This topic describes the spread and combination instrument types available on the CME Globex platform.
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.
 CME Group defines a Futures Spread as any multilegged instrument made up of outright futures and/or futures spreads.
 CME Group defines an Options Combination as any multilegged instrument made up of calls, puts and/or future(s).
 CME Group defines an Options Spread as any multilegged instrument made up of only calls or puts.
This table shows available exchangerecognized spread and combination types available on CME Globex.
BF Butterfly
SecuritySubType=BF
A Butterfly is a differential spread composed of three legs having equidistant expirations—the near and deferred expirations of a product on one side of the spread, and twice the quantity of the middle expirations of a product on the other side (1:2:1).
A Butterfly has:
 One Product
 Three legs
 Leg1 (buy leg) must be the nearest expiration
 Leg2 (sell leg) must be the middle expiration compared to legs 1 and 3 for two lots
 Leg3 (buy leg) must be the most deferred expiration
 Quantity/side ratio of the legs is +1:2:+1
 Expiration sequencing for Butterfly:
 Leg 1 month < Leg 2 month < Leg 3 month
 In addition, expirations differentials must be sequential and equal, Leg 2 month – Leg 1 month = Leg 3 month – Leg 2 month
 Example: SR1:BF M9–U9–Z9, the June – Sept. – Dec. butterfly, 9 – 6 = 12 – 9
 There are some exceptions to this (grains, meats)
 Expiration sequencing for a Broken Butterfly (aka Broken Fly) is:
 Leg 1 month < Leg 2 month < Leg 3 month
 Example: SR1:BF H9–M9–Z9
 Note: expiration order is the same as the Butterfly, however the equal expiration differential rule is waived
 Buying a Butterfly buys leg1, sells 2 * leg2, buys leg3
 Selling a Butterfly sells leg1, buys 2 * leg2, sells leg3
Example
 Instrument Symbol = SR1:BF M9–U9–Z9
 Leg1 = +1 SR1M4
 Leg2 = 2 SR1U4
 Leg3 = +1 SR1Z4
Pricing
 The Butterfly Trade Price is = Leg1 – (2 * Leg2) + Leg3
Leg Price Assignment
 Leg1 and leg2 are the anchor legs and assigned fair market price
 Leg3 is calculated:
 Trade Price + Leg 2* Leg2 – Leg1
 If leg3 price is outside the daily limits, Leg3 will be adjusted to daily limit and Leg2 is recalculated
 Leg1 = Trade Price + (2 * Leg2) – Leg3
 Leg2 = (Leg1 + Leg3 – Trade Price)/2
 If leg2 is now outside the daily limits, leg2 will be adjusted to the daily limit and leg1 recalculated
Pricing Example
Butterfly trades at 13.5
 Leg1 has Fair Market Price of = 9812.5
 Leg2 has Fair Market Price of = 9857.5
 Leg3 = ((Trade Price) – leg1 + (2 * leg2))
 Leg3 = 9916
Pricing Example Legs Calculated Outside of Daily Limits
Leg3 outside daily limit; leg3 reset to daily limit and leg 2 is recalculated
Butterfly trades at 13.5
 Leg1 has Fair Market Price of = 9812.5
 Leg2 = (Leg2 Settlement Price + Leg3 – Trade Price)/2 (calculated price of leg 2 is off tick since there are two legs. Round one leg up to the nearest on tick price and round one leg down to the nearest on tick price. Those two new prices should sum to the collective calculated price of leg 2)
 Leg2 = 9859.50
 Leg2 = 9860
 Leg3 has a Fair Market Price of = 9901
Leg2 outside daily limit; leg2 reset to daily limit and leg1 recalculated
Butterfly trades at 13.5
 Leg1 = Trade Price + (2 * Leg 2)  Leg 3
 Leg1 = 13.5 + 19740 – 9875.5 = 9878
 Leg2 has a Fair Market Price of = 9870
 Leg3 has a Fair Market Price of = 9875.5
Leg1 outside daily limit; leg1 is reset to daily limit and all legs are recalculated starting at leg3.
Note: this process will continue for two rounds. If an ontick price cannot be determined for the final leg (leg 1) after two attempts, the price stands. Customers can receive a nonsettled price for the recalculated leg.
Leg1 outside daily limit; leg1 reset to daily limit and leg3 recalculated
Butterfly trades at 13.5
 Leg1 = 9814
 Leg2 has a Fair Market Price of = 9870
 Leg3 = ((Trade Price) – leg1 + (2 * leg2))
 Leg3 = 9939.5
BO Butterfly
SecuritySubType=BO
The Butterfly is an options spread involving the simultaneous purchase (sale) of a call (put), the sale (purchase) of two calls (puts), and purchase (sale) of a call (put) at different equidistant strike prices with the same expirations.
A Butterfly has:
 One Product
 Three legs
 Leg1 (buy leg) must be a call at the lowest strike price (herein known as strike1) for a quantity of one lot
 Leg2 (sell leg) must be a call at the middle strike price (herein known as strike2) for a quantity of two lots
 Leg3 (buy leg) must be a call at the highest strike price (herein known as strike3) for a quantity of one lot
 The strikes must satisfy this equation (see below, strikes must be equidistant):
 strike2 – strike1 = strike3 – strike2
 All three legs must be the same expiration
 For a call Butterfly
 For a put Butterfly
 strike1 – strike2 = strike2 – strike3
 Leg1 (buy leg) must be a put at the highest strike price (herein known as strike1) for a quantity of one lot
 Leg2 (sell leg) must be a put at the middle strike price (herein known as strike2) for a quantity of two lots
 Leg3 (buy leg) must be a put at the lowest strike price (herein known as strike3) for a quantity of one lot
 The strikes must satisfy this equation (see below, strikes must be equidistant):
 Quantity/side ratio of the legs is +1:2:+1
 Buying a Butterfly buys leg1, sells leg2, and buys leg3
 Selling a Butterfly sells leg 1, buys leg2, and sells leg3
Example
 Instrument Symbol = UD:1N: BO 0808912345
 Leg1 = +1 LOU8 C6600
 Leg2 = 2 LOU8 C6800
 Leg3 = +1 LOU8 C7000
Pricing
The BO Butterfly Trade Price is = leg1 – (2*leg2) + leg3
Leg Price Assignment
 Calculate Fair Price of the Butterfly based on fair prices of the legs.
 Calculate the difference between the Butterfly trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Butterfly trades at 57
 Leg1 has Fair Market Price of = 141
 Leg2 has Fair Market Price of = 46
 Leg3 has Fair Market Price of = 12
 Spread Fair Market Price = 141 + 12 – (2*46) = 61
 Spread Trade Price  Fair Market Price = 57 – 61 = 4
 There are 4 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 141 +1 = 142
 Leg2 = 46 + 1 = 45 (Note: this leg is a two lot, so the price adjustment counts double)
 Leg3 = 12  1 = 13
Pricing Example – Unequal Distribution
Butterfly trades at 59
 Leg1 has Fair Market Price of = 141
 Leg2 has Fair Market Price of = 46
 Leg3 has Fair Market Price of = 12
 Spread Fair Market Price = 141 + 12 – (2*46) = 61
 Spread Trade Price  Fair Market Price = 59 – 61 = 2
 There are 2 ticks to distribute
 The adjustment is applied as follows:
 Leg1 = 141 2 = 139
 Leg2 = 46
 Leg3 = 12
DF Double Butterfly
SecuritySubType = DF
A Double Butterfly is composed of two different Butterfly spreads with the nearest Butterfly expiration purchased (sold) and the furthest Butterfly expiration sold (purchased). The spacing of expirations in both Butterfly spreads needs to be identical, i.e. both need to be “three month” Butterflies. This causes the actual construction of the Double Fly to look like this:
Buy (sell) one of the nearest expiration, sell (buy) three of the second nearest expiration, buy (sell) three of the third nearest expiration, and sell (buy) one of the most deferred expiration.
A Double Butterfly has:
 One Product
 four legs
 Leg1 (buy leg) must be the nearest expiration
 Leg2 (sell leg) must be the next nearest expiration
 Leg3 (buy leg) must be the third nearest expiration
 Leg4 (sell leg) must be the most deferred expiration
 Quantity/side ratio of the legs is +1:3:+3:1
 Expiration sequencing for Double Butterfly:
 Leg1 month < Leg2 month < Leg3 month < Leg4 month
 In addition, expiration differentials must be sequential and equal, i.e. if Leg1 expires in June and Leg2 expires in Sept., the next two legs must have an expiration differential of three months as well, so Leg3 must expire in Dec. and Leg4 must expire in March of the next year (see symbol below for an example of this)
Example: Instrument Symbol = SR1:DF M9U9Z9H0
 Leg1 = +1 SR1M4
 Leg2 = 3 SR1U4
 Leg3 = +3 SR1Z4
 Leg4 = 1 SR1H0
 Buying a Double Butterfly buys leg1, sells three of leg2, buys three off leg3, sells leg4
 Selling a Double Butterfly sells leg1, buys three of leg2, sells three off leg3, buys leg4
Pricing
 The Double Butterfly Trade Price is = Leg1 – (3 * Leg2) + (3 * Leg3) – Leg
Leg Price Assignment
 Leg1, leg2 and leg3 are assigned most recent price update
 Leg4 is calculated using the differential of the traded spread price:
 Leg1 – (3 * Leg2) + (3 * Leg3) – Trade Price
 If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated
 Leg1 = Trade Price + (3 * Leg2)  (3 * Leg3) +Leg4
Pricing Examples
Double Butterfly trades at 13.5
 Leg1 = 9812.5
 Leg2 = 9857.5
 Leg3 = 9857.0
 Leg4 is calculated:
 9812.5 – (3 * 9857.5) + (3 * 9857.0) – 13.5
 Leg4 = 9797.5
Pricing Example Legs Calculated Outside of Daily Limits
Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated
Double Butterfly trades at 13.5
 Leg1 has a calculated price:
 Leg1 = Trade Price + (3 * Leg2)  (3 * Leg3) +Leg4
 Leg1 = 13.5 +29572.5 – 29571.0 + 9797.5
 Leg1 = 9812.5
 Leg2 = 9857.5
 Leg3 = 9857.0
 Leg4 = 9797.5
Calendar
SecuritySubType=SP, EQ, FX, SD, EC
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
The Standard Calendar Spread is a futures spread involving the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration. The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of nearby expiration minus the deferred expiration.
A Standard Calendar Spread has:
 One Product
 Two legs
 Leg1 (buy leg) must be the nearest expiration
 Leg2 (sell leg) must be the deferred expiration
 Quantity/side ratio of the legs is +1:1
 Buying a Standard Calendar Spread buys leg1, sells leg2
 Selling a Standard Calendar Spread sells leg1, buys leg2
Example
 Instrument Symbol = NGZ9NGF0
 Leg1 = +1 NGZ9
 Leg2 = 1 NGF0
Note: this spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to CME Globex match engine price assignment. Member firms can designate a default way to handle price assignment to these legs in Clearing. As a result, it is possible to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).
Pricing
 The Standard Calendar Spread Trade Price is = Leg1 – Leg2
Leg Price Assignment
 Determine the anchor leg of the Standard Calendar Spread
 The leg with the most recent price update (last price update or settlement price) is the anchor leg.
 In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg
 Calculate the nonanchor leg:
 If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price
 If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price
 If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg
Note: If the recalculated price is outside the daily limit the price will stand. Customers can receive a nonsettled price for the recalculated leg.
In this example leg1 has the most recent price
 Leg1 is the anchor leg
 Leg2 is calculated:
 Leg2 = Leg1 – Trade Price of spread
Pricing Example
Standard Calendar Spread trades at 105
 Leg1 = anchor price of 2558, therefore this is automatically assigned
 Leg2 = 2558 – 105 = 2453
In this example leg2 has the most recent price
 Leg2 is the anchor leg
 Leg1 is calculated:
 Leg1 = Leg2 + Trade Price of spread
Pricing Example
Standard Calendar Spread trades at 105
 Leg2 = anchor price of 2558, therefore this is automatically assigned
 Leg1 = 2558 + (105) or Leg1 – 105 = 2453
EQ Calendar
This Calendar Spread is a futures spread involving the simultaneous purchase (sale) of a deferred expiration with a sale (purchase) of a nearby expiration within one product. The price of this Calendar Spread is a differential between the two expirations (deferred minus nearby).
Note: while the contract symbol convention for this spread lists the deferred leg second, buying this spread represents purchase of the second leg and sale of the first leg. This is different from other Calendar Spreads listed on CME Globex.
This Calendar Spread has:
 One Product
 Two legs
 Leg1 (sell leg) must be the nearest expiration
 Leg2 (buy leg) must be the furthest expiration
 Quantity/side ratio of the legs is 1:+1
 Buying this Calendar Spread sells leg1, buys leg2
 Selling this Calendar Spread buys leg1, sells leg2
Example
 Instrument Symbol = ESU9ESZ9
 Leg1 =  1 ESU9
 Leg2 = +1 ESZ9
Note: this Calendar Spread may have a smaller minimum tick than the outright futures legs or the same tick for both as the legs. This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to CME Globex match engine price assignment. Member firms can designate a default way to handle price assignment to these legs in Clearing. As a result, it is possible to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).
Pricing
 This Calendar Spread Trade Price is = Leg2 – Leg1
Leg Price Assignment
 Determine the anchor leg of this Calendar Spread
 The anchor leg is the prior day settlement price of Leg1
 Calculate the nonanchor leg:
 Leg 2 = Spread Price + Leg1 price
 If the calculated price is outside the daily limits, set the Leg2 price to its limit and recalculate the price of Leg1
 Leg1 = Leg2 – Spread Price
Note: If the recalculated price is outside the daily limit the price will stand. Customers can receive a nonsettled price for the recalculated leg.
Pricing Examples
This Calendar Spread trades at 80.65
 Leg1 has a prior day’s settlement of 2880.30
 Leg2 = Trade Price + Leg1
 80.65 + 2880.30
 Leg2 = 2960.95
This Calendar Spread trades at 80.65
 Leg2 has a lower limit price of 2967.95
 Leg1 = Leg2 – spread trade price
 2967.95 – 80.65
 Leg2 = 2887.30
FX Deferred Calendar
SecuritySubType = FX
The Deferred Calendar Spread is a futures spread involving the simultaneous purchase (sale) of one product with a deferred expiration and a sale (purchase) of the same product at a nearby expiration. The listing convention of this spread and its corresponding symbol is to have the further expiration listed first and the nearby expiration listed second, creating a differential spread price of deferred expiration price minus the nearby expiration price.
