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  • CME Group defines a Futures Spread as any multi-legged instrument made up of outright futures and/or futures spreads.
  • CME Group defines an Options Spread as any multi-legged instrument made up of commingled calls, puts and/or future(s).
  • CME Group defines an Options Combination as any multi-legged instrument made up of only calls or puts.

A spread or combination instrument represents the simultaneous purchase and/or sale of two or more different but related instruments (legs), depending upon spread definition.

The table below shows available exchange-recognized spread and combination types available on CME Globex.

FB Bundle

Bundle (FB) consists of 8 to 40 instruments within the same product group and with consecutive quarterly expiration months per block of 4. For instance, a 2-year bundle consists of 8 instruments, a 5-year bundle con­sists of 20 instruments, and a 10-year bundle consists of 40 instruments. Buy 1 bundle = buy 1 of each leg. The maximum quantity for Bundles is 5000.

Construction: Buy1exp1  Buy1exp2  Buy1exp3  Buy1exp4  Buy1exp5  Buy1exp6 Buy1exp7  Buy1exp8...Buy1exp40

Security Definition Example: GE:FB 02Y M8

Example: Buy the 2-year Bundle

Buy 1 June 2018 Eurodollar

Buy 1 Sept 2018 Eurodollar

Buy 1 December 2018 Eurodollar

Buy 1 March 2019 Eurodollar

Buy 1 June 2019 Eurodollar

Buy 1 Sept 2019 Eurodollar

Buy 1 December 2019 Eurodollar

Buy 1 March 2020 Eurodollar

Example: Sell the 2-year Bundle

Sell 1 June 2018 Eurodollar

Sell 1 Sept 2018 Eurodollar

Sell 1 December 2018 Eurodollar

Sell 1 March 2019 Eurodollar

Sell 1 June 2019 Eurodollar

Sell 1 Sept 2019 Eurodollar

Sell 1 December 2019 Eurodollar

Sell 1 March 2020 Eurodollar

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BS Bundle Spread

Bundle-Spread (BS) consists of a calendar spread with each leg being a Bundle with different expirations. Buying 1 bundle spread = buying 1 bundle with closer expiration and selling 1 bundle with further expiration.

Bundle Spreads will have an equal number of legs on each leg of the bundle. For instance, a 2-year bundle can only be paired with a second 2-year bundle to create a bundle spread.

Common future legs between the two bundles are not allowed. For example, a June 2018 2-year bundle cannot be spread with a March 2020 2-year bundle, since this would result in a common leg of the March 2020 futures instrument between the two bundles.

June 2018 2-Year Bundle

March 2020 2-Year Bundle

Buy 1 June 2018 Eurodollar

Buy 1 March 2020 Eurodollar

Buy 1 September 2018 Eurodollar

Buy 1 June 2020 Eurodollar

Buy 1 December 2018 Eurodollar

Buy 1 September 2020 Eurodollar

Buy 1 March 2019 Eurodollar

Buy 1 December 2020 Eurodollar

Buy 1 June 2019 Eurodollar

Buy 1 March 2021 Eurodollar

Buy 1 September 2019 Eurodollar

Buy 1 June 2021 Eurodollar

Buy 1 December 2019 Eurodollar

Buy 1 September 2021 Eurodollar

Buy 1 March 2020 Eurodollar

Buy 1 December 2021 Eurodollar

Construction: Buy1(Bundle)exp1   Sell1(Bundle)exp2

Security Definition Example: GE:BS 2YM8 2YM0

Example: Buy the Bundle

Buy 1 June 2018 Eurodollar Bundle

Sell 1 June 2020 Eurodollar Bundle

Example: Sell the Bundle

Sell 1 June 2018 Eurodollar Bundle

Buy 1 June 2020 Eurodollar Bundle

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BF Butterfly

The BF Butterfly is made up of three equidistant maturity outrights within the same product, defined as the simultaneous purchase (sale) of the nearest and furthest maturities and sale (purchase) of two times the middle maturity at the differential price of the legs. The BF Butterfly is identified by tag 762-SecuritySubType=BF. BF Butterfly is available as a futures Exchange-Defined Spread only.

 A BF Butterfly has

  • One product
  • Three legs
  • Quantity/side ratio of +1:-2:+1
    • Equidistant outright futures expirations
    • Price for middle leg can be split

Pricing

  • Spread Trade Price = (Leg1 - (2 * Leg2) + Leg3)
  • Leg price assignment
    1. Leg 1 and Leg 2 are assigned most recent available price from outright markets; trade, best bid/best offer, or Indicative Opening Price
    2. Leg 3 price is calculated as Trade Price minus Leg 1 price plus two times the Leg 2 price
      1. If Leg 3 price is outside the daily limits, Leg 3 will be adjusted to the daily limit and Leg 2 recalculated
        1. If Leg 2 is now outside the daily limits, Leg 2 will be adjusted to the limit and Leg 1 recalculated

Pricing Example

BF Butterfly GE: BF U8-H9-U9 trades at 3.5

  1. Outright futures Leg 1 = most recent price 9808.0
    1. Price is within the daily limits
  2. Outright futures Leg 2 = most recent price 9818.5
    1. Price is within the daily limits
  3. Outright futures Leg 3 = 9832.5 (Trade Price-Leg 1+(2*Leg 2))
    1. Price is within the daily limits

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BO Butterfly

A Butterfly (BO) options spread is constructed of all calls (Call Butterfly) or all puts (Put Butterfly). The Call Butterfly consists of buying a call, selling two calls at a higher strike price and buying a call at a still higher strike price within the same instrument and expiry month. The Put Butterfly consists of buying a put, selling two puts at a lower strike price and buying a put at a still lower strike price within the same instrument and expiry month.

The Butterfly requires a specific symmetry in the strikes in that the difference between the strike prices is the same for all legs.

Spread ratio: (Buy 1: Sell 2: Buy 1)

Security Definition Example: UD:U$: BO 0207931636

Call Butterfly Construction: Buy1callstrike1exp1 Sell2callstrike2exp1 Buy1callstrike3exp1

Example: Call Butterfly

Buy 1 December 2018 Eurodollar 9800 Call

Sell 2 December 2018 Eurodollar 9825 Call

Buy 1 December 2018 Eurodollar 9850 Call

Put Butterfly Construction: Buy1putstrike3exp1 Sell2putstrike2exp1 Buy1putstrike1exp1

Example: Put Butterfly

Buy 1 December 2018 Eurodollar 9850 Put

Sell 2 December 2018 Eurodollar 9825 Put

Sell 1 December 2018 Eurodollar 9800 Put

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DF Double Butterfly

The Double Butterfly (DF) spread is a "calendar" spread between two future butterfly strategies where one butterfly is bought and a deferred month butterfly is sold. The second and third leg of the first butterfly are identical to the first and second leg of the second butterfly.

The resulting spread consists of positions in 4 equally distributed expiration months within the same product group consistent with the following pattern:

Buy 1 double butterfly = buy 1 of the closer expiration leg, sell 3 of the next expiration leg, buy 3 of the next expiration leg, sell 1 of the furthest expiration leg (e.g., Z7-H8-M8-U8).

Double Butterfly is equal to the price of Leg 1, minus the price of three Leg 2's, plus the price of three Leg 3s, minus the price of Leg 4.

Construction: Buy1exp1  Sell3exp2 Buy3exp3 Sell1exp4

Security Definition Example: ES:DF Z8H9M9U9

Example: Buy the Spread

Buy 1 December 2018 Eurodollar

Sell 3 March 2019 Eurodollar

Buy 3 June 2019 Eurodollar

Sell 1 Sept 2019 Eurodollar

Example: Sell the Spread

Sell 1 December 2018 Eurodollar

Buy 3 March 2019 Eurodollar

Sell 3 June 2019 Eurodollar

Buy 1 Sept 2019 Eurodollar

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Calendar Spreads

A Calendar spread consists of 2 instruments with the same product with different expiration months. There are variations in Calendar spreads base on the product. Each Calendar spread variation is designated through the use of a different spread type code.

