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RTS instruments are spreads that trade at a smaller tick from that of their component outright legs. These instruments are traded in a separate RTS market.  

See video below for a presentation on RTS:

Reduced Tick Spread Instruments video

Single Line Entry of Differential Spreads (SLEDS) for Calendar Futures

RTS Calendar Futures Trading Convention

  • Listed in the order of Leg1 = Nearby Month and Leg2 = Deferred Month

  • Entering a Bid = Buy Leg1 and Sell Leg2

RTS Exceptions

CME Globex applies different trading conventions and leg price assignments from those described above for the following products:

  • $25 Dow Futures

  • $10 Dow Futures

  • $5 Dow Futures

  • Dow Jones Real Estate Index Futures

  • KCBT Value Line Stock Index Futures

Trading Convention

  • Listed in the order of Leg1 = Nearby Month and Leg2 = Deferred Month

  • Entering a Bid = Sell Leg1 and Buy Leg2

Reduced Tick Ratio Calendar Spread

The Ratio RTS is a reduced tick calendar spread with the usual quarter-32nd tick, but with a leg ratio of 3:2. The details of the spread are included in the Security Definition message as defined below.

ProductiLink: tag 1151-Security Group
MDP 3.0: tag 6937-Asset
iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security Group
Tag 762-SecuritySubTypeTag 623- LeqRatioQty

Treasury Bond Reduced-Tick Ratio Calendar Spread

ZBXH5-ZBXM5

ZB

RT

Front Leg: 3
Back Leg: 2

This spread is not implied is not SLEDS eligible.

The ratio spread is listed alongside the current Reduced Tick calendar spread. Trade leg assignment and spread pricing differences are outlined in the following scenarios:

  • ZBH5 is priced at 150.0 (1500)

  • ZBM5 is priced at 165.0 (1650)

  • The Reduced Tick calendar spread ZBH5-ZBM5 trades at -15.0 (-15000)

  • Front leg – deferred leg

  • (150.0 – 165.0) = -15.0

  • The Reduced-Tick Ratio calendar spread ZBXH5-ZBXM5) trades at 120.0 (120000)

  • (Front leg*3)-(deferred leg*2)

  • ((150.0*3)-(165.0*2)) = 120.0