A Deferred Calendar Spread has:
 One Product
 Two legs
 Leg1 (buy leg) must be the deferred expiration
 Leg2 (sell leg) must be the nearby expiration
 Quantity/side ratio of the legs is +1:1
 Buying a Deferred Calendar Spread buys leg1, sells leg2
 Selling a Deferred Calendar Spread sells leg1, buys leg2
Example
 Instrument Symbol = GDX9GDV9
 Leg1 = +1 GDX9
 Leg2 = 1 GDV9
Note: This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how the Globex Matching Engine assigns prices.
Pricing
 The Deferred Calendar Spread Trade Price is = Leg1 – Leg2
Leg Price Assignment
 Determine the anchor leg of the Deferred Calendar Spread
 The anchor leg is the prior day settlement for leg2.
 Calculate the nonanchor leg:
 Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Trade Spread Price
 If the calculated price is outside the daily limits, set the leg1 price to its limit and calculate the price of leg2
 Leg2= Leg1  Trade Price of the spread
Note: If the recalculated price is outside the daily limit the price will stand. Customers can receive a nonsettled price for the recalculated leg.
In this example leg2 has prior day’s settlement price
Deferred Calendar Spread trades at 10
 Leg2 prior day settle is 39905
 Leg1 is calculated
 39905 + 10
 Leg1 = 39915
 Leg1 = Leg2 + Trade Price of the spread
SD Calendar
SecuritySubType = SD
This Calendar Spread is a futures spread involving the simultaneous purchase (sale) of one product with a deferred expiration and a sale (purchase) of the same product at a nearby expiration. SecuritySubType = SD is specific to FX Calendar spreads. The listing convention of this spread and its corresponding symbol is to have the further expiration listed first and the nearby expiration listed second, creating a differential spread price of deferred expiration price minus the nearby expiration price.
This Calendar has:
 One Product
 Two legs
 Leg1 (buy leg) must be the deferred expiration
 Leg2 (sell leg) must be the nearby expiration
 Quantity/side ratio of the legs is +1:1
 Buying this Calendar buys leg1, sells leg2
 Selling this Calendar sells leg1, buys leg2
Example
 Instrument Symbol = 6BM76BJ7
 Leg1 = +1 6BM7
 Leg2 =  1 6BJ7
Note: This Calendar may have a smaller minimum tick than the outright futures legs or the same tick for both as the legs. This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how the Globex Matching Engine assigns prices. It is common for member firms to designate a default way of handling price assignment to these legs in Clearing. As a result, it is common to have different leg prices assigned by Clearing that will not match the prices obtained from Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to at CME as “SLEDS”.
Pricing
 This Calendar Trade Price is = Leg1 – Leg2
Leg Price Assignment
 Determine the anchor leg of the Calendar
 The leg with the most recent price update is the anchor leg.
 In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg
 Calculate the nonanchor leg:
 If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price
 If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price
 If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg
Note: If the recalculated price is outside the daily limit the price will stand. Customers can receive a nonsettled price for the recalculated leg.
In this example leg1 has the most recent price
This Calendar trades at 10
 Leg1 = 14965
 Leg2 is calculated
 Leg1 – Trade Price of the spread
 14965  10
 Leg2 = 14955
In this example leg2 has the most recent price
This Calendar trades at 10
 Leg2 = 14960
 Leg1 is calculated
 14960 + 10
 Leg1 = 14970
 Leg1 = Leg2 + Trade Price
EC Calendar
SecuritySubType = EC
The EC Calendar Spread is a calendar future spread involving the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration. The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of the nearby expiration minus the deferred expiration.
EC Calendar Spread structure:
 One Product
 Two legs
 Leg1 (buy leg) must be the nearest expiration
 Leg2 (sell leg) must be the deferred expiration
 Quantity/side ratio of the legs is +1:1
 Buying an EC Calendar Spread buys leg1, sells leg2
 Selling an EC Calendar Spread sells leg1, buys leg2
Example
 Instrument Symbol = CLTX1CLTZ1
 Leg1 = +1 CLTX1
 Leg2 = 1 CLTZ1
Pricing
 The EC Calendar Spread trade price is = Leg1  Leg2
Leg Price Assignment
 Leg1 is the anchor leg and priced at zero
 Leg2 is calculated:
 Leg1  Spread Trade Price
EC Calendar Spreads Leg Price Assignment
 Leg1 is always priced at zero
 Leg2 is always priced at zero minus the EC Calendar Spread traded price
 If the EC Calendar Spread traded price is zero, the resulting Leg2 price will be zero
 If the EC Calendar Spread traded price is negative, the resulting Leg2 price will be positive
 If the EC Calendar Spread traded price is positive, the resulting Leg2 price will be negative
The following examples are of the EC Calendar Spread, using the underlying TAS futures outright contract settlement prices:
 Leg1 TAS underlying contract CLX1 settle price = 4961
 Leg2 TAS underlying contract CLZ1 settle price = 4980
EC Calendar Spread traded price is 0
 CLTX1 is priced at 0
 CLTZ1 is priced at 0
 Clearing assigns the following:
 CLX1 assigned price = 4961
 CLZ1 assigned price = 4980
EC Calendar Spread traded price is 2
 CLTX1 is priced at 0
 CLTZ1 is priced at 2
 0 (2) = 2
 Clearing assigns the following:
 Leg2 = 4980 + 2 = 4982
 CLX1 assigned price = 4961
 CLZ1 assigned price = 4980 (2) = 4982
EC Calendar Spread traded price is 3
 CLTX1 is priced at 0
 CLTZ1 is priced at 3
 0 – 3 = 3
 Clearing assigns the following:
 CLX1 assigned price = 4961
 CLZ1 assigned price = 4980 3 = 4977
CF Condor
SecuritySubType=CF
A Condor is a differential futures spread composed of one product with four different expirations. Buying (selling) a Condor buys (sells) the nearest and most deferred expirations while simultaneously selling (buying) the middle two expirations.
A Condor has:
 One Product
 Four legs
 Leg1 (buy leg) must be the nearest expiration
 Leg2 (sell leg) must be the second nearest expiration
 Leg3 (sell leg) must be the third nearest expiration
 Leg4 (buy leg) must be the most deferred expiration
 Quantity/side ratio of the legs is +1:1:1:+1
 Expiration sequencing for Condor:
 Leg1 month < Leg2 month < Leg3 month < Leg4 month
 Example: SR1:CF M9U9Z9H0
 Buying a Condor buys leg1, sells leg2, sells leg3, buys leg4
 Selling a Condor sells leg1, buys leg2, buys leg3, sells leg4
Example
 Instrument Symbol = SR1:CF M9U9Z9H0
 Leg1 = +1 SR1M4
 Leg2 = 1 SR1U4
 Leg3 = 1 SR1Z4
 Leg4 = +1 SR1H4
Pricing
 The Condor Trade Price is = Leg1 – Leg2 – Leg3 + Leg4
Leg Price Assignment
 Leg1, Leg2 and Leg3 are anchor legs and assigned prices based on one of the following rules (priority given to the lowest number rule that applies)
 Last traded price
 Significant bid or offer that did not trade
 Settlement price
 Leg4 is calculated:
 Leg1 = Trade Price + leg2 + leg3 – leg4
 If leg1 has a calculated price outside of the daily limit, leg1 is adjusted to daily limit and leg2 price is recalculated
 Leg2 = leg1 – leg3 + leg4 – Trade Price
 If leg2 has a calculated price outside the daily limits, leg2 will be adjusted to the daily limit and leg3 recalculated
 Leg3 = leg1  leg2 + leg4 – Trade Price
 Trade Price – Leg1 + Leg2 + Leg3
 If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated
Pricing Example
Condor trades at 13.5
 Leg1 most recent price update = 9812.5
 Leg2 most recent price update = 9857.5
 Leg3 most recent price update = 9875.5
 Leg4 is calculated:
 Trade Price – leg1 + leg2 + leg3
 13.5 – 9812.5 = 9799 + 9857.5 + 9875.5
 Leg4 = 9934
Pricing Example  Legs Calculated Outside of Daily Limits
Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated
Condor trades at 13.5
 Leg1 is recalculated:
 Leg1 = Trade Price + leg2 + leg3 – leg4
 13.5 + 9857.5 + 9875.5 – 9900
 Leg1 = 9846.5
 Leg2 has Fair Market Price = 9857.5
 Leg3 has Fair Market Price = 9875.5
 Leg4 = daily limit
 Leg4 = 9900
Leg1 outside daily limit; leg1 reset to daily limit and leg2 recalculated
Condor trades at 13.5
 Leg1 = daily limit
 Leg1 = 9814
 Leg2 is recalculated:
 Leg2 = leg1 – leg3 + leg4 – Trade Price
 9814 – 9875.5 + 9900 – 13.5
 Leg2 = 9825
 Leg3 has a Fair Market Price of = 9875.5
 Leg4 = daily limit
 Leg4 = 9900
Leg2 outside daily limit; leg2 reset to daily limit and leg3 recalculated
Condor trades at 13.5
 Leg1 = 9814
 Leg2 = daily limit
 Leg2 = 9870
 Leg3 is recalculated:
 Leg3 = leg1 – leg2 + leg4 – Trade Price
 9814 – 9870 + 9900 – 13.5
 Leg3 = 9830
 Leg4 = 9900
CO Condor
SecuritySubType=CO
The Condor is an options spread involving the simultaneous purchase (sale) of a call (put), sale (purchase) of a second call (put), sale (purchase) of a third call (put), and purchase (sale) of a fourth call (put). All strike prices must be equidistant (i.e. the interval between the first and second strike must match the interval between the second and third strike, as well as between the third and fourth strike), and of the same expiration.
A Condor has:
 One Product
 Four legs
 For a call Condor
 Leg1 (buy leg) must be a call at a certain strike price
 Leg2 (sell leg) must be a call at a higher strike price than leg1
 Leg3 (sell leg) must be a call at a higher strike price than leg2
 Leg4 (buy leg) must be a call at a higher strike price than leg3
 For a put Condor
 Leg1 (buy leg) must be a put at a certain strike price
 Leg2 (sell leg) must be a put at a lower strike price than leg1
 Leg3 (sell leg) must be a put at a lower strike price than leg2
 Leg4 (buy leg) must be a put at a lower strike price than leg3
Example
 Instrument Symbol =
 Leg1 = +1
 Leg2 = 1
 Leg3 = 1
 Leg4 = +1
Example
 Instrument Symbol = UD:1V: CO 0911959621
 Leg1 = +1 ESU8 C2870
 Leg2 = 1 ESU8 C2875
 Leg3 = 1 ESU8 C2880
 Leg4 = +1 ESU8 C2885
Pricing
The Condor Trade Price is = [Leg1+Leg4] – [Leg2+Leg3]
Leg Price Assignment
 Calculate Fair Price of the Condor based on fair prices of the legs.
 Calculate the difference between the Condor trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Condor trades at 150
 Leg1 has Fair Market Price of = 2900
 Leg2 has Fair Market Price of = 2550
 Leg3 has Fair Market Price of = 2150
 Leg4 has Fair Market Price of = 1850
 Spread Fair Market Price = [2900+1850] – [2550+2150] = 50
 Spread Trade Price  Fair Market Price = 150 – 50 = 100
 There are 4 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 2900 + 25 = 2925
 Leg2 = 2550 – 25 = 2525
 Leg3 = 2150 – 25 = 2125
 Leg4 = 1850 + 25 = 1875
Pricing Example – Unequal Distribution
Condor trades at 175
 Leg1 has Fair Market Price of = 2900
 Leg2 has Fair Market Price of = 2550
 Leg3 has Fair Market Price of = 2150
 Leg3 has Fair Market Price of = 1850
 Spread Fair Market Price = [2900+1850] – [2550+2150] = 50
 Spread Trade Price  Fair Market Price = 175 – 50 = 125
 There are 5 ticks to distribute.
 The adjustment is applied as follows:
 Leg1 = 2900 + 50 = 2950
 Leg2 = 2550 – 25 = 2525
 Leg3 = 2150 – 25 = 2125
 Leg4 = 1850 + 25 = 1875
C1 Crack OneOne
SecuritySubType=C1
The Crack OneOne is a futures differential spread involving the simultaneous purchase (sale) of a distilled product (i.e. Gasoline or Ultra Low Sulfur Diesel) with a corresponding sale (purchase) of the raw product from which it was produced (i.e. WTI Crude Oil). The Crack OneOne is priced in terms of the raw product which necessitates a mathematical conversion of the distilled product’s price.
A Crack OneOne has:
 Two different products belonging to the same product group (e.g. energy)
 Two legs
 Leg1 (buy leg) must be the distilled product
 Leg2 (sell leg) must be the raw product
 Quantity/side ratio of the legs is +1:1
 Buying a Crack OneOne buys leg1, sells 2
 Selling a Crack OneOne sells leg1, buys 2
Examples
 Instrument Symbol = CL:C1 RBCL M5
 Leg1 = +1 RBM5
 Leg2 = 1 CLM5
Note: This spread can trade at zero and at a negative price.
Pricing
 The Crack One:One Trade Price is = (Leg1*42/100)Leg2 price
Leg Price Assignment
 Determine the anchor leg of the Crack OneOne
 The leg with the most recent price update is determined to be the anchor leg
 The leg1 price must always be rounded to the nearest 50 tick increment
 If leg2 is used as anchor leg, leg2 must be recalculated once leg1 price is calculated and rounded
 Leg1 = [(Spread Price + Leg 2) *100/42], rounded to the nearest 50 tick increment
 Leg2 = [(Leg1 * 42) / 100] – Spread Price
 If neither leg as a price update then the most recent settlement price of the legs will determine the anchor leg.
 If a calculated leg price is outside the daily limits, additional processing will be applied.