Not all CME Group futures spread markets follow the convention where Buying the Spread indicates Buying the front expiry and selling the back expiry. The following markets use the logic for calendar spreads where Buying the Spread sells the front expiry month and buys the back expiry month:

  • CME FX
  • Equity

SP Standard Calendar Spread

The standard calendar spread (SP) consists of 2 instruments within the same product group having different expiration months. Buy 1 calendar means Buy 1 front month leg and Sell 1 back month leg (+1:-1 ratio).

Construction: Buy1exp1 Sell1exp2

Example: Buy the Spread

Buy 1 December 2018 Eurodollar

Sell 1 March 2019 Eurodollar

Security Definition Example: GEZ8-GEH9

Example: Sell the Spread

Sell 1 December 2019 Eurodollar

Buy 1 March 2019 Eurodollar

Security Definition Example: Selling 1 GEZ8-GEH9

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EQ Calendar Spread

The Equities (EQ) calendar spread consists of 2 instruments within the same product group and with different expiration months. Buy 1 calendar = sell 1 front month leg and buy 1 back month leg, ( -1 : +1 ratio).

Construction: Sell1exp1  Buy1exp2

Security Definition Example: ESZ8-ESH9

Example: Buy the Spread

Sell 1 December  2018 e-mini S&P and

Buy 1 March 2019 e-mini S&P

Example: Sell the Spread

Buy 1 December 2018 e-mini S&P and

Sell 1 March 2019 e-mini S&P

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FX Calendar Spread

Foreign Exchange (FX) consists of 2 instruments within the Foreign Exchange product group and with dif­ferent expiration months. Due to tick differences between the spread and the outright markets, FX Leg prices from Spread trades may be allowed at non-standard tick increments.

Construction: Buy1exp2  Sell1exp1

Security Definition Example: 6EH9-6EZ8

Example: Buy the Spread

Buy 1 March 2019 CME EuroFX and

Sell 1 December  2018 CME EuroFX

Example: Sell the Spread

Sell 1 March 2019 EuroFX and

Buy 1 December 2018 EuroFX

The Goldman Sachs Commodity Index (GSCI) product, which is classified as an agricultural product, supports the Calendar spread FX spread.

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SD Calendar

The SD Calendar is the simultaneous purchase (sale) of a deferred outright futures and sale (purchase) of a nearby outright futures within the same product, priced as the differential of the legs. The SD Calendar is identified by tag 762-SecuritySubType=SD. SD is available as an Exchange-Defined Spread only.

An SD Calendar has

  • One product
  • Two legs
    • Leg1 expires later than Leg2
    • Leg2 expires earlier than Leg1
  • Quantity/side ratio of +1:-1
The SD Calendar may have a smaller minimum tick than the outright futures leg or the same tick for both the spread and the futures.

Pricing

  • The SD Calendar Trade Price is the differential of the outright futures legs

  • Leg price assignment
    1. Determine anchor outright futures leg
      1. Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1
    2. Subtract the SD Calendar Trade Price from the non-anchor outright futures leg

SD Calendar EUSH7-EUSZ6 trades at 455

  1. Outright futures Leg1 has the most recent trade at price 112665 and is designated the anchor
    1. Outright futures Leg2 = 112210 (Leg1 Price - Spread Trade Price)

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EC TAS Calendar Spread

Trade at Settlement (TAS) intra-commodity calendar spread in the nearby month/second month spread, the second month/third month spread, and the nearby month/third month.

Construction: Buy1exp1  Sell1exp2

Security Definition Example: NNTX7-NNTF8

Example: Buy the Spread

Buy 1 November 2017 Henry Hub Natural Gas Last Day Financial TAS

Sell 1 January 2018 Henry Hub Natural Gas Last Day Financial TAS

Example: Sell the Spread

Sell 1 November 2017 Henry Hub Natural Gas Last Day Financial TAS

Buy 1 January 2018 Henry Hub Natural Gas Last Day Financial TAS

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CF Condor

Condor (CF) consist of 4 instruments within the same product group and with consecutive quarterly expiration months (e.g. Z8-H9-M9-U9). Buy 1 condor = buy 1 of the closer month leg, sell 1 of the next expiration leg, sell 1 of the next expiration leg, and buy 1 of the furthest expiration leg (+1:-1:-1:+1 ratio).

Construction: Buy1exp1  Sell1exp2  Sell1exp3  Buy1exp4

Security Definition Example: GE:CFZ8H9M9U9

Example: Buy the Condor

Buy 1 December 2018 Eurodollar and

Sell 1 March 2019 Eurodollar and

Sell 1 June 2019 Eurodollar

Buy 1 September  2019 Eurodollar

Example: Sell the Condor

Sell 1 December 2018 Eurodollar and

Buy 1 March 2019 Eurodollar and

Buy 1 June 2019 Eurodollar

Sell 1 September  2019 Eurodollar

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CO Condor

A Condor (CO) options spread is constructed of all calls (Call Condor) or all puts (Put Condor).

The Call Condor consists of buying a call, selling one call at a higher strike price and selling a call at a still higher strike price, and buying a fourth call at a still higher strike price within the same instrument and expiry month.

The Put Condor consists of buying a put at the highest strike price, selling one put at a lower strike price, selling a put at a still lower strike price, and buying a fourth put at an even lower strike price within the same instrument and expiry month.

The Condor requires a specific symmetry in the strikes in that the difference between the strike prices is the same for all legs.

Spread ratio: (Buy 1: Sell 1: Sell 1: Buy 1)

Security Definition Example: UD:U$: CO 0206930236

Call Condor Construction: Buy1callstrike1exp1 Sell1callstrike2exp1 Sell1callstrike3exp1Buy1callstrike4exp1

Example: Call Condor

Buy 1 December 2018 Eurodollar 98000 Call

Sell 1 December 2018 Eurodollar 98500 Call

Sell 1 December 2018 Eurodollar 99000 Call

Buy 1 December 2018 Eurodollar 99500 Call

Put Condor Construction: Buy1putstrike4exp1 Sell1putstrike3exp1 Sell1putstrike2exp1Buy1putstrike1exp1

Example: Put Condor

Buy 1 December 2018 Eurodollar 99500 Put

Sell 1 December 2018 Eurodollar 99000 Put

Sell 1 December 2018 Eurodollar 98500 Put

Buy 1 December 2018 Eurodollar 98000 Put

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C1 Crack One-One

The Crack One:One (C1) is unique to energy products and consists of 2 different products within the same product group and with the same expiration months*. Buy 1 = buy 1 front month leg1 and sell 1 back month leg2 (+1:-1 ratio).

When buying the Crack spread, the user is buying the distilled product (Gasoline or Heating Oil) and sell­ing the Crude Oil. All Crack Spreads will be listed as "same month" instruments.

Construction: Buy1exp1Distillate   Sell1exp1Crude

Security Definition Example: CL:C1 HO-CL U8

Example: Buy the Spread

Buy 1 Sept 2018 Heating Oil

Sell 1 Sept 2018 Crude Oil

Example: Sell the Spread

Sell 1 Sept 2018 Heating Oil

Buy 1 Sept 2018 Crude Oil

*The listed C1 strategy for certain energy products may have 2 separate expiration months that expire in the same month, or 2 identical expiration months that expire in different months.

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EC TAS Calendar Spread

Trade at Settlement (TAS) intra-commodity calendar spread in the nearby month/second month spread, the second month/third month spread, and the nearby month/third month.

Construction: Buy1exp1  Sell1exp2

Security Definition Example: NNTX7-NNTF8

Example: Buy the Spread

Buy 1 November 2017 Henry Hub Natural Gas Last Day Financial TAS

Sell 1 January 2018 Henry Hub Natural Gas Last Day Financial TAS

Example: Sell the Spread

Sell 1 November 2017 Henry Hub Natural Gas Last Day Financial TAS

Buy 1 January 2018 Henry Hub Natural Gas Last Day Financial TAS

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MP Month Pack

Month-Pack (MP) consists of selling 1 pack with a later expiration and buying 4 outright instruments of the same instrument month with a expiration earlier than the front month of the pack.