Pricing Examples
Example: Leg1 as anchor leg
Crack OneOne trades at 2620
 Leg1 has Fair Market Price of = 23120
 Leg1 = 23120
 Leg1 = 23100 (rounded to nearest 50 tick)
 Leg2 is calculated
 Leg2 = (23100*42/100)2620
 Leg2 = 9702 2620
 Leg2 = 7082
Example: Leg2 anchor Leg
Crack OneOne trades at 2620
 Leg2 has most recent price
 Leg2 = 7112
 Leg1 is calculated:
 Leg1 = (2620 + 7112) * 100/42
 Leg1 = 973200/42
 Leg1 = 23171.4286
 Leg1 = 23150 (rounded to nearest 50 tick)
 Calculate Leg2:
 Leg2 = (23150*42/100)2620
 Leg2 = 97232620
 Leg2 = 7103
PK Pack
SecuritySubType=PK
The Pack is a futures spread involving the simultaneous purchase (sale) of a series four consecutive quarterly instruments (in year duration groups) within the same product. The Pack is an average net differential between the current market price of the legs and the prior day settlement price of the legs.
A Pack has:
 One Product
 Four legs
 Total legs in the pack must be evenly divisible by 4
 Expiration of all the legs must be consecutive quarterly outright futures
 Quantity/side ratio of the legs is +1:+1:+1:+1
 Buying a Pack buys all components
 Selling a Pack sells all components
Example
 Instrument Symbol = SR1:PK 01Y Z9
 Leg1 = +1 SR1Z3
 Leg2 = +1 SR1H4
 Leg3 = +1 SR1M4
 Leg4 = +1 SR1U4
Note: This spread can trade at zero and at a negative price.
Pricing
 The Pack trade price is the average price of the differentials of each leg from its prior day’s settlement price
Leg Price Assignment
 Obtain trade price of Pack
 Price obtained is the differential for all legs, averaged
 Integer portion of the Pack trade price is applied to all legs initially
 If the Pack trades +1.25, all legs are initially assigned a price of +1 from their respective settles
 If the Pack trades at 5.75, all legs are initially assigned a price of 2 from their respective settles
 Adjust most deferred legs up or down a full point until the average differential of the legs is equal to the traded price of the Pack.
 The following method calculates the number of legs of the Pack that will not have any further adjustment to their prices.
 If the traded Pack price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 3.
 If the traded Pack price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 2.
 If the traded Pack price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 1.
 As a corollary, the number of legs that need to be adjusted up or down a point can be calculated by taking the result of the above calculation and subtracting it from the total number of legs in the product.
Examples
 In all pricing examples, we will be using the SR1:PK 01Y Z4 contract.
 Components and settlement prices are as follows:
 Leg1 = SR1M4, prior day’s settle 9873
 Leg2 = SR1U4, prior day’s settle 9858.5
 Leg3 = SR1Z4, prior day’s settle 9834.5
 Leg4 = SR1H4, prior day’s settle 9821
 Pack trades at 5
 All legs are adjusted up 5 points
 The decimal portion is zero, so no additional adjustments are needed
 Results
 Leg1 = 9873 + 5 = 9878
 Leg2 = 9858.5 + 5 = 9863.5
 Leg3 = 9834.5 + 5 = 9839.5
 Leg4 = 9821 + 5 = 9826
 Pack trades at 5.50
 All legs are adjusted by down 5 points
 The decimal portion is .50, so (1 year * 2 = 2) legs will not receive an additional adjustment, and 2 (4 total legs – 2 leg that are not changing) will need an additional adjustment
 Results
 Leg1 = 9873  5 = 9868
 Leg2 = 9858.5  5 = 9853.5
 Leg3 = 9834.5  6 = 9828.5
 Leg4 = 9821 6 = 9815
 Pack trades at +5.25
 All legs are adjusted by up 5 points
 The decimal portion is .25, so (1 year * 3 = 3) legs will not receive an additional adjustment, and 1 (4 total legs – 3 leg that are not changing) will need an additional adjustment
 Results
 Leg1 = 9873 + 5 = 9878
 Leg2 = 9858.5 + 5 = 9863.5
 Leg3 = 9834.5 + 5 = 9839.5
 Leg4 = 9821+ 6 = 9827
RT Reduced Tick
SecuritySubType=RT
The Reduced Tick Calendar Spread is the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration. The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of nearby expiration minus the deferred expiration. Spreads with SecuritySubType RT will have a smaller tick than their corresponding outright legs.
A Reduced Tick Calendar Spread has:
 One Product
 Two legs
 Leg1 (buy leg) must be the nearest expiration
 Leg2 (sell leg) must be the deferred expiration
 Quantity/side ratio of the legs is +1:1
 Buying a Reduced Tick Calendar Spread buys leg1, sells leg2
 Selling a Reduced Tick Calendar Spread sells leg1, buys leg2
Example
 Instrument Symbol = ZNZ9ZNH0
 Leg1 = +1 ZNZ9
 Leg2 = 1 ZNH0
Note: this spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how the CME Globex match engine assigns prices. Member firms can designate a default method to handle price assignment to these legs in Clearing. As a result, it is possible to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).
Pricing
 The Reduced Tick Calendar Spread Trade Price is = Leg1 – Leg2
Note: All prices below are in a fractional pricing format.
Leg Price Assignment
 Determine the anchor leg of the Reduced Tick Calendar Spread
 The leg with the most recent price update is the anchor leg.
 In the event of no recent price updates, the prior day settle of the nearby leg will be the anchor leg.
 Calculate the nonanchor leg:
 If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price
 If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price
 If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg
Note: If the recalculated price is outside the daily limit the price will stand. Customers can receive a nonsettled price for the recalculated leg.
Pricing Examples
Leg1 is the anchor leg
Reduced Tick Calendar Spread trades at 1040
 Leg1 = anchor price of 129300
 Leg2 = 129300 – 1040 = 128260
Leg2 is the anchor leg
Reduced Tick Calendar Spread trades at 1040
 Leg2 = anchor price of 129310
 Leg1 = 129310 + 1040 = 130350
FS Strip
Spread type = FS
A Strip is the simultaneous purchase (sale) of one product in consecutive month expirations at the average of the price of the legs. A Strip may be Exchange or UserDefined. For any single market, only an FS or SA UserDefined Spread type will be recognized.
Spread types Average Price Strip (SA) and Futures Strip (FS) are not supported in the same market. Currently, the FS Strip for 30Day 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.
A Strip has:
 One Product
 Minimum of two legs
 Maximum of 26 legs
 Quantity/side ratio of +1:+1...+1
 All legs must have same tick size
Example
 Instrument Symbol = ZQ:FS 03M H0
 Leg1 = +1 ZQH0
 Leg2 = +1 ZQJ0
 Leg3 = +1 ZQK0
Note: This spread cannot trade at zero and at a negative price.
Pricing
 The Strip Trade Price is = (Leg1 + Leg2 + Leg3…LegN)/Total number of legs
Leg Price Assignment
 Calculate strip settlement price by averaging all of the legs' most recent settlement prices
 Subtract the result from step 1 from the Trade Price
 Add the differential from step 2 to each leg's settlement price
 Leg prices may not be identical
Pricing Example
Strip trades at 13490
 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
 Leg1 = 13750 (last settle price)  60 = 13690
 Leg2 = 13550 (last settle price)  60 = 13490
 Leg3 = 13350 (last settle price)  60 = 13290
SA Average Price Strip
SecuritySubType=SA
The Average Price Strip is a CME recognized future or options spread type involving the simultaneous purchase (sale) of multiple related legs priced as the average of all included legs. Customers trading this product will receive legs priced at the Average Price Strip spread traded price.
This pricing model is unique to this spread type.
 Products created with related legs and consecutive expirations will receive spread type SA in their security definition message (both in the tags 55Symbol and in tag 762SecuritySubType). Products designated spread type SA are priced as an average.
 Products created with related legs and nonconsecutive expirations will receive spread type GN in their security definition message (both in the tags 55Symbol and in tag 762SecuritySubType). Products designated spread type GN are priced as additive.
An Average Price Strip has three different variations according to whether it is Exchange listed, a User Defined Instrument for futures, or a User Defined Spread for options:
 One Product
 Minimum of 2 legs
 Maximum of 26 legs
 For a future Average Price Strip
 All legs must be buy side futures
 All expirations will be consecutive
 Expirations can be measured in days or months depending on the futures contained in the Average Price Strip
 Instruments can be exchange listed or user defined. See examples below for symbology.
 For an Option Average Price Strip
 All legs must be buy side options
 All legs must be calls or puts
 All legs must have the same strike price
 All expirations must be consecutive
 Expirations can be measured in days, weeks, or months depending on the Options contained in the Average Price Strip
 Quantity/side ratio of the legs is +1 for each individual leg
 Buying an Average Price Strip buys each individual leg of the spread
 Selling an Average Price Strip sells each individual leg of the spread
Examples
 Exchange listed Futures Average Price Strip
 Leg1 = +1 NGU9
 Leg2 = +1 NGV9
 Leg3 = +1 NGX9
 First characters are the Futures Group (NG)
 Colon separator immediately follows the Group
 Spread Type follows the separator
 A space character follows the Spread Type
 Two digits after the space indicate the number of legs
 Following the digits is the period between the legs. M = Month, Y = Year, D = Day
 Last, a space followed by the expiration
 Instrument Symbol = NG:SA 03M U9
 Symbology points
 Exchange listed Futures Average Price Strip composed of Daily Futures
 Leg1 = +1 JDLV817
 Leg2 = +1 JDLV818
 Leg3 = +1 JDLV819
 First characters are the Futures Group (JDL)
 Colon separator immediately follows the Group
 Spread Type follows the separator
 A space character follows the Spread Type
 Two digits after the space indicate the number of legs
 Following the digits is the period between the legs. M = Month, Y = Year, D = Day
 Last, a space followed by the expiration (in this case, October 17, 2018)
 Instrument Symbol = JDL:SA 03D 17V8
 Symbology
 User defined Futures Average Price Strip
 Leg1 = +1 NGJ9
 Leg2 = +1 NGK9
 Leg3 = +1 NGM9
 Leg4 = +1 NGN9
 Leg5 = +1 NGQ9
 Leg6 = +1 NGV9
 Leg7 = +1 NGX9
 Leg8 = +1 NGZ9
 First characters indicate the instrument is User Defined (UD), followed by a separating colon
 Next two characters indicate the instrument Group. For User Defined Instruments containing Futures only, this will be the group code of the contained Futures
 Another colon separator follows the group
 Next, a space followed by the Spread Type, followed by another space
 The following four digits indicate when the date the User Defined Spread was created
 The next six digits are the CME Security ID
 The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.
 Instrument Symbol = UD:NG: SA 1015986004
 Symbology
 User Defined Options Average Price Strip
 Leg1 = +1 LOF9 C8000
 Leg1 = +1 LOG9 C8000
 Leg1 = +1 LOH9 C8000
 First characters indicate the instrument is User Defined (UD), followed by a separating colon
 Next two characters indicate the instrument Group. For User Defined Instruments containing Options, this will be the group code for the options spread
 Another colon separator follows the group
 Next, there will either be a space or the letter C. The letter C indicates this User Defined Spread includes one or more covering futures in the package.
 The space or the C is followed by the Spread Type, followed by another space
 The following four digits indicate when the User Defined Spread was created
 The next six digits are the CME Security ID
 The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.
 Instrument Symbol = UD:1N: SA 1015921428
 Symbology
Pricing
The Average Price Strip Trade Price is = the average price of all included legs
Leg Price Assignment
The Spread Trade Price is assigned to each leg
Pricing Example – Futures Spread Equal Distribution
Average Price Strip (SA) trades at 1657
 For illustration purposes, the spread in this example contains three legs
 The trade price is the average of the individual legs
 The trade price is applied equally to each of the legs as follows:
 Leg1 = 1657
 Leg2 = 1657
 Leg3 = 1657
Pricing Example – Futures Spread Equal Distribution
Average Price Strip (GN) trades at 1657
 For illustration purposes, the spread in this example contains three legs
 The trade price is the addition of the individual legs
 The trade price is applied equally to each of the legs as follows:
 Leg1 = 1657
 Leg2 = 1657
 Leg3 = 1657
For these spreads, there is no possibility of Unequal Distribution of Prices.
SB Balanced Strip
SecuritySubType=SB
The SB Balanced Strip Spread is the simultaneous purchase or sale of futures strips at the differential price of the legs. SB is only available in futures markets in both ExchangeDefined and UserDefined spreads.
An SB Strip has
 One product
 Two legs
 Quantity/side ratio of +1:1
 Expiration of all legs must be different and symmetric
 Legs must be either FS Strips, SA Strips or AB Strips; no mixed Strip legs
 FS, SA or AB Strips must have the same number of legs
 FS, SA or AB Strips must not share any outright legs
 FS, SA or AB 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
 Determine anchor strip leg
 Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1
 Calculate the nonanchor leg:
 If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price
 If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price
 Determine anchor strip leg
Pricing Example
SB Balanced (SA) Strip Spread NG:SB 05M X6X7 trades at 4
 Strip Leg1 has the most recent trade at price 3229 and is designated the anchor
 Strip Leg1 = 3229
 Strip Leg2 = 3225 (Leg1 Price  Spread Trade Price)
SR Strip
SecuritySubType=SR
The Strip is an options spread involving the simultaneous purchase (sale) of a series of calls or puts at the same strike price comprised of four equidistant expirations.
A Strip has:
 One Product
 Four legs
 Leg1 must be a call in Exp1
 Leg2 must be a call in Exp2
 Leg3 must be a call in Exp3
 Leg4 must be a call in Exp4
 Leg1 must be a put in Exp1
 Leg2 must be a put in Exp2
 Leg3 must be a put in Exp3
 Leg4 must be a put in Exp4
 All legs must have the same strike price
 Each leg must be in consecutive equidistant expirations (Exp1, Exp2, Exp3, Exp4)
 All legs must be buys
 For a call Strip
 For a put Strip
 Quantity/side ratio of the legs is +1:+1:+1:+1
 Buying a Strip buys all legs
 Selling a Strip sells all legs
Example
 Instrument Symbol = UD:U$: SR 1203930561
 Leg1 = +1 SR1Z3 C9675
 Leg2 = +1 SR1H4 C9675
 Leg3 = +1 SR1M4 C9675
 Leg4 = +1 SR1U4 C9675
Pricing
The Strip Trade Price is = Leg1 + Leg2 + Leg3 + Leg4
Leg Price Assignment
 Calculate Fair Price of the Strip based on fair prices of the legs.
 Calculate the difference between the Strip trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Strip trades at 206.5
 Leg1 has Fair Market Price of = 41
 Leg2 has Fair Market Price of = 48.5
 Leg3 has Fair Market Price of = 54
 Leg4 has Fair Market Price of = 59
 Spread Fair Market Price = 202.5
 Spread Trade Price  Fair Market Price = 206.5 – 202.5 = 4.0
 There are 8 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 41 + 1 = 42
 Leg2 = 48.5 + 1 = 49.5
 Leg3 = 54 + 1 = 55
 Leg4 = 59 + 1 = 60
Pricing Example – Unequal Distribution
Strip trades at 207.0
 Leg1 has Fair Market Price of = 41
 Leg2 has Fair Market Price of = 48.5
 Leg3 has Fair Market Price of = 54
 Leg4 has Fair Market Price of = 59
 Spread Fair Market Price = 202.5
 Spread Trade Price  Fair Market Price = 207.0 – 202.5 = 4.5
 There are 9 ticks to distribute.
 The adjustment is applied as follows:
 Leg1 = 41 + 1.5 = 42.5
 Leg2 = 48.5 + 1 = 49.5
 Leg3 = 54 + 1 = 55
 Leg4 = 59 + 1 = 60
WS Unbalanced Strip
SecuritySubType=WS
Unbalanced Strip is a spread between two strips in the same product (Intracommodity), 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 X2J3
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)
IS InterCommodity Futures
SecuritySubType=IS
The InterCommodity is a futures spread involving the simultaneous purchase and sale of two instruments in different products with similar ticks. There can be variations in the leg pricing assignments in the InterCommodity futures spreads based on the components of the spread.
A InterCommodity futures spread has:
 Two different products
 Two legs
 Leg1 is the buy leg
 Leg2 is the sell leg
 Quantity/side ratio of the legs is +1:1
 Buying an InterCommodity spread buys leg1 and sells leg2
 Selling an InterCommodity spread sells leg1 and buys leg2
Example
 Instrument Symbol= NKDU9NIYU9
 Leg1 = +1 NKDU9
 Leg2 = 1 NIYU9
Pricing
The InterCommodity futures spread Trade Price is equal to Leg1Leg2.
When a match occurs in an InterCommodity spread, the traded differential is applied to either Leg1 or Leg2 to arrive at the price of the other leg.
Nikkei Inter Commodity spread
Example
 Instrument Symbol= NKDU9NIYU9
 Leg1 = +1 NKDU9
 Leg2 = 1 NIYU9
Leg Price Assignment
 The anchor leg price is assigned at Fair Market Price
 Calculate the nonanchor leg price:
 If Leg1 is used as the anchor leg, then Leg2 = (Leg1 price – Spread Price)
 If Leg2 is used as the anchor leg, then Leg1 = (Leg2 price + Spread Price)
 A recent significant bid or offer from either outright futures leg. To be significant, a bid must be greater than settle or the most recent traded price of the instrument, or an offer must be less than settle or the most recent traded price of the instrument.
 An Indicative Opening Price can be a significant bid or offer in the prior rule.
 Most recent traded outright leg in either NKD or NIY products pertaining to the spread in question, i.e. if the spread is NKDU9NIYU9, an anchor price could be determined by the most recent trade in either NKDU9 or NIYU9.
 The previous day’s settlement of the NKD outright futures
 Calculate the nonanchor leg price:
 If Leg1 is used as the anchor leg, then Leg2 = (Leg1 price – Spread Price)
 If Leg2 is used as the anchor leg, then Leg1 = (Leg2 price + Spread Price)
Pricing Example
Example1 – Leg1 as anchor leg
Leg1 NKDU9 assigned Fair Market Price
Nikkei InterCommodity Spread  NKDU9NIYU9 trades at 30
 Leg1 = 21260
 Leg2 = Leg1 price – Spread price
= 2126030
=21230
Differential applied to Leg2:
 Leg1 = 21260
 Leg2 = 21230
Example2 – Leg1 as anchor leg
Leg1 NKDU9 assigned Fair Market Price
Nikkei InterCommodity Spread  NKDU9NIYU9 trades at 30
 Leg1 = 21250
 Leg2 = Leg1 price – Spread price
= 2125030
=21220
Differential applied to Leg2:
 Leg1 = 21250
 Leg2 = 21220
Example3 – Leg2 as anchor leg:
Leg2 NIYU9 assigned Fair Market Price
Nikkei InterCommodity Spread  NKDU9NIYU9 trades at 30
 Leg2 = 21245
 Leg1 price = Leg2 + Spread price
= 30 + 21245
=21275
Differential applied to Leg1:
 Leg1 = 21275
 Leg2 = 21245
Example4 – Leg1 as anchor leg:
Leg1 NKDU9 assigned Fair Market Price
Nikkei InterCommodity Spread  NKDU9NIYU9 trades at 30
 Leg1 = 21200
 Leg2 price = Leg1 price  Spread price
= 21200  30
= 21170
Differential applied to Leg2:
 Leg1 = 21200
 Leg2 = 21170
XS InterCommodity Strip
SecuritySubType=XS
The CrossCommodity Strip Spread is a futures spread involving the simultaneous purchase (sale) of one Average Priced Strip (SA) against the sale (purchase) of a second Average Priced Strip (SA) with the same expiration. Each Averaged Priced Strip must contain the same number of component parts (i.e. three consecutive futures contracts), and each Average Priced Strip must be of a different but related product (i.e. the first Average Priced Strip is WTI Crude while the second Average Priced Strip is Brent Last Day Financial Crude). After the first month of the strip from the first leg of the CrossCommodity Strip Spread expires, the leg becomes a “balance of” spread. The balance of the CrossCommodity Strip Spread will continue to decay until only one expiration month remains.
IMPORTANT NOTE: Average Priced Strips trade as the average price of all components, and leg assignment to those components will be the price assigned to the Average Priced Strip.
A CrossCommodity Strip Spread has:
 Two Products
 Two legs
 Each Leg is an Average Priced Strip with the same expiration and duration (number of component contracts)
 Leg1 (buy leg) must be one product
 Leg2 (sell leg) must be a related but different product from Leg1
 Quantity/side ratio of the legs is +1:1
 Buying an CrossCommodity Strip Spread buys leg1, sells leg2
 Selling an CrossCommodity Strip Spread sells leg1, buys leg2
Example
 Instrument Symbol = PW:XS 02M EJLB6L X9
 EJLX9
 EJLZ9
 B6LX9
 B6LZ9
 Leg1 = +1 EJL:SA 02M X9 (2 Month Strip)
 Leg2 = 1 B6L:SA 02M X9 (2 Month Strip)
Note: This spread can trade at zero and at a negative price.
Pricing
 The CrossCommodity Strip Spread Trade Price is the differential between the two Average Priced Strips = Leg1 – Leg2
Leg Price Assignment
 Determine the anchor leg of the CrossCommodity Strip Spread
 The leg with the most recent price update of the strip (last price update or settlement price) is the anchor leg.
 Calculate the nonanchor leg:
 If Leg 1 is used as the anchor leg, then Leg2 = Leg1 price – CrossCommodity Strip Spread Price
 If Leg 2 is used as the anchor leg, then Leg1 = Leg2 price + CrossCommodity Strip Spread Price
Pricing Example
In this example Leg1 has the most recent price.
CrossCommodity Strip Spread WS:XS 02M CLBZ G0 trades at 325
 Leg1 traded at 5757
 Leg1 is the anchor, and assigned a price of 5757
 CLG0 is assigned a price of 5757
 CLH0 is assigned a price of 5757
 Leg2 has its price calculated
 Leg2 = 5757 – (–325) = 5757 + 325 = 6082
 BZG0 is assigned a price of 6082
 BZH0 is assigned a price of 6082
DI InterCommodity
SecuritySubType=DI
The DSF InterCommodity Calendar is a futures spread involving the simultaneous purchase (sale) of one interest rate product with a corresponding sale (purchase) of a second interest rate product. Both products will have the same monthly expiration. Both products will also have the same underlying term (i.e., both products will be five year notional instruments).
The DSF InterCommodity Calendar has:
 Two Products
 Two legs
 This leg will have the same monthly expiration as Leg1
 This leg will have the same underlying term as Leg1
 Leg1 (buy leg) will be an interest rate product
 Leg2 (sell leg) will be a different interest rate product
 Quantity/side ratio of the legs is +1: 1
 Buying the DSF InterCommodity Calendar buys leg1, sells leg2
 Selling the DSF InterCommodity Calendar sells leg1, buys leg2
Example
 Instrument Symbol = ZNZ9N1UZ9
 Leg1 = +1 ZNZ9
 Leg2 = 1 N1UZ9
Note: This spread can trade at zero and at a negative price.
Pricing
 The Interest Rate InterCommodity Spread Trade Price is = Leg1 – Leg2
Note All prices below are in a fractional pricing format.
Leg Price Assignment
 The anchor leg will have the most recent price update; otherwise the prior day’s settlement price from Leg1 is the anchor leg
 Calculate the nonanchor leg:
 Leg2 = Leg 1 price  Trade Price
 Leg 1 = Leg 2 price + Trade Price
 If Leg 1 is used as the anchor leg
 If Leg 2 is used as the anchor leg
 If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg
Note: If the recalculated price is outside the daily limit the price will stand. Customers can receive a nonsettled price for the recalculated leg.
Pricing Examples
Example: Leg1 as anchor leg
DSF InterCommodity Calendar trades at 50
 Leg1 has the most recent trade at 130295
 Leg2 is calculated:
 Leg2 = Leg1  Trade Price
 130295  50
 Leg2 = 130245
Example: Leg2 as anchor leg
DSF Treasury InterCommodity Calendar trades at 50
 Leg2 has the most recent trade at 129290
 Leg1 is calculated:
 Leg1 = Leg2 + Trade Price
 129290 + 50
 Leg1 = 130020
IV Implied Intercommodity
SecuritySubType=IV
The Implied Ratio InterCommodity Spread is an impliedenabled futures ratio spread involving the simultaneous purchase (sale) of two different products with the same expirations of different predetermined ratios (e.g. 5:2).
Note: Currently IV spreads only support US Treasury Futures.
A Implied InterCommodity Spread has:
 Two Products
 Two legs
 Leg1 (buy leg) all quantities must be the same expiration as leg2
 Leg2 (sell leg) all quantities must be the same expiration as leg1
 Quantity/side ratio of the legs are predetermined
 A quantity side ratio of +5:2 will be used in the below example
 Buying an Implied Ratio InterCommodity Spread buys 5* leg1, sells 2* leg2
 Selling an Implied Ratio InterCommodity Spread sells 2* leg1, buys 5* leg2
Note: This spread can trade at zero and at a negative price.
Pricing
 The Implied Ratio InterCommodity Spread Trade Price is = Spread to Spread trade.
Leg Price Assignment
 Leg1 is calculated:
 Leg1 price = Leg1 settle price+ spread price
 Leg2 is anchor leg, and priced the prior day’s settlement price
 Current Price  Settlement Price 

Spread  0030  0000 
Leg1  129105  128265 
Leg2  15717  15718 
Pricing Examples 5:2 Ratio
 Instrument Symbol = NOB 0502 Z9
 Leg1 = +5 ZNZ9
 Leg2 = 2 ZBZ9
Implied Ratio InterCommodity Spread trades at 30
 Leg1 is calculated
 Leg1 = Leg1 settlement + Spread Trade
 Leg1 = 129105 + 30
 Leg1 = 129135
 Leg2 = 15718
SI Soy Crush
Spread type = SI
The Soy Crush Spread is a differential spread involving the simultaneous purchase between the raw product (Soybeans), and the yield of its two processed products (Soybean Meal, Soybean Oil). The fixed ratio per leg represents the amount of processed products that can be obtained from the given amount of raw product.
This spread type, also known as the Soybean Crush.
A Soy Crush Spread has:
 Three different but related products
 Three legs
 All legs must be of the same expiration
 Leg1 (buy leg) must be a related processed product of leg3
 Leg2 (buy leg) must be a related processed product of leg3 but different from Leg1
 Leg3 (sell leg) must be the raw but related product of leg1 and leg2
 Quantity/side ratio of the legs is +1:+1:1
 Buying a Soy Crush Spread buys leg1, buys 2, sells leg3
 Selling a Soy Crush Spread sells leg1, sells 2, buys leg3
Example
 Instrument Symbol = SOM:SI K3K3K3
 Leg1 = +1 ZMK3
 Leg2 = +1 ZLK3
 Leg3 = 1 ZSK3
This spread can trade at zero and at a negative price.
The Soy Crush Spread trades at a reduced tick (.25) and is priced in terms of the raw product which necessitates a mathematical conversion to convert Soybean Meal and Soybean oil into cents per bushel.
Pricing
 The Soy Crush Spread Trade Price is = (Price of leg1 * .22) + (Price of leg2 * .11) – (Price of leg3)
Leg positions used in this example:
Leg1 – Soybean Meal Futures
Leg2 – Soybean Oil Futures
Leg3 – Soybean Futures
Leg Price Assignment
Anchor legs are the Fair Market Price of two of the three legs
 Calculate nonanchor leg:
 If calculated price is off tick  Adjust to on tick off tick price < half the tick round down otherwise round up.
 If calculated price outside limits; round down for high limit violation and round up for low limit violation.
 If calculated price is off tick  Adjust to on tick off tick price < half the tick round down otherwise round up.
 If calculated price outside limits; round down for high limit violation and round up for low limit violation.
 If calculated price is off tick  Adjust to on tick off tick price < half the tick round down otherwise round up.
 If calculated price outside limits; round down for high limit violation and round up for low limit violation.
 Leg1 = (Trade Price + Leg3) – (Leg2 * .11)) / .22
 Leg2 = (Trade Price + Leg3) – (Leg1 *.22)) / .11
 Leg3 = (Leg1 * .22) + (Leg2 * .11) – Trade Price
 Leg2 will be adjusted to the closest price that will yield an ontick price for Leg3. Leg 2 price adjustments should be within 12 X (tick of 1) in the normal case
 Recalculate the Leg3
This spread can trade at a negative price.