The spread is listed with the month code followed by a space, then the pack code. For example, GE:MP Z8 1YZ9 would represent 4 of the GEZ8 futures vs. the Z9 1-year Pack (GEH9, GEM9, GEU9, GEZ9)

Construction: Buy4exp1  Sell (Pack)1exp2

Security Definition Example: GE:MP Z8 1YH9

Example: Buy the Spread

Buy 4 December 2018 Eurodollar Futures and

Sell 1 March 2019 Eurodollar Pack

Pack = March 2019, June 2019, Sept 2019, Dec 2019

Example: Sell the Spread

Sell 4 December 2018 Eurodollar Futures and

Buy 1 March 2019 Eurodollar Pack

Pack = March 2019, June 2019, Sept 2019, Dec 2019

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PK Pack

The PK Pack is the simultaneous purchase (sale) of four consecutive quarterly contracts within the same product, priced as the average net differential basis from the prior day settlement. The PK Pack is identified by tag 762-SecuritySubType=PK. PK Pack is available as a futures Exchange-Defined Spread only. Packs are currently listed for Eurodollar futures only.

A PK Pack has

  • One product
  • Four legsQuantity/side ratio of +1:+1:+1:+1
    • Consecutive outright futures expirations

Pricing

  • The PK Pack Trade Price is the average net differential from the prior day settlement price
  • Leg price assignment
    1. If PK Pack Trade Price is a whole number
      1. Add the PK Pack Trade Price to each outright futures leg's prior day settlement price
    2. If PK Pack Trade Price is a decimal
      1. Add the whole number PK Pack Trade Price to each outright futures leg's prior day settlement price
      2. If decimal is .25, add 1 to the most deferred contract
      3. If decimal is .5, add 1 to the most and second-most deferred contract
      4. If decimal is .75, add 1 to the most, second-most and third-most deferred contract

Pricing Example

PK Pack GE:PK 01Y M5 trades at 1.5

  1. Outright futures Leg 1 = prior day settlement price + 1.0
  2. Outright futures Leg 2 = prior day settlement price + 1.0
  3. Outright futures Leg 3 = prior day settlement price + 2.0
  4. Outright futures Leg 4 = prior day settlement price + 2.0

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PB Pack Butterfly

Pack-Butterfly (PB) consists of a butterfly spread with each of the legs being a Pack. Buy 1 pack-butterfly = buy 1 of the closer expiration pack, sell 2 of the next expiration pack, and buy 1 of the furthest expiration pack.

Construction: Buy (Pack)1exp1  Sell (Pack)2exp2   Buy (Pack)1exp3

Security Definition Example: GE:PB Z8-Z9-Z0

Example: Buy the Spread

Buy 1 December 2018 Eurodollar Pack

Sell 2 December 2019 Eurodollar Pack

Buy 1 December  2020 Eurodollar Pack

Example: Sell the Spread

Sell 1 December 2018 Eurodollar Pack

Buy 2 December 2019 Eurodollar Pack

Sell 1 December 2020 Eurodollar Pack

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PS Pack Spread

The PS Pack Spread is the simultaneous purchase (sale) of a nearby PK Pack and sale (purchase) of a deferred PK Pack, priced as the differential of the PK Pack prices. The PS Pack Spread is identified by tag 762-SecuritySubType=PS. PS Pack Spread is available as a futures Exchange-Defined Spread only.

A PS Pack Spread has

  • One product
  • Two PK Pack legs
  • expirations of legs must be different
  • Quantity/side ratio of +1:-1

Pricing

  • The PS Pack Spread Trade Price is the differential of the PK Pack leg prices
    • The PK Pack prices are calculated following the PK rules
  • Leg price assignment
    1. Determine anchor PK Pack leg
      1. Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else the PK Pack leg with an outright futures leg with most recent trade, best bid/best offer, or Indicative Opening Price; else nearby PK Pack
    2. Subtract the PS Pack Spread Trade Price from the anchor PK Pack leg and assign to non-anchor PK Pack leg

Pricing Example

PS Pack Spread GE:PS M7-M8 trades at -2.25

  1. GE:PK 01Y M7 Leg1 has the most recent trade at -1 and is designated the anchor
    1. GE:PK 07Y M8 Leg 2 = +1.25 (Leg1 Price - PS Pack Spread Trade Price)

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RT Reduced Tick

Reduced Tick (RT) allows a difference in tick size between the underlying instrument and the spread, where the underlying instrument trades at a larger tick size than the spread market.

Construction: Buy1exp1 Sell1exp2

Security Definition Example: ZBZ8-ZBH9

Example: Buy the Spread

Buy 1 December 2018 30-year US Treasury Bond and

Sell 1 March 2019 30-year US Treasury Bond

Example: Sell the Spread

Sell 1 December 2018 30-year US Treasury Bond and

Buy 1 March 2019 30-year US Treasury Bond

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FS Strip

The FS Strip is the simultaneous purchase or sale of futures positions at the averaged price of the legs. The FS Strip is identified by tag 762-SecuritySubType=FS. FS is available in futures markets only in both Exchange- and User-Defined spreads.

An FS Strip has:

  • One product
  • Minimum of two legs
  • Maximum of 26 legs
  • Quantity/side ratio of +1:+1...+1
  • All legs must have the same tick size

For any single market, only FS or SA User-Defined Spreads will be recognized.

Pricing

  • Spread Trade Price = (Leg1+Leg2+...LegN)/Total number of legs
  • Leg price assignment
    1. Calculate strip settlement price by averaging all of the legs' most recent settlement prices and round to closest on-tick
    2. Subtract the result from step 1 from the Trade Price
    3. Add the differential from step 2 to each leg's settlement price
      1. Note: Leg prices may not be identical.


Currently, the FS Strip for 30-Day Federal Funds Futures (ZQ) and Ethanol Futures (EH) is settled to zero. As a result, the trade entry price is a net change from settlement.


Pricing Example

CU:FS 03M V6 trades at 13490

Given that

  • Average leg settlement price is 13550
    • Leg1 last settle price is 13750
    • Leg2 last settle price is 13550
    • Leg3 last settle price is 13350
  • 13490 (Trade price) - 13550 (Average leg settlement price) = -60
    1. Leg1 = 13750 (last settle price) - 60 = 13690
    2. Leg2 = 13550 (last settle price) - 60 = 13490
    3. Leg3 = 13350 (last settle price) - 60 = 13290

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SA Strip

The SA Strip is the simultaneous purchase or sale of futures or options positions at the averaged price of the legs; the spread price is identical to the price assigned to each leg. The SA Strip is identified by tag 762-SecuritySubType=SA. SA is available in futures and options markets in both Exchange- and User-Defined spreads.

An SA Strip has

  • One product
  • Minimum of two legs
  • Maximum of 26 legs
  • Quantity/side ratio of +1:+1...+1
  • All legs must have the same tick size
  • Expiration of all legs must be different and symmetric

An options SA Strip has an additional requirement:

  • All legs must be either Calls or Puts

For any single market, only FS or SA User-Defined Spreads will be recognized.

Pricing

  • The Spread Trade Price is the average price of all legs.
  • Leg price assignment
    • The Spread Trade Price is assigned to each outright options leg

Pricing Example

SA Strip CSC:SA 03M F7 trades at 1685

  • 1685 (Trade price) assigned to each leg
    1. Leg1 = 1685
    2. Leg2 = 1685
    3. Leg3 = 1685

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SB Balanced Strip Spread

The SB Balanced Strip Spread is the simultaneous purchase or sale of futures strips at the differential price of the legs. The SB Balanced Strip Spread is identified by tag 762-SecuritySubType=SB. SB is available in futures markets only in both Exchange- and User-Defined spreads.

An SA Strip has

  • One product
  • Two legs
  • Quantity/side ratio of +1:-1
  • Expiration of all legs must be different and symmetric
  • Legs will both be FS Strips or SA Strips; no FS vs SA Strip legs
    • FS or SA Strips must have the same number of legs
    • FS or SA Strips must not share any outright legs
    • FS or SA Strips must have the same duration (3 months, 6 months, etc.)