Pricing Example
Pricing Example Leg1 and Leg2 Anchor Legs
Soy Crush Spread trades at 1026
 Leg1 has Fair Market Price = 4221
 Leg2 has Fair Market Price = 6703
 Leg3 is calculated:
 Leg3 = (4221*.22) + (6703*0.11) – Trade Price
 Leg3 = 639.95 round up nearest .25 tick value 640
 Leg2 adjusted price:
 Leg2 = 6708
 Recalculate Leg3 Price
 Leg3 = (4221*.22) + (6708*0.11) – 1026
 Leg3 = 640.5
 Resulting legs:
 Leg1 = Buy 11 lots at 4221
 Leg2 = Buy 9 lots at 6708
 Leg3 = Sell 10 lots at 640.5
Pricing Example Leg2 and Leg3 Anchor Legs
Soy Crush Spread trades at 1026
 Leg1 is calculated:
 Leg1 = (1026+640)(6703*0.11))/0.22
 Leg1 = 4221.22727 rounded down to nearest tick value 4221
 Leg2 has Fair Market Price = 6703
 Leg3 has Fair Market Price = 640
 Leg2 adjusted price:
 Leg2 = 6708
 Recalculate Leg3 Price
 Recalculate Leg3 Price
 Leg3 = (4221*.22) + (6708*0.11) – 1026
 Leg3 = 640.5
 Resulting legs:
 Leg1 = Buy 11 lots at 4221
 Leg2 = Buy 9 lots at 6708
 Leg3 = Sell 10 lots at 640
Pricing Example Leg1 and Leg3 Anchor Legs
Soy Crush Spread trades at 1026
 Leg1 has Fair Market Price = 4221
 Leg3 has Fair Market Price = 640
 Leg2 is calculated:
 Leg2 = (1026 + 640)  (4221*0.22)) / 0.11
 Leg2 = 6703.45 round down to nearest tick value
 Leg2 = 6703
 Leg2 adjusted price:
 Leg2 = 6708
 Recalculate Leg3 Price
 Leg3 = (4221*.22) + (6708 * 0.11) – 1026
 Leg3 = 640.5
 Resulting legs:
 Leg1 = Buy 11 lots at 4221
 Leg2 = Buy 9 lots at 6708
 Leg3 = Sell 10 lots at 640.5
BC BuyBuy InterCommodity
SecuritySubType = BC
The BuyBuy InterCommodity Spread is a futures spread involving the simultaneous purchase (sale) of two related products with the same expiration. The BuyBuy InterCommodity Spread is constructed by buying 1 Henry Hub Natural Gas futures contract and buying 1 Henry Hub Natural Gas Index futures contract.
A BuyBuy InterCommodity Spread has:
 Two Products
 Two legs
 Leg1 must be the monthly Henry Hub Natural Gas (Platts FERC) Basis futures
 Leg2 (sell leg) must be the Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures
 Quantity/side ratio of the legs is +1:+1
 Buying a BuyBuy InterCommodity Spread buys leg1 , buys leg2
 Selling a BuyBuy InterCommodity Spread sells leg1, sells leg2
Example
 Instrument Symbol = HBIN: HBIN F0
 Leg1 = +1 HBF0
 Leg2 = +1 INF0
Note: This spread can trade at zero and at a negative price.
Pricing
 The BuyBuy InterCommodity Spread Trade Price is the summation of leg1 and leg2
Leg Price Assignment
 Determine the anchor leg of the BuyBuy InterCommodity Spread
 The leg with the most recent price update (last price update or settlement price) is the anchor leg.
 Calculate the nonanchor leg:
 If Leg 1 is used as the anchor leg, then Leg 2 = Spread Price  Leg 1 price
 If Leg 2 is used as the anchor leg, then Leg 1 = Spread Price  Leg 2 price
In this example leg1 has the most recent price
 Leg1 is the anchor leg
 Leg2 is calculated:
 Leg2 = Trade Price of spread – leg1
Pricing Example
BuyBuy InterCommodity Spread trades at 4
 Leg1 = anchor price of 1, therefore this is automatically assigned
 Leg2 = 4 – 1 = 3
In this example leg2 has the most recent price
 Leg1 is calculated:
 Leg1 = Trade Price of spread  Leg2
 Leg2 is the anchor leg
Pricing Example
BuyBuy InterCommodity Spread trades at 4
 Leg1 = 4  1 = 3
 Leg2 = anchor price of 1, therefore this is automatically assigned
IP InterCommodity
SecuritySubType = IP
The InterCommodity Spread (ICS) calendar spread for futures (commonly known as a “box spread") allows customers to trade Intercommodity spreads as a single instrument, eliminating leg execution risk. The InterCommodity Spread is the net differential between the two ICS spreads.
An InterCommodity Spread has:
 Two Products
 Four legs
 Leg1 (buy leg) is first leg of the first inter commodity calendar spread of near expiration
 Leg2 (sell leg) is second leg of first the inter commodity calendar spread with the same expiration as leg1
 Leg3 (sell leg) is first leg of the second inter commodity calendar spread of deferred expiration
 Leg4 (buy leg) is second leg of second inter commodity calendar spread with the same expiration as leg3
 Quantity/side ratio of the legs is +1:1:1:+1
 Buying an InterCommodity Spread buys leg1 , sells leg2, sells leg3, buys leg4
 Selling an InterCommodity Spread sells leg1, buys leg2, buys leg3, sells leg4
Example
 Instrument Symbol = NG:HH K1F2
 Leg1 = +1 NGK1
 Leg2 = 1 HHK1
 Leg3 = 1 NGF2
 Leg4 = +1 HHF2
Note: This spread can trade at zero and at a negative price. The spread trade tick is smaller than outright legs.
Pricing
 The InterCommodity Spread Trade Price is the net differential between the two inter commodity calendar spreads = Leg1 – Leg2 – Leg3 + Leg4
Leg Price Assignment
 Leg1, Leg2 and Leg3 are anchor legs and assigned the most recent update price.
 Leg4 is calculated:
 Spread Trade Price – Leg1 + Leg2 + Leg3
 If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated
Pricing Example
InterCommodity Spread trades at 1
 Leg1 = most recent price update 6889
 Leg2 = most recent price update 7092
 Leg3 = most recent price update 6834
 Leg4 is calculated:
 Spread Trade Price – Leg1 + Leg2 + Leg3
 1 – 6889 + 7092 + 6834
 Leg4 = 7038
InterCommodity Spread trades at 1
 Leg1 = is calculated:
 Spread Trade Price + Leg2 + Leg3 – Leg 4
 Leg2 = most recent price update 7092
 Leg3 = most recent price update 6834
 Leg4 = 7038
RI Reduced Tick InterCommodity
SecuritySubType = RI
The Reduced Tick Inter Commodity is a futures spread involving the simultaneous purchase (sale) of one product with a corresponding sale (purchase) of a second related rate product. Both products will have the same monthly expiration. Spreads with SecuritySubType RI will have a smaller tick than their corresponding outright legs.
A Reduced Tick Inter Commodity has:
 One Product
 Two legs
 Leg1 (buy leg) must be the same expiration as leg2
 Leg2 (sell leg) must be the same expiration as leg1
 Quantity/side ratio of the legs is +1:1
 Buying a Reduced Tick Inter Commodity buys leg1, sells leg2
 Selling a Reduced Tick Inter Commodity sells leg1, buys leg2
Example
 Instrument Symbol = HPZ9HHZ9
 Leg1 = +1 HPZ9
 Leg2 = 1 HHZ9
Note: This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how CME Globex assigns prices. Member firms commonly designate a default way of handling price assignment to these legs in Clearing. As a result, it is not unusual to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process allowing leg price adjustment on traded calendar spreads is referred to at “SLEDS” (Single Line Entry Differential).
Pricing
 The Reduced Tick Inter Commodity Trade Price is = Leg1 – Leg2
NOTE: All prices expressed below are in a fractional pricing format.
Leg Price Assignment
 Determine the anchor leg of the Reduced Tick Inter Commodity
 The leg with the most recent price update is the anchor leg.
 In the event of no recent price updates, the prior day settle of the nearby leg will be the anchor leg.
 Calculate the nonanchor leg:
 If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price
 If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price
 If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg
Note: If the recalculated price is outside the daily limit the price will stand. Customers can receive a nonsettled price for the recalculated leg.
Pricing Examples
Leg1 is the anchor leg
Reduced Tick Inter Commodity trades at 3.00
 Leg1 = anchor price of 2656
 Leg2 = 2656 – 3.00 = 2653
Leg2 is the anchor leg
Reduced Tick Inter Commodity trades at 3.0
MS BMD Strip
SecuritySubType=MS
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 1year 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 3Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 September 2018 3Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 December 2018 3Month Kuala Lumpur Interbank Offered Rate
Buy 1 March 2019 3Month Kuala Lumpur Interbank Offered Rate
Example: Sell the Spread
Sell 1 June 2018 3Month Month Kuala Lumpur Interbank Offered Rate
Sell 1 September 2018 3Month Month Kuala Lumpur Interbank Offered Rate
Sell 1 December 2018 3Month Kuala Lumpur Interbank Offered Rate
Sell 1 March 2019 3Month Kuala Lumpur Interbank Offered Rate
IN Invoice Swap
SecuritySubType=IN
An Invoice Swap is an Intercommodity spread trade consisting of a long (short) Treasury futures contract and a long (short) nontradeable 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 2Year Treasury Invoice Swap Spread, Buy 1 June Treasury Future
Example: Sell the Spread
Sell 1 June 2014 2Year Treasury Invoice Swap Spread, Sell 1 June Treasury Future
SC Invoice Swap Calendar
SecuritySubType=SC
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: ZTU50317AZTM50317A
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
SW Invoice Swap Switch
SecuritySubType=SW
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: ZNM51221AZTM50317A
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
TL Tail
SecuritySubType=TL
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 ZFZ5ZFH6, 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 ZFZ5ZFH6, Buy 0.2 ZFZ5 at price 118.078125
Example: Sell the Spread
Sell 1 ZFZ5ZFH6, Sell 0.2 ZFZ6 at price 118.078125
EF InterExchange Reduced Tick Ratio
An EF interexchange reduced tick ratio spread has:
 Two products in two different DCMs
 Expiration 2
 Expiration 3
 Expiration 1
 Interest Rate future (DCM 1)
 Interest Rate future (DCM 2)
 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 bidside bias)
Construction: Buy3exp2com1 Buy3exp3com1 Sell10exp1com2
Security Definition Example: ZQF8G8SR1Z3
Pricing
The InterCommodity 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
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 ZQF8G8SR1Z3 trades at 0.1425
 ZQF8 Early Expiry = 98.9750
 ZQG8 Later Expiry = 98.9050
 SR1Z3 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
HO Calendar Horizontal
SecuritySubType=HO
The Horizontal is an options spread involving the simultaneous purchase (sale) of buying a call (put) in a deferred expiration and selling a call (put) of the same strike in an earlier expiration
A Horizontal has:
One Product
 Two legs
 Both legs must be of different expiration
 First leg must be the deferred expiration to the second leg
 First leg must be a buy
 Both legs must have the same strike
 Both legs must be calls or puts
 Buying the Horizontal buys leg1 and sells leg2
 Selling the Horizontal sells the leg1 and buys leg2
 Quantity/side ratio of the legs is +1:1
Example
 Instrument Symbol = UD:1V: HO 0709947215
 Leg 1 =+1 ESZ8 P2300
 Leg 2 = 1 ESU8 P2300
Pricing
The Horizontal Trade Price is = (Leg1Leg2) the differential of the legs
Leg Price Assignment
 Calculate Fair Price of the Horizontal based on fair prices of the legs.
 Calculate the difference between the Horizontal trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Horizontal trades at 20
 Leg1 has Fair Market Price of 130
 Leg2 has Fair Market Price of 120
 Spread Fair Market Price = 130120 =10
 Spread Trade Price – Fair Market Price = 10
 There are 10 ticks to distribute
 Leg1 = 130 +5 = 135
 Leg2 = 120  5 = 115
Pricing Example – Unequal Distribution
Horizontal trades at 15
 Leg1 has Fair Market Price of 130
 Leg2 has Fair Market Price of 120
 Spread Trade Price  Fair Market Price = 15 – 10 = 5
 There are 5 ticks to distribute
 Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
 Leg1 = 130 + 3 = 133
 Leg2 = 120  2 = 118
 133  118 = 15
DG Calendar Diagonal
SecuritySubType=DG
The Diagonal is an option spread involving the simultaneous purchase (sale) of a call (put) in a deferred expiration and a sale (purchase) of a call (put) in an earlier expiration.
A Diagonal has:
 One Product
 Two legs
 For a Call Diagonal
 First leg must be a buy of a call in a deferred expiration
 Second leg must be a sell of a call in a nearby expiration (compared to leg1)
 For a Put Diagonal
 First leg must be a buy of a put in a deferred expiration
 Second leg must be a sell of a put in a nearby expiration (compared to leg1)
 Both legs must be of different expirations
 Both legs must be of different strike prices
 First leg must be the deferred expiration compared to the second leg
 For a Call Diagonal
 Buying the Diagonal buys leg1 and sells leg2
 Selling the Diagonal sells the leg1 and buys leg2
 Quantity/side ratio of the legs is +1:1
 Products created without following strike price construction rules below will receive spread type GN in their security definition message (both in the tags 55Symbol and in tag 762SecuritySubType).
Examples
 Instrument Symbol = UD:1V: DG 1112959471
 Leg 1 = +1 EWF9 C2940
 Leg 2 = 1 EWX8 C2865
Pricing
 The Diagonal Trade Price is = (Leg1Leg2) the differential of the legs
Leg Price Assignment
 Calculate Fair Price of the Diagonal based on fair prices of the legs.
 Calculate the difference between the Diagonal trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Diagonal trades at 850
 Leg1 has Fair Market Price of 850
 Leg2 has Fair Market Price of 130
 Spread Fair Market Price = 850130 = 720
 Spread Trade Price – Fair Market Price = 850 – 720 = 130
 There are 26 ticks to distribute (smallest tick is in the Leg2 price)
 Ticks are divided up equally as follows:
 Diagonal Leg1 = 850 + 65 = 915
 Diagonal Leg2 = 130 – 65 = 65
Pricing Example – Unequal Distribution
Diagonal trades at 825
 Leg1 has Fair Market Price of 850
 Leg2 has Fair Market Price of 130
 Spread Fair Market Price = 850130 = 720
 Spread Trade Price – Fair Market Price = 825 – 720 = 105
 There are 21 ticks to distribute
 Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg2:
 Diagonal Leg1 = 850 + 50 = 900
 Diagonal Leg2 = 130 – 55 = 75
ST Straddle
SecuritySubType=ST
The Straddle is an options combination involving the simultaneous purchase (sale) of both a call and put of the same strike and expiration.
A Straddle has:
 One Product
 Two legs
 Both legs must be same expiration
 Both legs must have the same strike
 One leg must be a call
 One leg must be a put
 Quantity/side ratio of the legs is +1:+1
 Buying the Straddle buys both legs
 Selling the Straddle sells both legs
Example
 Instrument Symbol = UD:U$: ST 0625928966
 Leg 1 = +1 SR1U4 C9712
 Leg 2 = +1 SR1U4 P9712
Pricing
The Straddle Trade Price is = (Leg1+Leg2) the sum of both option legs
Leg Price Assignment
 Calculate Fair Price of the Straddle based on fair prices of the legs
 Calculate the difference between the Straddle trade price and the calculated fair price of the spread
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Straddle trades at 127.5
 Leg1 has Fair Market Price of 119
 Leg2 has Fair Market Price of 8.5
 Spread Fair Market Price = 119 + 8.5 = 127.5
 There are 0 ticks to distribute.
 Trade Price = Fair Market Price; no remainder to distribute to the legs
 Leg1 = 119 + 0 = 119
 Leg2 = 8.5 + 0 = 8.5
Pricing Example – Unequal Distribution
Straddle trades at 128
 Leg1 has Fair Market Price of 119
 Leg2 has Fair Market Price of 8.5
 Spread Fair Market Price 119 + 8.5 = 127.5
 Spread Trade Price  Fair Market Price = .5
 There is .5 tick to distribute.
 Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
 Leg1 = 119 + .5 = 119.5
 Leg2 = 8.5+ 0 = 8.5
SG Strangle
SecuritySubType=SG
The Strangle is an options combination involving the simultaneous purchase (sale) of buying a put at a lower strike price and buying the call at a higher strike price of the same instrument and expiration.
A Strangle has:
 One product
 Two legs
 The legs must be of same expirations
 Both legs must have different strikes
 Leg1 must be a put of a lower strike price
 Leg2 must be a call of a higher strike price
 Quantity/side ratio of +1:+1
 Buying the Strangle buys both legs
 Selling the Strangle sells both legs
Example
 Instrument Symbol = UD:U$: SG 0625930013
 Leg1 = +1 SR1H4 P9712
 Leg2 = +1 SR1H4 C9725
 Buying the Strangle buys the put at a lower strike price and buys the call at a higher strike price
 Selling the Strangle sells the put at a lower strike price and sells the call at a higher strike price
Pricing
The Strangle Trade Price is = (Leg1+Leg2) the sum of both legs
Leg Price Assignment
 Calculate Fair Price of the Strangle based on fair prices of the legs
 Calculate the difference between the Strangle trade price and the calculated fair price of the spread
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Strangle trades at 21.0
 Strangle Leg1 has Fair Market Price of 9.5
 Strangle Leg2 has Fair Market Price of 11.5
 Spread Fair Market Price 9.5 + 11 = 21
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 There are 0 ticks to distribute.
 Strangle Leg1 = 9.5
 Strangle Leg2 = 11.5
Pricing Example – Unequal Distribution
Strangle trades at 25.5
 Strangle Leg1 has Fair Market Price of 9.5
 Strangle Leg2 has Fair Market Price of 11.5
 Spread Fair Market Price 9.0 + 11 = 21
 Strangle Trade Price – Fair Market Price = 4.5
 There are 4.5 ticks to distribute.
 Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
 Strangle Leg1 = 12.0
 Strangle Leg2 = 13.5
VT Vertical
SecuritySubType=VT
The Vertical is an options spread involving the simultaneous purchase (sale) of buying a call (put) at one strike price and selling a call (put) at a different strike price within the same expiration.
A Vertical has:
 One Product
 Two legs
 Both legs must be same expiration
 Both legs must be calls or puts
 Both legs must have different strike prices
 For a Call Vertical
 Leg1 must be a at a lower strike
 Leg2 must be a at a higher strike
 For a Call Vertical
 For a Put Vertical
 Leg1 must be at a higher strike
 Leg2 must be at a lower strike
 For a Put Vertical
 Quantity/side ratio of the legs is +1:1
 Buying the Vertical buys one leg1 and sells leg2
 Selling the Vertical sells one leg1 and buys leg2
Example
 Instrument Symbol = UD:U$: VT 0709922760
 Leg 1 = +1 SR1U4 C9737
 Leg 2 = 1 SR1U4 C9762
Pricing
The Vertical Trade Price is = (Leg1Leg2) the differential of both option legs.
Leg Price Assignment
 Calculate Fair Price of the Vertical based on fair prices of the legs
 Calculate the difference between the Vertical trade price and the calculated fair price of the spread
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Vertical trades at 4.0
 Leg1 has Fair Market Price of = 9
 Leg2 has Fair Market Price of = 5
 Spread Fair Market Price = 9  5 = 4
 Spread Trade Price – Fair Market Price = 4 – 4 = 0
 There are 0 ticks to distribute.
 Spread Trade Price – Fair Market Price = 1 Fair Market Price; no remainder to distribute to the legs
 Leg1 = 9
 Leg2 = 5
Pricing Example – Unequal Distribution
Vertical trades at 4.5
 Leg1 has Fair Market Price of 9
 Leg2 has Fair Market Price of 5
 Spread Fair Market Price = 9 – 5 = 4
 Spread Trade Price  Fair Market Price = 4.5 – 4= 0.5
 There are .5 ticks to distribute.
 Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
 Leg1 = 9.25
 Leg2 = 4.75
BX Box
SecuritySubType=BX
A Box is an options combination involving buying a call and selling a put at the same lower strike combined with buying a put and selling a call at the same higher strike within the same instrument and expiration. A Box is therefore composed of four outright options with restrictions on the buys, sells, puts, calls, and strikes allowed. The Box can also be understood as a buy of a call vertical and a buy of a put vertical in one instrument with consistent strikes between the two verticals.
A Box has:
 One Product
 Four legs
 Leg1 (buy leg) must be a call at a strike price
 Leg2 (sell leg) must be a put at same strike price as leg1
 Leg3 (buy leg) must be a put at a higher strike price than leg1
 Leg4 (sell leg) must be a call at same strike price as leg3
 All four legs must be the same expiration
 Two legs must be calls and two legs must puts
 Quantity/side ratio of the legs is +1:1:+1:1
 Buying a Box buy Leg1, sell Leg2, buy Leg3, sell Leg4
 Selling a Box sell Leg1, buy Leg2, sell Leg3, buy Leg4
Example
 Instrument Symbol = UD:1V: BX 0806948120
 Leg1 = +1 ESU8 C2500
 Leg2 = 1 ESU8 P2500
 Leg3 = +1 ESU8 P2800
 Leg4 = 1 ESU8 C2800
Pricing
 The Box Trade Price is = sum of Buy legs – sum of Sell legs, or
 Leg1 – Leg2 + Leg3 – Leg4
 Leg1 + Leg3 – (Leg2 + Leg4)
Leg Price Assignment
 Calculate Fair Price of the Box based on fair prices of the legs.
 Calculate the difference between the Box trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Box trades at 34700
 Leg1 has Fair Market Price of = 24775
 Leg2 has Fair Market Price of = 3175
 Leg3 has Fair Market Price of = 14950
 Leg4 has Fair Market Price of = 1750
 Spread Fair Trade Price = 24775 + 14950 – (3175 + 1750) = 34800
 Spread Trade Price  Fair Market Price = 34700 – 34800 = 100
 There are 4 ticks to distribute.
 Leg1 = 24775 – 25 = 24750
 Leg2 = 3175 + 25 = 3200
 Leg3 = 14950 – 25 = 14925
 Leg4 = 1750 + 25 = 1775
Pricing Example – Unequal Distribution
Box trades at 34775
 Leg1 has Fair Market Price of = 24775
 Leg2 has Fair Market Price of = 3175
 Leg3 has Fair Market Price of = 14950
 Leg4 has Fair Market Price of = 1750
 Spread Fair Trade Price = 24775 + 14950 – (3175 + 1750) = 34800
 Spread Trade Price  Fair Market Price = 34775 – 34800 = 25
 There is 1 tick to distribute
 UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
 Leg1 = 24775 – 25 = 24750
 Leg2 = 3175
 Leg3 = 14950
 Leg4 = 1750
CC Conditional Curve
SecuritySubType=CC
A Conditional Curve is an options spread unique to CME SOFR options. A Conditional Curve involves the simultaneous purchase (sale) of a SOFR option and the sale (purchase) of a second SOFR option. Both options must be either calls or puts, within the same expiration, and must have different underlying futures.
A Conditional Curve has:
 Two Products
 One product must be a SOFR midcurve option
 One product must be a SOFR option or SOFR midcurve option
 Both products must support the Conditional Curve options spread
 Two Legs
 Leg1 (buy leg) must be a call with an earlier underlying expiration compared to Leg2
 Leg2 (sell leg) must be a call with a later underlying expiration compared to Leg1
 Leg1 (buy leg) must be a put with an earlier underlying expiration compared to Leg2
 Leg2 (sell leg) must be a put with a later underlying expiration compared to Leg1
 Both legs must have the same expiration date
 Both legs must be calls or puts
 No specific requirement on strike price. Typically, the strikes are close together or equal.
 The legs must have different underlying products
 For a Call Conditional Curve
 For a Put Conditional Curve
 Quantity/side ratio of the legs is +1:1
 Buying a Conditional Curve buys leg1 and sells leg2
 Selling a Conditional Curve sells leg1 and buys leg2
Example
 Instrument Symbol = UD: U$: CC 0917923556
 Leg1 = +1 SR1H4 P9478
 Leg2 = 1 SR3Z3 P9472
Pricing
The Conditional Curve Trade Price is = Leg1  Leg2
Leg Price Assignment
 Calculate Fair Price of the Conditional Curve based on fair prices of the legs.
 Calculate the difference between the Conditional Curve trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Conditional Curve trades at 1.5
 Leg1 has Fair Market Price of = 7
 Leg2 has Fair Market Price of = 7.5
 Spread Fair Market Price = 7 – 7.5 = – 0.5
 Spread Trade Price  Fair Market Price = 1.5 – (0.5) = 2
 There are 4 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 7 + 1 = 8
 Leg2 = 7.5 – 1 = 6.5
Pricing Example – Unequal Distribution
Conditional Curve trades at 1.0
 Leg1 has Fair Market Price of = 7
 Leg2 has Fair Market Price of = 7.5
 Spread Fair Market Price = 7 – 7.5 = – 0.5
 Spread Trade Price  Fair Market Price = 1.0 – (0.5) = 1.5
 There are 3 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 7 + 1 = 8
 Leg2 = 7.5 – .5 = 7
DB Double
SecuritySubType=DB
The Double is an option spread involving the simultaneous purchase of two calls or two puts with the same expiration.
A Double has:
 One Product
 Two legs
 Leg1 (buy leg) must be a call
 Leg2 (buy leg) must be a call at a higher strike price
 Leg1 (buy leg) must be a put
 Leg2 (buy leg) must be a put at a lower strike price
 Both legs must be the same expiration
 For a call Double
 For a put Double
 Quantity/side ratio of the legs is +1:+1
 Buying a Double buys leg1, buys leg2
 Selling a Double sells leg1, sells leg2
Example
 Instrument Symbol = UD:1V: DB 1010944618
 Leg1 = +1 ESZ8 C2865
 Leg2 = +1 ESZ8 C2880
Note: The price of the spread must be a tradeable tick. The lowest acceptable price for this spread is one of the following:
 Since the instruments will have the same tick rules, twice the minimum tick
 Twice the value of cabinet is acceptable provided the resulting price is a valid tradeable tick
Pricing
 The Double Trade Price is = Leg1 + Leg2
Leg Price Assignment
 Calculate Fair Price of the Double based on fair prices of the legs.
 Calculate the difference between the Double trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.Pricing Example – Equal Distribution
Double trades at 6500
 Leg1 has Fair Market Price of = 3500
 Leg2 has Fair Market Price of = 2900
 Spread Fair Market Price = 6400
 Spread Trade Price  Fair Market Price = 6500 – 6400 = 100
 There are 4 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 3500 + 50 = 3550
 Leg2 = 2900 + 50 = 2950
Pricing Example – Unequal Distribution
Double trades at 6475
 Leg1 has Fair Market Price of = 3500
 Leg2 has Fair Market Price of = 2900
 Spread Fair Market Price = 6400
 Spread Trade Price  Fair Market Price = 6475 – 6400 = 75
 There are 3 ticks to distribute.
 The adjustment is applied as follows:
 Leg1 = 3500 + 50 = 3550
 Leg2 = 2900 + 25 = 2925
HS Horizontal Straddle
SecuritySubType=HS
The Horizontal Straddle is an options combination involving the simultaneous purchase (sale) of a call and a put at an identical strike price in a deferred month, and also selling a call and a put at another identical strike price in a nearby month. More specifically, the Horizontal Straddle consist of buying a Straddle in a deferred month and selling a Straddle in a nearby month.
A Horizontal Straddle has:
 One Product
 Four legs
 Leg1 must be a buy of a call in a deferred expiration
 Leg2 must be a buy of a put with the same expiration and strike as Leg1
 Leg3 must be a sell of a call in a nearby expiration
 Leg4 must be a sell of a put with the same expiration and strike as Leg3
 Quantity/side ratio of the legs is +1:+1:1:1
 Buying a Horizontal Straddle buys leg1, buys leg2, sells leg3, and sells leg4
 Selling a Horizontal Straddle sells leg1, sells leg2, buys leg3, and buys leg4
Example
 Instrument Symbol = UD:1V: HS 1010946400
 Leg1 = +1 EWZ8 C2840
 Leg2 = +1 EWZ8 P2840
 Leg3 = 1 EWX8 C2850
 Leg4 = 1 EWX8 P2850
Pricing
The Horizontal Straddle Trade Price is = Leg1 + Leg2 – Leg3 – Leg4
Leg Price Assignment
 Calculate Fair Price of the Horizontal Straddle based on fair prices of the legs.