Pricing

  • The Spread Trade Price is the differential of the strip legs
  • Leg price assignment
    1. Determine anchor strip leg
      1. Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1
    2. Subtract the Spread Trade Price from the non-anchor strip leg

Pricing Example

SB Balanced Strip Spread NG:SB 05M X6-X7 trades at 4

  1. Strip Leg1 has the most recent trade at price 3229 and is designated the anchor
    1. Strip Leg1 = 3229
    2. Strip Leg2 = 3225 (Leg1 Price - Spread Trade Price)

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SR Strip

A Strip (SR) options spread is constructed of all calls (Call Strip) or all puts (Put Strip).

The Call Strip consists of buying calls within the same instrument and strike price for four equidistant expiry months, resulting in a total of four (4) calls purchased.

The Put Strip consists of buying puts within the same instrument and strike price for each of four equidistant expiry months, resulting in a total of four (4) puts purchased.

The Strip requires a specific symmetry in the expiry months in that the time difference between the expiry months is the same for all legs.

Spread ratio: (Buy 1: Buy 1: Buy 1: Buy 1)

Security Definition Example: UD:U$: SR 0206921343

Call Strip Construction: Buy1callstrike1exp1 Buy1callstrike1exp2 Buy1callstrike1exp3Buy1callstrike1exp4

Example: Call Strip

Buy 1 June 2018 Eurodollar 9800 Call

Buy 1 Sept 2018 Eurodollar 9800 Call

Buy 1 Dec 2018 Eurodollar 9800 Call

Buy 1 March 2019 Eurodollar 9800 Call

Put Strip Construction: Buy1putstrike1exp1 Buy1putstrike1exp2 Buy1putstrike1exp3Buy1putstrike1exp4

Example: Put Strip

Buy 1 June 2018 Eurodollar 9800 Put

Buy 1 Sept 2018 Eurodollar 9800 Put

Buy 1 Dec 2018 Eurodollar 9800 Put

Buy 1 March 2019 Eurodollar 9800 Put

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WS Unbalanced Strip

Unbalanced Strip (WS) is a spread between two strips in the same product (Intra-commodity), but with differing durations (to allow for spreads between Winter and Summer, etc.). An Unbalanced Strip is constructed by buying the first expiring strip and selling the later expiring strip (Buy 1 stripExp1, Sell 1 stripExp2). The durations of each strip cannot be equal. The balance of the strip will continue to expire until only one expiration month remains.

Construction: Buy StripLeg1exp1  Sell StripLeg2exp2

Security Definition Example: GL:WS X2-J3

Example: Buy the Spread

Buy 1 November 2012 5Month Strip (GL:SA 05M X2) and

Sell 1 April 2013 7Month Strip (GL:SA 07M J3)

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IS Inter-Commodity

Inter-commodity spreads (IS) consist of two futures instruments of different products. Tick increments must be the same value.

Construction: Buy1exp1com1  Sell1exp1com2

Security Definition Example: GTBZ8-GEH9

Example: Buy the Spread

Buy 1 December 2018 13-week US Treasury Bill and

Sell 1 March 2019 Eurodollar

Example: Sell the Spread

Sell 1 December 2018 13-week US Treasury Bill and

Buy 1 March 2019 Eurodollar

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XS Inter-Commodity Strip

Energy Inter-commodity Strip (XS) is a spread between two related products, with the same durations. Inter-commodity Strips are constructed by buying a strip in one product and selling a strip in another product with equivalent duration and expiration (Buy 1 stripExp1Product1, Sell 1 stripExp1Product2). Each Energy Inter-commodity Strip must consist of 2 strips, each of which contains the identical number of months (3 through 12) for a total of 6 to 24 individual instruments in each Energy Inter-Commodity Strip. After the first month of the strip from the first leg of the Inter-commodity Strip expires, the leg becomes a “balance of” spread. The balance of the strip will continue to expire until only one expiration month remains.

Construction: Buy1Strip1(GL)exp1   Sell1Strip2(TC)exp1

Security Definition Example: GU:XS 7M GL-TC J2

Example: Buy the Spread

Buy 1 April 2012 7Month Strip GL (GL:SA 07M J2) and

Sell 1 April 2012 7Month Strip TC (TC:SA 07MJ2)

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DI Inter-Commodity Spread

Interest Rate inter-commodity implied spreads consist of two Interest Rate futures instruments of different products but the same expiration. The tick increments may be different.

Construction: Buy1exp1com1  Sell1exp1com2

Security Definition Example: ZNH3-N1UH3

Example: Buy the Spread

Buy 1 March 2013 10-Year Treasury Note

Sell 1 March 2013 10-Yr USD Deliverable Interest Rate Swap Futures

Example: Sell the Spread

Sell 1 March 2013 10-Year Treasury Note

Buy 1 March 2013 10-Yr USD Deliverable Interest Rate Swap Futures

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IV Intercommodity Spread

Inter-commodity spreads consist of two financial futures instruments having the same expiration.

Construction: Buy1exp1com1 Sell1exp1com2

Security Definition Example: FOS 01-01 M3

Example: Buy the Spread

Buy 1 June 2013 5 year T-Note

Sell 1 June 2013 5-year Interest Rate Swap

Example: Sell the Spread

Sell 1 June 2013 5-year T-Note

Buy 1 June 2013 5-year Interest Rate Swap

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SI Intercommodity Spread

This spread type, also known as the Soybean Crush, represents the price differential between the raw soybean product and the yield of its two processed products

Construction: Sell11exp1com1 Sell9exp1com2 Buy10exp1com3

Security Definition Example: SOM:SI N4-N4-N4

Example: Buy the Spread

Buy 11 July Soybean Meal

Buy 9 July Soybean Oil

Sell 10 July Soybeans

Example: Sell the Spread

Sell 11 July Soybean Meal

Sell 9 July Soybean Oil

Buy 10 July Soybeans

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BC Intercommodity

This combination buys 1 Henry Hub Natural Gas futures contract and buys 1 Henry Hub Natural Gas Index futures contract with both contracts having the same expiration.

Example: Buy the Combination

Buy 1 HB:IN H7 =

Buy 1 Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) March 2017 expiration

Buy 1 Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (IN) March 2017 expiration

Example: Sell the Combination

Sell 1 HB:IN H7 =

Sell 1 Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) March 2017 expiration

Sell 1 Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (IN) March 2017 expiration

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IP Inter-Commodity Spread

Inter-commodity Calendar Spread for Henry Hub Natural Gas futures vs Henry Hub Natural Gas Look-Alike Last-Day Financial futures for the nearest 36 monthly expiries.

Construction: Buy1com1exp1 Sell1com2exp1 Sell1com1exp2 Buy1com2exp2

Security Definition Example:

NG:HH Z7-F8

Example: Buy the Spread

Buy 1 December 2017 Henry Hub Natural Gas (NG)
Sell 1 December 2017 Henry Hub Natural Gas Last Day Financial Future (HH)
Sell 1 January 2018 Henry Hub Natural Gas (NG)
Buy 1 January 2018 Henry Hub Natural Gas Last Day Financial Future (HH)

Example: Sell the Spread

Sell 1 December 2017 Henry Hub Natural Gas (NG)
Buy 1 December 2017 Henry Hub Natural Gas Last Day Financial Future (HH)
Buy 1 January 2018 Henry Hub Natural Gas (NG)
Sell 1 January 2018 Henry Hub Natural Gas Last Day Financial Future (HH)

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RI Inter-Commodity Spread

This spread allows a difference in tick size between the underlying instrument and the spread, where the underlying instrument trades at a larger tick size than the spread market.

Construction:  Buy1com1exp1 Sell1com2exp1

Security Definition Example: HPH8-NGH8

Example: Buy the Spread

Buy 1 March 2018 Natural Gas (Henry Hub) Penultimate Financial Futures
Sell 1 March 2018 Natural Gas (Henry Hub) Last-day Financial Futures

Example: Sell the Spread

Sell 1 December 2018 Natural Gas (Henry Hub) Penultimate Financial Futures
Buy 1 December 2018 Natural Gas (Henry Hub) Last-day Financial Futures

These spreads are currently available for customer testing in New Release.

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MS BMD Strip


The BMD futures strip consists of multiples of four consecutive, quarterly expirations of a single product with the legs having a +1:+1:+1:+1 ratio. A 1-year strip, for example, consists of an equal number of futures contracts for each of the four consecutive quarters nearest to expiration.

Construction: Buy1exp1  Buy1exp2  Buy1exp3 Buy1exp4

Security Definition Example: FKB3:MS 01Y M8

Example: Buy the Spread

Buy 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate
Buy 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate

Example: Sell the Spread

Sell 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate

Sell 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate

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IN Invoice Swap Spread

An Invoice Swap is an Inter-commodity spread trade consisting of a long (short) Treasury futures contract and a long (short) non-tradeable Interest Rate Swap (IRS).

Construction

Buy 1 Invoice IRS spread buy 1 Treasury futures contract

Security Definition Example: IN:ZTM4L026220NOV14

Example: Buy the Spread

Buy 1 June 2014 2-Year Treasury Invoice Swap Spread, Buy 1 June Treasury Future

Example: Sell the Spread

Sell 1 June 2014 2-Year Treasury Invoice Swap Spread, Sell 1 June Treasury Future

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SC Invoice Swap Calendar Spread

An Invoice Swap calendar spread lists invoice swaps of the same tenor with consecutive quarters (e.g., 2 yr Dec 2015 vs. 2 yr Mar 2016) as two legs.

Security Definition Example: ZTU50317A-ZTM50317A

Example: Buy the Spread

Buy 1Mar 2016 5Y IN and sell 1 Dec 2015 5Y IN

Example: Sell the Spread

Sell 1Mar 2016 5Y IN and buy 1 Dec 2015 5Y IN

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SW Invoice Swap Switch Spread

A Treasury Invoice Swaps Switch Spread lists invoice swaps of the same contract month with different tenors with consecutive quarters (e.g., 2 yr Mar 2015 vs. 10 yr Mar 2015) as two legs.

Security Definition Example: ZNM51221A-ZTM50317A

Example: Buy the Spread

Buy 1 Mar 2015 10Y IN and sell 1 Mar 2015 2Y IN

Example: Sell the Spread

Sell 1 Mar 2015 10Y IN and buy 1 Mar 2015 2Y IN

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TL Tail Spread

The Treasury Tail User Defined Spread has a 1:1 calendar spread as leg 1 and a single future for leg 2. Leg 2 must be one of the 1:1 calendar spread legs (i.e., if Leg 1 is ZFZ5-ZFH6, then Leg 2 must be either ZFZ5 or ZFH6). The side of the outright leg must match the 1:1 calendar spread; Leg 2 must be on the buy side if it is the same as the front month of the calendar and on the sell side if it is the deferred month.

Example: Buy the Spread

Buy 1 ZFZ5-ZFH6, Buy 0.2 ZFZ5 at price 118.078125

Example: Sell the Spread

Sell 1 ZFZ5-ZFH6, Sell 0.2 ZFZ6 at price 118.078125

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EF Inter-Exchange Reduced Tick Ratio Spread

The EF strategy type involves trading 90-day short term interest rates in a single package across commodities or exchanges.

A EF inter-exchange reduced tick ratio spread has:

  • Two products in two different DCMs
    • Interest Rate future (DCM 1)
      • Expiration 2
      • Expiration 3
    • Interest Rate future (DCM 2)
      • Expiration 1
  • Expiration 1 shall be the nearest quarterly expiry month for Interest Rate future (DCM 2)
  • Expirations 2 and 3 shall be the nearest consecutive months for Interest Rate future (DCM 1) dated after Expiration 1 
  • Sixteen legs
  • Quantity/side ratio of [+3:+3]:-10 (Quantity/side ratio constructed with a bid-side bias)

Construction: Buy3exp2com1 Buy3exp3com1 Sell10exp1com2

Security Definition Example:  ZQF8G8-GEZ7

Pricing

The Inter-Commodity Reduced Tick Ratio Spread Trade Price is the average net differential between the current market price of the two legs of one commodity and one leg of another commodity.

Spread Trade Price = AvgPx(2 sets of Com1) – Com2

 If necessary, CME Globex will adjust Com1 leg prices to equal the spread price.

Leg Price Assignments

  • Leg 3 (Com2) is the anchor and assigned the most recent available price from the outright market; trade, best bid/best offer, or Indicative Opening Price. 
  • Legs 1 and 2 (Com1) are assigned prices in line with the outright markets but adjusted if necessary to equal the Spread Trade Price. 

Example of trade with leg price adjustment

This example illustrates the leg price assignments after adjustment.

Spread ZQF8G8-GEZ7 trades at 0.1425

  • ZQF8 Early Expiry = 98.9750
  • ZQG8 Later Expiry = 98.9050
  • GEZ7 Qtry Expiry = 98.8000

(98.9750+98.9050) / 2 = 98.9425 - 98.8000 = 0.1400

Most Recent Market Prices: (98.9750 + 98.9100) / 2 = 98.9425 - (988.000/10) = 0.1425

Adjusted Leg Prices Assigned: 

  • ZQF8 Early Expiry = 98.9750
  • ZQG8 Later Expiry = 98.9100

 (98.9750 + 98.9100) / 2 = 98.9425 - 98.8000 = 0.1425

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HO Calendar Horizontal

A horizontal (HO) options spread consists of buying a call (put) at a strike in the far month, and selling a call (put) at the same strike in the near month.

Spread ratio: (Buy 1: Sell 1)

Call Horizontal Construction: Buy1callstrike1exp1 Sell1callstrike1exp2

Security Definition Example: UD:CY: HO 1215909327

Example: Call Horizontal

Buy 1 December 2018 Corn 600 Call and

Sell 1 July 2018 Corn 600 Call

Put Horizontal Construction: Buy1putstrike1exp1 Sell1putstrike1exp2

Example: Put Horizontal

Buy 1 December 2018 Corn 600 Put and

Sell 1 July 2018 Corn 600 Put

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DG Calendar Diagonal

A Diagonal (DG) options spread consists of buying a call (put) in the deferred month expiration and selling a call (put) in the near month expiration at a different strike price.

Spread ratio: (Buy 1: Sell 1)

Security Definition Example: UD:CY: DG 0206909332

Call Diagonal Construction: Buy1callstrike1exp1 Sell1callstrike2exp2

Example: Call Diagonal

Buy 1 December 2018 Corn 600 Call and

Sell 1 July 2018 Corn 650 Call

Put Diagonal Construction: Buy1putstrike1exp1 Sell1putstrike2exp2

Example: Put Diagonal

Buy 1 December 2018 Corn 600 Put and

Sell 1 July 2018 Corn 650 Put

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ST Straddle

A Straddle (ST) options combination consists of buying both a call and put option on the same instrument, strike price and expiration date. 

Spread ratio: (Buy 1: Buy 1)

Security Definition Example: UD:U$: ST 0206929901

Construction: Buy1callstrike1exp1  Buy1putstrike1exp1

Example: Buy the Straddle

Buy 1 December 2018 Eurodollar 9800 Call and

Buy 1 December 2018 Eurodollar 9800 Put

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SG Strangle

A Strangle (SG) options combination consists of buying a put at a lower strike price and buying a call at a higher strike price within the same instrument and expiration.

Spread ratio: (Buy 1: Buy1)

Security Definition Example: UD:U$: SG 0206930320

Construction: Buy1putstrike1exp1   Buy1callstrike2exp1

Example: Buy the Strangle

Buy 1 December 2018 Eurodollar 9800 Put and

Buy 1 December 2018 Eurodollar 9900 Call 

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VT Vertical

A Vertical (VT) options spread is made up of all calls or all puts and consists of buying a call at a strike price and selling a call at a higher strike price or buying a put at a strike price and selling a put at a lower strike price within the same instrument and expiration date.