 Calculate the difference between the Horizontal Straddle trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Horizontal Straddle trades at 3900
 Leg1 has Fair Market Price of = 8500
 Leg2 has Fair Market Price of = 7275
 Leg3 has Fair Market Price of = 5750
 Leg4 has Fair Market Price of = 6325
 Spread Fair Market Price = 3700
 Spread Trade Price  Fair Market Price = 3900 – 3700 = 200
 There are 8 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 8500 + 50 = 8550
 Leg2 = 7275 + 50 = 7325
 Leg3 = 5750 – 50 = 5700
 Leg4 = 6325 – 50 = 6275
Pricing Example – Unequal Distribution
Horizontal Straddle trades at 3875
 Leg1 has Fair Market Price of = 8500
 Leg2 has Fair Market Price of = 7275
 Leg3 has Fair Market Price of = 5750
 Leg4 has Fair Market Price of = 6325
 Spread Fair Market Price = 3700
 Spread Trade Price  Fair Market Price = 3875 – 3700 = 175
 There are 7 ticks to distribute
 The adjustment is applied as follows:
 Leg1 = 8500 + 100 = 8600
 Leg2 = 7275 + 25 = 7350
 Leg3 = 5750 – 25 = 5725
 Leg4 = 6325 – 25 = 6300
IC Iron Condor
SecuritySubType=IC
The Iron Condor is an options combination involving the simultaneous purchase (sale) of a vertical call spread and a vertical put spread where all legs must be of same expiration. The strike prices must range from lowest to highest in order of the legs. Due to this restriction, the first leg of the spread is the sell of a put.
An Iron Condor has:
 One Product
 Four legs
 Leg1 (sell leg) must be a put
 Leg2 (buy leg) must be a put at a higher strike price than leg1
 Leg3 (buy leg) must be a call at a higher strike price than leg2
 Leg4 (sell leg) must be a call at a higher strike price than leg3
 All legs must be the same expiration
 Quantity/side ratio of the legs is 1:+1:+1:1
 Buying an Iron Condor sells leg1, buys leg2, buys leg3, and sells leg4
 Selling an Iron Condor buys leg1, sells leg2, sells leg3, and buys leg4
Example
 Instrument Symbol = UD:1N: IC 1008910354
 Leg1 = 1 LOZ8 P6150
 Leg2 = +1 LOZ8 P6200
 Leg3 = +1 LOZ8 C7000
 Leg4 = 1 LOZ8 C7050
Pricing
The Iron Condor Trade Price is = Leg2 + Leg3 – Leg1 – Leg4
Leg Price Assignment
 Calculate Fair Price of the Iron Condor based on fair prices of the legs.
 Calculate the difference between the Iron Condor trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Iron Condor trades at 40
 Leg1 has Fair Market Price of = 11
 Leg2 has Fair Market Price of = 12
 Leg3 has Fair Market Price of = 444
 Leg4 has Fair Market Price of = 409
 Spread Fair Market Price = 36
 Spread Trade Price  Fair Market Price = 40 – 36 = 4
 There are 4 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 11 – 1 = 10
 Leg2 = 12 + 1 = 13
 Leg3 = 444 + 1 = 445
 Leg4 = 409 – 1 = 408
Pricing Example – Unequal Distribution
Iron Condor trades at 39
 Leg1 has Fair Market Price of = 11
 Leg2 has Fair Market Price of = 12
 Leg3 has Fair Market Price of = 444
 Leg4 has Fair Market Price of = 409
 Spread Fair Market Price = 36
 Spread Trade Price  Fair Market Price = 39 – 36 = 3
 There are 3 ticks to distribute.
 The adjustment is applied as follows:
 Leg1 = 11
 Leg2 = 12 + 3 = 15
 Leg3 = 444
 Leg4 = 409
12 Ratio 1x2
SecuritySubType=12
The Ratio 1x2 is an options spread involving the simultaneous purchase (sale) of one call (put) and the sale (purchase) of two calls (puts) at different strike prices and same expirations.
A Ratio 1X2 has:
 One Product
 Two legs
 Leg1 (buy leg) must be a call at a lower strike price for a quantity of one lot
 Leg2 (sell leg) must be a call at a higher strike price for a quantity of two lots
 Leg1 (buy leg) must be a put at a higher strike price for a quantity of one lot
 Leg2 (sell leg) must be a put at a lower strike price for a quantity of two lots
 Both legs must be the same expiration
 For a call 1x2
 For a put 1x2
 Quantity/side ratio of the legs is +1:2
 Buying a Ratio 1x2 buys leg1 and sells leg2
 Selling a Ratio 1x2 sells leg1 and buys leg2
Example
 Instrument Symbol = UD:U$: 12 0716928272
 Leg1 = +1 SR1U4 P9800
 Leg2 = 2 SR1U4 P9762
Pricing
The Ratio 1x2 Trade Price is = Leg1 – (2*Leg2)
Leg Price Assignment
 Calculate Fair Price of the Ratio 1x2 based on fair prices of the legs.
 Calculate the difference between the Ratio 1x2 trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Ratio 1x2 trades at 24.0
 Leg1 has Fair Market Price of = 46.5
 Leg2 has Fair Market Price of = 10.5 * 2 = 21
 Spread Fair Trade Price = (1*46.5) – (2*10.5) = 25.5
 Spread Trade Price  Fair Market Price = 24.0 – 25.5 = 1.5
 There is a total of 3 ticks to distribute, but a tick to the second leg counts double
 The adjustment can be applied evenly as a result
 Leg1 = 46.5  .5 = 46
 Leg2 = (21 + 1) / 2 = 11
 46 – (11*2) = 24
Pricing Example – Unequal Distribution
Ratio 1x2 trades at 24.5
 Leg1 has Fair Market Price of = 46.5
 Leg2 has Fair Market Price of = 10.5 * 2 = 21
 Spread Fair Trade Price = 46.5 – (2*10.5) = 25.5
 Spread Trade Price  Fair Market Price = 24.5 – 25.5 = 1
 Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly
 There is a total of 2 whole ticks to distribute, but a tick to the second leg counts double
 Because of this, the whole adjustment applies to leg 1 only
 Leg1 = 46.5 – 1 = 45.5
 Leg2 = 21 / 2 = 10.5
 45.5 – (10.5 * 2) = 24.5
13 Ratio 1x3
SecuritySubType=13
The Ratio 1X3 is an options spread involving the simultaneous purchase (sale) of buying one call (put) and selling three calls (puts) at different strike prices and same expirations.
A 13 Ratio 1X3 has:
 One Product
 Two legs
 Leg1 (buy leg) must be a call at a lower strike price for a quantity of one lot
 Leg2 (sell leg) must be a call at a higher strike price for a quantity of three lots
 Leg1 (buy leg) must be a put at a higher strike price for a quantity of one lot
 Leg2 (sell leg) must be a put at a lower strike price for a quantity of three lots
 Both legs must be the same expiration
 For a call 1x3
 For a put 1x3
 Quantity/side ratio of the legs is +1:3
 Buying a Ratio 1x3 buys leg1 and sells leg2
 Selling a Ratio 1x3 sells leg1 and buys leg2
Example
 Instrument Symbol = UD:1V: 13 0730958091
 Leg 1 = +1 ESZ8 P2200
 Leg 2 = 3 ESZ8 P1700
Pricing
The 13 Ratio 1X3 Trade Price is = (1*leg1)  (3*leg2)
Leg Price Assignment
 Calculate Fair Price of the Ratio 1x3 based on fair prices of the legs.
 Calculate the difference between the Ratio 1x3 trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules
Pricing Example – Equal Distribution
Ratio 1x3 trades at 265
 Leg1 has Fair Market Price of = 800
 Leg2 has Fair Market Price of = 185
 Spread Fair Market Price = (800*1) – (185*3) = 245
 Spread Trade Price  Fair Market Price = 265 – 245 = 20
 There are 4 ticks to distribute, a tick to the second leg counts triple
 Distribute whole tick value to each leg evenly
 Leg1 = 800 + 5 = 805
 Leg2 = 185 – 5 = 180
 805  (180*3) = 265
 Note – 805 is an untradeable tick for this instrument, however it is legal for leg assignment
The differential of the legs must be a tradeable tick for the new combined instrument. In the event that it is not, orders using the price will be rejected. This spread can trade to a minimum price of zero. This spread can also trade at a negative price.
Pricing Example – Unequal Distribution
Ratio 1x3 trades at 260
 Leg1 has Fair Market Price of = 800
 Leg2 has Fair Market Price of = 185
 Spread Fair Market Price = 800 – (185*3) = 245
 Spread Trade Price – Fair Market Price = 260 – 245 = 15
 There are 3 ticks to distribute, a tick to the second leg counts triple
 UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
 Leg1 = 800 + 15 = 815
 Leg2 = 185
 815 – (185*3) = 260
23 Ratio 2x3
SecuritySubType=23
The Ratio 2x3 is an options spread involving the simultaneous purchase (sale) of two calls (puts) and sale (purchase) of three calls (puts) at different strike prices with the same expirations.
A Ratio 2x3 has:
 One Product
 Two legs
 Leg1 (buy leg) must be a call at a lower strike price for a quantity of two lots
 Leg2 (sell leg) must be a call at a higher strike price for a quantity of three lots
 Leg1 (buy leg) must be a put at a higher strike price for a quantity of two lots
 Leg2 (sell leg) must be a put at a lower strike price for a quantity of three lots
 Both legs must be the same expiration
 For a call 2x3
 For a put 2x3
 Quantity/side ratio of the legs is +2:3
 Buying a Ratio 2x3 buys leg1 and sells leg2
 Selling a Ratio 2x3 sells leg1 and buys leg2
Example
Instrument Symbol = UD:1V: 23 0806947512
 Leg1 = +2 ESU8 P2800
 Leg2 = 3 ESU8 P2725
Pricing
The Ratio 2x3 Trade Price is = (2*leg1) – (3*leg2)
Leg Price Assignment
 Calculate Fair Price of the Ratio 2X3 based on fair prices of the legs.
 Calculate the difference between the Ratio 2X3 trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules.
Pricing Example – Equal Distribution
Ratio 2x3 trades at 1000
 Leg1 has Fair Market Price of = 2350
 Leg2 has Fair Market Price of = 1275
 Spread Fair Market Price = (2*2350) – (3*1275) = 875
 Spread Trade Price  Fair Market Price = 1000 – 875 = 125
 There are 5 ticks to distribute, a tick to the first leg counts double and a tick to the second leg counts triple.
 The adjustment is applied evenly as follows:
 Leg1 = 2350 + 25 = 2375
 Leg2 = 1275 – 25 = 1250
 (2375*2) – (1250*3) = 1000
Pricing Example – Unequal Distribution
Ratio 2x3 trades at 925
 Leg1 has Fair Market Price of = 2350
 Leg2 has Fair Market Price of = 1275
 Spread Fair Market Price = (2*2350) – (3*1275) = 875
 Spread Trade Price  Fair Market Price = 925 – 875 = 50
 There are 2 ticks to distribute, a tick to the first leg counts double and a tick to the second leg counts triple
 UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
 The adjustment is applied as follows:
 Leg1 = 2350 + 25 = 2375
 Leg2 = 1275
 (2375*2) – (1275*3) = 925
RR Risk Reversal
SecuritySubType=RR
The Risk Reversal is an options combination involving the simultaneous purchase (sale) of a call and sale(purchase) of a put with the same expirations. The strike price of the put must be lower or equal to the strike price of the call.
A Risk Reversal has:
 One Product
 Two legs
 Leg1 (buy leg) must be a call at a strike price equal to or higher than the put
 Leg2 (sell leg) must be a put at a strike price equal to or lower than the call
 Both legs must be the same expiration
 One leg must be a call and one leg must be a put
 Quantity/side ratio of the legs is +1:1
 Buying a Risk Reversal buys leg1 and sells leg2
 Selling a Risk Reversal sells leg1 and buys leg2
Example
 Instrument Symbol = UD:1V: RR 0910956914
 Leg1 = +1 ESU8 C2920
 Leg2 = 1 ESU8 P2775
Pricing
The Risk Reversal Trade Price = Leg1 – Leg2
Leg Price Assignment
 Calculate Fair Price of the Risk Reversal based on fair prices of the legs.
 Calculate the difference between the Risk Reversal trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules.
Pricing Example – Equal Distribution
Risk Reversal trades at 125
 Leg1 has Fair Market Price of = 260
 Leg2 has Fair Market Price of = 335
 Spread Fair Market Price = 260 – 335 = 75
 Spread Trade Price  Fair Market Price = 125 – (75) = 50
 There are 10 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 260 – 25 = 235
 Leg2 = 335 + 25 = 360
 235 – 360 = 125
Pricing Example – Unequal Distribution
Risk Reversal trades at 120
 Leg1 has Fair Market Price of = 260
 Leg2 has Fair Market Price of = 335
 Spread Fair Market Price = 260 – 335 = 75
 Spread Trade Price  Fair Market Price = 120 – (75) = 45
 There are 9 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 260 – 25 = 235
 Leg2 = 335 + 20 = 355
 235 – 355 = 120
Example
 Instrument Symbol = UD:1V: RR 0910956914
 Leg1 = +1 ESU8 C2920
 Leg2 = 1 ESU8 P2775
Pricing
The Risk Reversal Trade Price is = Leg1 – Leg2
GD Average Priced Strip Combination
SecuritySubType=GD
The Average Priced Strip Combination is an options spread or combination involving the simultaneous purchase or sale of more than one Average Priced Strips (SA).