Spread ratio: (Buy 1: Sell 1)

Security Definition Example: UD:U$: VT 0206930321

Call Vertical Construction: Buy1callstrike1exp1Sell1callstrike2exp1

Put Vertical Construction: Buy1putstrike2exp1Sell1putstrike1exp1

Example: Call Vertical

Buy 1 December 2018 Eurodollar 9800 Call and

Sell 1 December 2018 Eurodollar 9900 Call

Example: Put Vertical 

Buy 1 December 2018 Eurodollar 9900 Put and

Sell 1 December 2018 Eurodollar 9800 Put

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BX Box

A Box (BX) options combination consists of buying the call and selling the put at the same lower strike price and buying the put and selling the call at the same higher strike all within the same instrument and expiry month.

Spread ratio: (Buy 1: Sell 1: Buy 1: Sell 1)

Security Definition Example: UD:M5: BX 0207913352

Construction: Buy1callstrike1exp1 Sell1putstrike1exp1 Buy1putstrike2exp1 Sell1callstrike2exp1

Example: Box

Buy 1 December mini-sized Dow Index 12000 Call

Sell 1 December mini-sized Dow Index 12000 Put

Buy 1 December mini-sized Dow Index 13000 Put

Sell 1 December mini-sized Dow Index 13000 Call

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CC Conditional Curve

Conditional Curve (CC) options spreads are unique to CME Group Interest rate products and consists of buying a call(put) at a strike in one product group and selling a call(put) at a strike in another product group.

Additionally, it is possible to have a Conditional Curve spread with a single strike (i.e. same for each leg) or two different strikes, where both strikes are listed.

Spread ratio: (Buy 1: Sell 1)

Security Definition Example: UD:U$: CC 0207931717

Call Conditional Curve Construction: Buy1callstrikeexp1 instrument1   Sell1callstrikeexp1 instrument2

Example: Call Conditional Curve

Buy 1 December Eurodollar 9800 Call

Sell 1 December 1-year Mid-Curve 9800 Call

Example: Put Conditional Curve

Buy 1 December Eurodollar 9800 Put

Sell 1 December 1-year Mid-Curve 9800 Put

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DB Double

A Double (DB) options spread is constructed of all calls (Call Double) or all puts (Put Double).

The Call Double consists of buying a call at a strike price and buying another call at a higher strike price within the same instrument and expiry month.

The Put Double consists of buying a put at a strike price and buying another put at a lower strike price within the same instrument and expiry month.

Spread ratio: (Buy 1: Buy 1)

Security Definition Example: UD:U$: DB 0203678458

Call Double Construction: Buy1callstrike1exp1 Buy1callstrike2exp1

Example: Call Double

Buy 1 December 2018 Eurodollar 98000 Call

Buy 1 December 2018 Eurodollar 98500 Call

Put Double Construction: Buy1putstrike2exp1 Buy1putstrike1exp1

Example: Put Double

Buy 1 December 2018 Eurodollar 98500 Put

Buy 1 December 2018 Eurodollar 98000 Put

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HS Horizontal Straddle

A Horizontal Straddle (HS) options combination consists of buying a straddle at one strike price in the deferred month and selling a straddle at the same or different strike in the near month.

More specifically, a Horizontal Straddle (HS) consists of buying a call and buying a put at the same strike price in the deferred month and selling a call and selling a put at the same lower strike price in the near month, all within the same instrument and expiry month.

Spread ratio: (Buy 1: Buy 1: Sell 1: Sell 1)

Security Definition Example: UD:U$: HS 0207743256

Construction: Buy1callstrike1exp2 Buy1putstrike1exp2 Sell1callstrike1exp1 Sell1putstrike1exp1

Example: Horizontal Straddle

Buying 1 Sept 2018 Eurodollar 98000 Call

Buying 1 Sept 2018 Eurodollar 98000 Put

Selling 1 June 2018 Eurodollar 98500 Call

Selling 1 June 2018 Eurodollar 98500 Put

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IC Iron Condor

A Iron Condor (IC) options combination consists of buying a put spread and buying a call spread at higher strike prices.
More specifically this consists of selling a put at one strike price, buying a put at a higher strike price, buying a call at a higher strike price, and selling a call at an even higher strike price, all within the same instrument and expiration.

Spread ratio: (Sell 1: Buy 1:Buy 1: Sell 1)

Security Definition Example: UD:T$: IC 0208383462

Construction: Sell1putstrike1exp1 Buy1putstrike2exp1 Buy1callstrike3exp1 Sell1callstrike4exp1

Example: Put Iron Condor

Sell 1 June 2018 30 Year Treasury Bond 116 Put

Buy 1 June 2018 30 Year Treasury Bond 117 Put

Buy 1 June 2018 30 Year Treasury Bond 118 Call

Sell 1 June 2018 30 Year Treasury Bond 119 Call

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12 Ratio 1x2

A Ratio 1x2 (12) options spread is constructed of all calls (Call Ratio 1x2) or all puts (Put Ratio 1x2).
The Call Ratio 1x2 consists of buying a call and selling two calls at a higher strike price within the same instrument and expiry month.

The Put Ratio 1x2 consists of buying a put at a strike price and selling two puts at a lower strike price within the same instrument and expiry month.

Spread ratio (Buy 1: Sell 2)

Security Definition Example: UD:U$: 12 0206772350

Call 1x2 Construction: Buy1callstrike1exp1 Sell2callstrike2exp1

Example: Call 1x2

Buy 1 March 2018 Eurodollar 9800 Call

Sell 2 March 2018 Eurodollar 9950 Call

Put 1x2 Construction: Buy1putstrike2exp1 Buy1putstrike1exp1

Example: Put 1x2

Buy 1 March 2018 Eurodollar 9950 Put

Sell 2 March 2018 Eurodollar 9800 Put

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13 Ratio 1x3

A Ratio 1x3 (13) options spread is constructed of all calls (Call Ratio 1x3) or all puts (Put Ratio 1x3).

The Call Ratio 1x3 consists of buying a call at one strike price and selling three calls at a higher strike price within the same instrument and expiry month.

The Put Ratio 1x3 consists of buying a put at one strike price and selling three puts at a lower strike price within the same instrument and expiry month.

Spread ratio: (Buy 1: Sell 3)

Security Definition Example: UD:M5: 13 0209923456

Call 1x3 Construction: Buy1callstrike1exp1 Sell3callstrike2exp1

Example: Call 1x3

Buying 1 March 2018 December mini-sized Dow Index 12000 Call

Selling 3 March 2018 December mini-sized Dow Index 13000 Call

Put 1x3 Construction: Buy1putstrike2exp1 Sell3putstrike1exp1

Example: Put 1x3

Buying 1 March 2018 December mini-sized Dow Index 13000 Put

Selling 3 March 2018 December mini-sized Dow Index 12000 Put

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23 Ratio 2x3

A Ratio 2x3 (23) options spread is constructed of all calls (Call Ratio 2x3) or all puts (Put Ratio 2x3).

The Call Ratio 2x3 consists of buying two calls at one strike and selling three calls at a higher strike price within the same instrument and expiry month.

The Put Ratio 2x3 consists of buying two puts at one strike price and selling three puts at a lower strike price within the same instrument and expiry month.

Spread ratio: (Buy 2: Sell 3)

Security Definition Example: UD:U$: 23 0206843756

Call 2x3 Construction: Buy2callstrike1exp1 Sell3callstrike2exp1

Example: Call 2x3

Buy 2 March 2018 Eurodollar 9800 Call

Sell 3 March 2018 Eurodollar 9950 Call

Put 2x3 Construction: Buy2putstrike2exp1 Sell3putstrike1exp1

Example: Put 2x3

Buy 2 March 2018 Eurodollar 9950 Put

Sell 3 March 2018 Eurodollar 9800 Put

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RR Risk Reversal

A Risk Reversal (RR) options combination consists of buying a call and selling a put option within the same instrument and expiration month.

The put component can be the same strike or a lower strike as the call option.

Spread ratio: (Buy 1: Sell 1)

Security Definition Example: UD:U$: RR 0206003457

Construction: Buy1callstrike2exp1 Sell1putstrike1or2exp1

Example: Risk Reversal

Buy 1 June 2018 Eurodollar 9900 Call

Sell 1 June 2018 Eurodollar 9800 Put

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GD Strip Spread

The GD Strip Spread is the simultaneous purchase or sale of SA Strips at the sum of the SA Strip legs. The SA Strip legs are priced according to the SA Strip rules. The GD Strip Spread is identified by tag 762-SecuritySubType=GD. GD is available in options markets only in User-Defined spreads.

Security Definition Example: UD:1T: GD 1031912656

A GD Strip Spread has

  • One product
  • Legs must be able to be understood as SA StripsQuantity ratio of 1:1...1
    • Minimum of two legs
    • Maximum of 26 legs
  • Any side ratio is acceptable. All legs must have the same tick size
    • May contain both buy SA Strips and sell SA Strips

CME Globex recognizes a new UDS as a GD Strip Spread if the legs are submitted as outrights or if they are submitted as a recursive spread, even if the spread legs are not defined as SA Strips. For example, a recursive UDS with two VT Vertical legs will be recognized as a GD Strip Spread if the legs of the VT Verticals follow the SA Strip rules above.

iLink execution messages for trades are only sent on the individual SA Strip legs.

Pricing

  • The Spread Trade Price is the differential of the SA Strip legs
    • SA Strip legs are priced following the SA Strip rules
  • Leg price assignment
    1. Calculate Fair Price of the GD Strip Spread
    2. Calculate the difference between the Fair Market Price and the Spread Trade Price
    3. Assign the difference to each SA Strip leg equally to reach the Spread Trade Price

Pricing Example

GD Strip Spread trades at 100

  1. SA Strip Leg 1 has Fair Market Average Price of 23.
  2. SA Strip Leg 2 has Fair Market Average Price of 123.
  3. Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
    1. SA Strip Leg1 = 23
    2. SA Strip Leg2 = 123

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XT Xmas Tree

The Xmas Tree (XT) options spread is constructed of all calls (Call Xmas Tree) or all puts (Put Xmas Tree).

The Call Xmas Tree consists of buying a call at one strike, selling a call at a higher strike and selling yet another call at a higher strike, all within the same instrument and expiration month.

The Put Xmas Tree consists of buying a put at a higher strike and selling a put at a lower strike and selling yet another put at a still lower strike, all within the same instrument and expiration month.

The Xmas Tree requires a specific symmetry in the strikes in that the difference between the strike prices is the same for all legs.

Spread ratio: (Buy 1: Sell 1: Sell 1)

Security Definition Example: UD:U$: XT 020909112

Call Xmas Tree Construction: Buy1callstrike1exp1 Sell1callstrike2exp1 Sell1callstrike3exp1

Example: Call Xmas Tree

Buy 1 June 2018 Eurodollar 9800 Call

Sell 1 June 2018 Eurodollar 9850 Call

Sell 1 June 2018 Eurodollar 9900 Call

Put Xmas Tree Construction: Buy1putstrike3exp1 Sell1putstrike2exp1 Sell1putstrike1exp1

Example: Put Xmas Tree

Buy 1 June 2018 Eurodollar 9900 Put

Sell 1 June 2018 Eurodollar 9850 Put

Sell 1 June 2018 Eurodollar 9800 Put

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3W 3-Way

A 3-Way (3W) options spread is constructed of calls and puts on the same instrument and expiry month with different strike prices.

A Call 3-way consists of buying the call for the middle strike price, selling the call for high strike price, and selling the put for the low strike price.

A Put 3-way consists of buying the put for middle strike price, selling the put for low strike price, and selling the call for the high strike price.

Spread ratio: (Buy 1: Sell 1: Sell 1)

Security Definition Example: UD:1H: 3W 0508834528

Call 3-Way Construction: Buy1callstrike2exp1 Sell1callstrike3exp1 Sell1putstrike1exp1

Example: Call 3-Way Spread

Buy 1 July 2018 Lean Hog 78000 Call

Sell 1 July 2018 Lean Hog 80000 Call

Sell 1 July 2018 Lean Hog 77000 Put

Put 3-Way Construction: Buy1putstrike2exp1 Sell1putstrike1exp1 Sell1callstrike3exp1

Example: Put 3-Way Spread

Buy 1 July 2018 Lean Hog 78000 Put

Sell 1 July 2018 Lean Hog 76000 Put

Sell 1 July 2018 Lean Hog 80000 Call

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3C 3-Way Straddle versus Call

A 3-way: Straddle versus Call (3C) options combination consists of buying a Straddle and (versus) selling a Call in the same expiry month. The Straddle component consists of buying a Call and buying a Put in the same instrument, expiration, and strike price. The opposing (versus) component is to sell a Call for the same instrument and expiration but at a different strike price.

Spread ratio: (Buy 1: Buy 1: Sell 1)

Security Definition Example: UD:T$: 3C 0122667543

Construction: Buy1callstrike1exp1 Buy1putstrike1exp1 Sell1callstrike(2)exp1

Example: Buy the 3-way: Straddle versus Call

Buy 1 December 2019 Ten-Year Treasury Note option 120 Call

Buy 1 December 2019 Ten-Year Treasury Note option 120 Put

Sell 1 December 2019 Ten-Year Treasury Note option 123 Call

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3P 3-Way Straddle versus Put

A 3-way: Straddle versus Call (3C) options combination consists of buying a Straddle and selling a Put in the same expiry month.

The Straddle component consists of buying a Call and buying a Put in the same instrument, expiration, and strike price. The opposing component is to sell a Put for the same instrument and expiration but at a different strike price.

Spread ratio: (Buy 1: Buy 1: Sell 1)

Security Definition Example: UD:T$: 3P 0129234563

Construction: Buy1callstrike1exp1 Buy1putstrike1exp1 Sell1putstrike2exp1

Example: Buy the 3-way: Straddle versus Put

Buy 1 December 2019 Ten-Year Treasury Note option 120 Call

Buy 1 December 2019 Ten-Year Treasury Note option 120 Put

Sell 1 December 2019 Ten-Year Treasury Note option 117 Put

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IB Iron Butterfly

An Iron Butterfly (IB) options combination consists of buying a Straddle and selling a Strangle in the same expiry month. The IB components are to sell a Put at a strike price, buy Put and Call at higher strike price, and sell a Call at an even higher strike price. The strike prices do not have to be consecutive and the gaps between strike prices do not have to be equal.

Spread ratio: (Sell 1: Buy 1: Buy 1: Sell 1)

Security Definition Example: UD:T$: IB 01277435267

Construction: Sell1putstrike1exp1 Buy1putstrike2exp1 Buy1callstrike2exp1 Sell1callstrike3exp1

Example: Iron Butterfly

Sell 1 March 2019 Ten-Year Treasury Note option 118 Put

Buy1 March 2019 Ten-Year Treasury Note option 120 Put

Buy 1 March 2019 Ten-Year Treasury Note option 120 Call

Sell 1 March 2019 Ten-Year Treasury Note option 122 Call

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JR Jelly Roll

A Jelly Roll (JR) options combination is created by entering into two separate positions simultaneously. The first position involves buying a put and selling a call with the same strike price and expiration. The second position involves selling a put and buying a call. The strike prices of the put and call in the second position are identical but differ from the first position, and the duration of the second position is longer than the first position. This overall position creates a synthetic near-term short position and long-term long position that work to capitalize upon the time differential between underlying futures prices.

  • Leg sequence
    • Sell 1 call
    • Buy 1 put
    • Buy 1 call
    • Sell 1 put
  • Strike configuration
    • Leg 1 strike = Leg 2 strike
    • Leg 3 strike = leg 4 strike
    • Leg 3 strike ≠ leg 1 strike
  • Leg Expiration
    • Leg 1 expiration = leg 2 expiration
    • Leg 3 expiration = leg 4 expiration
    • Leg 1 expiration < leg 3 expiration

Spread ratio: (Sell 1: Buy 1: Buy 1: Sell 1)

Security Definition Example: UD:U$: JR 0227775643

Buy Jelly Roll Construction: Sell1callstrike1exp1 Buy1putstrike1exp1 Buy1callstrike2exp2 Sell1putstrike2exp2

Example: Buy Jelly Roll

Sell 1 Dec 2019 Eurodollar options 9750 Call

Buy 1 Dec 2019 Eurodollar options 9750 Put

Buy 1 March 2020 Eurodollar options 9825 Call

Sell 1 March 2020 Eurodollar options 9825 Put

Sell Jelly Roll Construction: Buy1callstrike1exp1 Sell1putstrike1exp1 Sell1callstrike2exp2 Buy1putstrike2exp2

Example: Sell Jelly Roll

Buy 1 Dec 2019 Eurodollar options 9750 Call

Sell 1 Dec 2019 Eurodollar options 9750 Put

Sell 1 March 2020 Eurodollar options 9825 Call

Buy 1 March 2020 Eurodollar options 9825 Put

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GT Guts

A Guts (GT) options combination consists of buying a Call at a strike price and buying a Put at a higher strike price in the same expiry.

Spread ratio: (Buy 1: Buy 1)

Security Definition Example: UD:T$: GT 0127856432

Construction: Buy1callstrike1exp1 Buy1putstrike2exp1

Example: Buy the Guts

Buy 1 December 2019 Ten-Year Treasury Note option 120 Call

Buy 1 December 2019 Ten-Year Treasury Note option 122 Put

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CV Covered

The CV Covered is the simultaneous purchase or sale of outright options or options spreads or combination with one or more outright futures; for example, buying call options and selling futures or selling put options and selling futures. The creator of the UDS is responsible for defining the direction, delta, price, and expiration of the futures leg(s).  Covereds pricing and leg assignments follow the rules of the options leg; i.e., an outright options covered with a future is priced following the rules of the option leg and a VT Vertical covered with a future is priced following the rules of the VT Vertical. The CV Covered is identified with tag 762-SecuritySubType=CV:XX, where XX is either "FO" for an outright option or the options spread type (e.g., "GN", "VT"). CV Covered is available as an options-futures User-Defined Spread only.

A CV Covered has:

  • Many products
  • At least one and up to 25 outright futures legs, with defined directions, deltas, prices and terms
  • At least one options outright or options spread
  • Any quantity ratio, so long as the ratio has the least common denominator possible
  • Any side ratio, as long as the first option outright or option spread leg is a buy

Pricing

  • The Spread Trade Price is the price or differential of the outright options or options spread legs
    • A CV Covered SA Strip follows the SA pricing rules
    • A CV Covered GD Strip Spread follows the GD pricing rules
  • Leg price assignment
    1. If options leg(s) are a spread or combination, the Spread Trade Price is calculated following the defined spread rules
      1. If options leg is an outright, the Spread Trade Price is assigned to the options leg 
    2. Multiply the Delta times the total number of traded options
    3. Assign the futures quantity at the Futures Leg Price

Pricing Example

CV Covered trades 100 lots at 25

  • Leg1 is a 1 lot buy options outright
  • Leg2 is a 1 lot sell futures outright, Delta 47 and price 200,000
  1. Outright options Leg1 is assigned Spread Trade Price of 25
    1. Futures outright Leg2 sells 47 lots (Delta * traded options quantity) at defined price of 200,000.

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EO Reduced Tick Inter-Commodity Option Spread

For UDS creation, a Reduced Tick Inter-Commodity Option Spread (EO) spread or combination consists of buying one American Natural Gas Option (ON) and selling one European Natural Gas Option (LNE) with a reduced tick. Strike prices and months do not have to be consecutive, and either leg can be a call or a put.

Buy Spread Ratio: (Buy 1 ON: Sell 1 LNE)

Security Definition Example: UD:1T: EO 020691261548

Example 1

 Buy 1 April 2017 ON Natural Gas Option (American) 2750 Call

 Sell 1 April 2017 LNE Natural Gas Option (European) 2750 Call

Example 2

Buy1 March 2017 ON Natural Gas Option (American) 3100 Call

Sell 1 April 2017 LNE Natural Gas Option (European) 2950 Put

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Generic

If the spread or combination requested by the user is not identified as one of the CME Globex recognized spread types, but has a valid construction, the instrument will be created exactly as the user requested and designated in market data as 'GN' (generic).

Under the generic designation, the user can create options spread instruments composed of multiple spread types. For example, a unique options spread instrument can be created by combining the configurations of a Vertical options spread and Xmas tree options spread into a unique Generic instrument.

Generic spreads can contain up to 26 outrights. This count is irrespective of leg ratio. For example, when the user submits a proposed user defined spread to CME Globex containing an options butterfly (buy1, sell2, buy1) as a leg, CME Globex will count that instrument as 3 (buy/sell/buy) instruments against the 26 instrument limit.

For additional information, see User-Defined Spread (UDS).

For advanced information on UDS construction rules, see UDS - Validation and Messaging Rules.

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CME FX Link (XF,YF)


CME FX Link is traded on CME Globex as the differential between CME FX Futures and OTC Spot FX, resulting in the simultaneous execution of FX Futures cleared by CME Group, and OTC Spot FX transactions subject to bilateral OTC relationships. The CME FX Link spreads consist of OTC FX Spot vs. each of the front three quarterly CME FX Futures. Three consecutive CME FX Link months are listed for eligible currency pairs. A new spread will be added two weeks prior to the last trade date of an expiring CME FX Future. The OTC FX Spot leg is only tradeable as part of the CME FX Link spread.


The spreads are traded as a differential between FX Futures and OTC spot, with both legs expressed in OTC quote convention. Therefore, the spread construction is either non-inverted or inverted, depending on whether the quoting convention of the related futures leg is inverted or non-inverted with respect to the typical OTC convention for that currency pair.


With a non-inverted CME FX Link Spread (XF):


    • The CME FX Future follows the same convention as the OTC market.
    • The buyer of the spread buys CME FX futures and sells OTC spot. The seller sells CME futures and buys OTC spot.  


With an inverted CME FX Link Spread (YF):


    • The CME FX Future is inverted from the standard OTC convention.
    • The buyer of the spread sells CME FX futures and sells OTC spot. The seller buys CME futures and buys OTC spot.


Non-Inverted CME FX Link Spread (XF)


Construction: Buy1FXFutureExp1  Sell1FXOTCSpot


Security Definition Example6E:XF:EURUSD:M8 


Example: Buy the Spread


Buy 1 March 2018 CME Euro FX Future and


Sell 1 Euro / US Dollar Spot 


Example: Sell the Spread


Sell 1 March 2018 CME Euro FX Future and


Buy 1 Euro / US Dollar Spot 


Inverted CME FX Link Spread (YF)


Construction: Sell1FXFutureExp1  Sell1FXOTCSpot


Security Definition Example: 6J:YF:USDJPY:M8 


Example: Buy the Spread


Sell 1 March 2018 Japanese Yen Future and


Sell 1 US Dollar / Japanese Yen Spot 


Example: Sell the Spread


Buy 1 March 2018 Japanese Yen Future and


Buy 1 US Dollar / Japanese Yen Spot
Selling an inverted FX futures contract is the same as buying the contract in OTC terms.


Pricing


This section provides an overview of FX Link Pricing. For more detailed pricing information, consult the FX Link quotation and pricing guide. The full economic terms of the spot instrument will be available on CME STP.


Pricing Overview


The formula for spot rate for non-inverted and inverted spreads is outlined below. The FX Link spot leg is rounded based on the Security Definition minimum tick precision (tag 969-MinPriceIncrement), after the calculations below are performed. The trade date for FX Link is the market data trade date, not the clearing trade date. Tag 527-SecondaryExecID allows linking the spread summary fill notice with the leg fill notices to determine price information. 


Pricing Formula


  • Non-Inverted (XF)
    • Spot Price = Future Price – Spread Price
  • Inverted (YF)
    • Spot Price = (1/ Futures Price) – Spread Price


Notional Calculations


  • Non-Inverted (XF)
    • Base Notional = Contract Size * Contract Quantity
    • Quote Notional = Base Notional * Spot Price
  • Inverted (YF)
    • Base Notional = Quote Notional / Spot Price
    • Quote Notional = Contract Size * Contract Quantity


Value Date


  • USD/CAD = T+1 business days, all other currency pairs are T+2 business days
  • Value date must be a valid day in both currencies’ calendars.

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