A GD Strip has:
 One Product
 Leg components made up of Averaged Price Strips
 Minimum of two legs if recursive
 Minimum of four legs if nonrecursive
 Maximum of 26 legs
 Buying the Average Priced Strip Combination buys all buy components and sells all sell components
 Selling the Average Priced Strip Combination sells all buy components and buys all sell components
Example
 Instrument Symbol = UD:1N: GD 1114915128
 +1 LOF9 P5800
 +1 LOG9 P5800
 +1 LOH9 P5800
  1 LOF9 P5000
  1 LOG9 P5000
  1 LOH9 P5000
 Globex identifies the following components as the first Average Priced Strip:
 Globex identifies the following components as the second Average Priced Strip:
If all Average Priced Strip components in the Average Priced Strip Combination are buys, the instrument can only trade at a positive price. If at least one component of the Average Priced Strips is comprised of sell components, the resulting Average Priced Strip Combination can trade at a positive, negative, or zero price.
Pricing
 The Average Priced Strip Combination minimum tradeable price is the sum of the minimum prices of the Average Priced Strip components.
 The Average Priced Strip Combination Trade Price is = The sum of the Average Priced Strips components in the combination
 Each Leg is then assigned the price of the Average Priced Strip
Leg Price Assignment
 Calculate the fair value of the Average Priced Strip Combination based on fair prices of the legs.
 Calculate the difference between the Average Priced Strip Combination trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment to the Averaged Price Strips due to remainder will be assigned according to Averaged Priced Strip Combination leg pricing assignment rules.
 Apply adjusted Averaged Price Strips prices to each of the components legs
The following examples use the above instrument UD:1N: GD 1114915128.
Pricing Example – Equal Distribution
Average Priced Strip Combination trades at 275
 Leg1 has Fair Market Price of = 321
 Leg2 has Fair Market Price of = 420
 Leg3 has Fair Market Price of = 451
 The first recognized Average Priced Strip price is = (321+420+451)/3 = 397.3 or 397 after rounding
 Leg4 has Fair Market Price of = 72
 Leg5 has Fair Market Price of = 131
 Leg6 has Fair Market Price of = 181
 The second recognized Average Priced Strip price is = (72+131+181)/3 = 128
 Spread Fair Market Price = 397 – 128 = 269
 Spread Trade Price  Fair Market Price = 275 – 269 = 6
 There are 6 ticks to distribute between two recognized Average Priced Strips
 The adjustments are applied as follows:
 First Average Priced Strip = 397 + 3 = 400
 Leg’s 1, 2, and 3 are each assigned a price of 400
 Second Average Priced Strip = 128 – 3 = 125
 Leg’s 4, 5, and 6 are each assigned a price of 125
Pricing Example – Unequal Distribution
Average Priced Strip Combination trades at 274
 Leg1 has Fair Market Price of = 321
 Leg2 has Fair Market Price of = 420
 Leg3 has Fair Market Price of = 451
 The first recognized Average Priced Strip price is = (321+420+451)/3 = 397.3 or 397 after rounding
 Leg4 has Fair Market Price of = 72
 Leg5 has Fair Market Price of = 131
 Leg6 has Fair Market Price of = 181
 The second recognized Average Priced Strip price is = (72+131+181)/3 = 128
 Spread Fair Market Price = 397 – 128 = 269
 Spread Trade Price  Fair Market Price = 275 – 269 = 5
 There are 5 ticks to distribute between two recognized Average Priced Strips
 The adjustments are applied as follows:
 First Average Priced Strip = 397 + 3 = 400
 Leg’s 1, 2, and 3 are each assigned a price of 400
 Second Average Priced Strip = 128 – 2 = 126
 Leg’s 4, 5, and 6 are each assigned a price of 126
XT Xmas Tree
SecuritySubType=XT
The Xmas Tree is an options spread involving the simultaneous purchase (sale) of buying a call (put), selling a call (put), and selling another call (put) of equidistant strike prices within the same expirations.
An Xmas Tree has:
 One Product
 Three legs
 All legs must be the same expiration
 For a call Xmas Tree
 Leg1 (buy leg) must be a call at a certain strike price
 Leg2 (sell leg) must be a call at a higher strike price than leg1
 Leg3 (sell leg) must be a call at a higher strike price than leg2
 The difference in strikes must be equal, i.e. Strike3Strike2=Strike2Strike1
 For a put Xmas Tree
 Leg1 (buy leg) must be a put at a certain strike price
 Leg2 (sell leg) must be a put at a lower strike price than leg1
 Leg3 (sell leg) must be a put at a lower strike price than leg2
The difference in strikes must be equal, i.e. Strike1Strike2=Strike2Strike3
 Quantity/side ratio of the legs is +1:1:1
 Buying a Xmas Tree buys leg1 and sells leg2 and leg3
 Selling a Xmas Tree sells leg1 and buys leg2 and leg3
Example
Instrument Symbol = UD:1V: XT 0910958788
 Leg1 = +1 ESU8 C2950
 Leg2 = 1 ESU8 C2975
 Leg3 = 1 ESU8 C3000
Pricing
The Xmas Trade Price = Leg1  Leg2  Leg3
Leg Price Assignment
 Calculate Fair Price of the Xmas Tree based on fair prices of the legs.
 Calculate the difference between the Xmas Tree trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules.
Pricing Example – Equal Distribution
Xmas Tree trades at 30
 Leg1 has Fair Market Price of = 90
 Leg2 has Fair Market Price of = 45
 Leg3 has Fair Market Price of = 30
 Spread Fair Market Price = 90 – 45 – 30 = 15
 Spread Trade Price  Fair Market Price = 30 – 15 = 15
 There are 3 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 90 + 5 = 95
 Leg2 = 45 – 5 = 40
 Leg3 = 30 – 5 = 25
 95 – 40 – 25 = 30
Pricing Example – Unequal Distribution
Xmas Tree trades at 25
 Leg1 has Fair Market Price of = 90
 Leg2 has Fair Market Price of = 45
 Leg3 has Fair Market Price of =30
 Spread Fair Market Price = 90 – 45 – 30 = 15
 Spread Trade Price  Fair Market Price = 25 – 15 = 10
 There are 2 ticks to distribute.
 The adjustment is applied as follows:
 Leg1 = 90 + 10 = 100
 Leg2 = 45
 Leg3 = 30
 100 – 45 – 30 = 25
3W 3Way
SecuritySubType=3W
The Call 3Way is an options combination involving the simultaneous purchase (sale) of a call, the sale (purchase) of a second call, and the sale (purchase) of a put. Leg1’s strike price must be between Leg2’s higher strike price and Leg3’s lower strike price. All legs must have the same expiration. More specifically, the 3Way combination is the simultaneous purchase of a vertical call spread and sale of a put against it.
The Put 3Way is an options combination involving the simultaneous purchase (sale) of a put, the sale (purchase) of a second put, and the sale (purchase) of a call. Leg1’s strike price must be between Leg2’s lower strike price and Leg3’s higher strike price. All legs must have the same expiration. More specifically, the 3Way combination is the simultaneous purchase of a vertical put spread and sale of a call against it.
A 3Way has:
 One Product
 Three legs
 Leg1 (buy leg) must be a call
 Leg2 (sell leg) must be a call at a higher strike price than leg1
 Leg3 (sell leg) must be a put at a lower strike price than leg1
 Leg1 (buy leg) must be a put
 Leg2 (sell leg) must be a put at a lower strike price than leg1
 Leg3 (sell leg) must be a call at a higher strike price than leg1
 All legs must be the same expiration
 For a call 3Way
 For a put 3Way
 Quantity/side ratio of the legs is +1:1:1
 Buying a 3Way buys leg1, sells leg2, sells leg3
 Selling a 3Way sells leg1, buys leg2, buysleg3
Example
 Instrument Symbol = UD:1V: 3W 1010948130
 Leg1 = +1 ESZ8 P2800
 Leg2 = 1 ESZ8 P2780
 Leg3 = 1 ESZ8 C3000
Pricing
The 3Way Trade Price is = Leg1 – Leg2 – Leg3
Leg Price Assignment
 Calculate Fair Price of the 3Way based on fair prices of the legs.
 Calculate the difference between the 3Way trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
3Way trades at 525
 Leg1 has Fair Market Price of = 10200
 Leg2 has Fair Market Price of = 9300
 Leg3 has Fair Market Price of = 405
 Spread Fair Market Price = 495
 Spread Trade Price  Fair Market Price = 525 – 495 = 30
 There are 6 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 10200 + 10 = 10210
 Leg2 = 9300 – 10 = 9290
 Leg3 = 405 – 10 = 395
Pricing Example – Unequal Distribution
3Way trades at 550
 Leg1 has Fair Market Price of = 10200
 Leg2 has Fair Market Price of = 9300
 Leg3 has Fair Market Price of = 405
 Spread Fair Market Price = 495
 Spread Trade Price  Fair Market Price = 550 – 495 = 55
 There are 11 ticks to distribute.
 The adjustment is applied as follows:
 Leg1 = 10200 + 25 = 10225
 Leg2 = 9300 – 15 = 9285
 Leg3 = 405 – 15 = 390
3C 3Way Straddle versus Call
SecuritySubType=3C
The 3Way Call Straddle is an options combination involving the simultaneous purchase (sale) of a call and a put at the same strike price, while selling an additional call at a different strike price. All legs must be of same expiration. More specifically, the 3Way Call Straddle options combination is the simultaneous purchase (sale) of a Straddle and sale (purchase) of a call within the same expiration.
A 3Way Call Straddle has:
 One Product
 Three legs
 Leg1 (buy leg) must be a call
 Leg2 (buy leg) must be a put at same strike price as leg1
 Leg3 (sell leg) must be a call at a different strike price than Legs 1 and 2
 All legs must be the same expiration
 For a call 3Way Call Straddle
 Quantity/side ratio of the legs is +1:+1:1
 Buying a 3Way Call Straddle buys leg1, buys leg2, sells leg3
 Selling a 3Way Call Straddle sells leg1, sells leg2, buys leg3
Example
 Instrument Symbol = UD:U$: 3C 1015931432
 Leg1 = +1 SR1Z3 C9750
 Leg2 = +1 SR1Z3 P9750
 Leg3 = 1 SR1Z3 C9800
Pricing
The 3Way Call Straddle Trade Price is = Leg1 + Leg2 – Leg3
Leg Price Assignment
 Calculate Fair Price of the 3Way Call Straddle based on fair prices of the legs.
 Calculate the difference between the 3Way Call Straddle trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
3Way Call Straddle trades at 22
 Leg1 has Fair Market Price of = 1.5
 Leg2 has Fair Market Price of = 19
 Leg3 has Fair Market Price of = 1.5
 Spread Fair Market Price = 1.5 + 19  1.5 = 19
 Spread Trade Price  Fair Market Price = 22 – 19 = 3
 There are 6 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 1.5 + 1 = 2.5
 Leg2 = 19 + 1 = 20
 Leg3 = 1.5 – 1 = .5
Pricing Example – Unequal Distribution
3Way Call Straddle trades at 21
 Leg1 has Fair Market Price of = 1.5
 Leg2 has Fair Market Price of = 19
 Leg3 has Fair Market Price of = 1.5
 Spread Fair Market Price = 1.5 + 19  1.5 = 19
 Spread Trade Price  Fair Market Price = 21 – 19 = 2
 There are 4 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 1.5 + 1 = 2.5
 Leg2 = 19 + .5 = 19.5
 Leg3 = 1.5 – .5 = 1
3P 3Way Straddle versus Put
SecuritySubType=3P
The 3Way Put Straddle is an options combination involving the simultaneous purchase (sale) of a call, and a put at the same strike price, while selling an additional put at a different strike price. All legs must be of the same expiration. The 3Way Put Straddle options combination can be understood as the simultaneous purchase (sale) of a Straddle and sale (purchase) of a put within the same expiration.
A 3Way Put Straddle has:
 One Product
 Three legs
 Leg1 (buy leg) must be a call
 Leg2 (buy leg) must be a put at same strike price as leg1
 Leg3 (sell leg) must be a put at a different strike price than Legs 1 and 2
 All legs must be the same expiration
 For a put 3Way Put Straddle
 Quantity/side ratio of the legs is +1:+1:1
 Buying a 3Way Put Straddle buys leg1, buys leg2, sells leg3
 Selling a 3Way Put Straddle sells leg1, sells leg2, buys leg3
Example
 Instrument Symbol = UD:U$: 3P 1015931394
 Leg1 = +1 SR1M4 C9725
 Leg2 = +1 SR1M4 P9725
 Leg3 = 1 SR1M4 P9700
Pricing
The 3Way Put Straddle Trade Price is = Leg1 + Leg2 – Leg3
Leg Price Assignment
 Calculate Fair Price of the 3Way Put Straddle based on fair prices of the legs.
 Calculate the difference between the 3Way Put Straddle trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
3Way Put Straddle trades at 25
 Leg1 has Fair Market Price of = 5
 Leg2 has Fair Market Price of = 32
 Leg3 has Fair Market Price of =13.5
 Spread Fair Market Price = 23.5
 Spread Trade Price  Fair Market Price = 25 – 23.5 = 1.5
 There are 3 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 5 + .5 = 5.5
 Leg2 = 32 + .5 = 32.5
 Leg3 = 13.5  .5 = 13
Pricing Example – Unequal Distribution
3Way Put Straddle trades at 24
 Leg1 has Fair Market Price of = 5
 Leg2 has Fair Market Price of = 32
 Leg3 has Fair Market Price of =13.5
 Spread Fair Market Price = 23.5
 Spread Trade Price  Fair Market Price = 24 – 23.5 =.5
 There are 1 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 5 + .5 = 5.5
 Leg2 = 32
 Leg3 = 13.5
IB Iron Butterfly
SecuritySubType=IB
The Iron Butterfly is an options combination involving the simultaneous sale (purchase) of a put, the purchase (sale) of a second put, the purchase (sale) of a call, and the sale (purchase) of a second call. All components must have the same expiration. The first leg of the Iron Butterfly must be a sell. Although the strikes are not required to be consecutive or equidistant, the middle strikes of the buy put and buy call must be identical. The Iron Butterfly can also be understood as the simultaneous sale (purchase) of a Strangle (SG) and the purchase (sale) of a Straddle (ST).
A Iron Butterfly has:
 One Product
 Four legs
 Leg1 (sell leg) must be a put at the lowest strike price
 Leg2 (buy leg) must be a put at the middle strike price
 Leg3 (buy leg) must be a call at the same middle strike price as Leg2
 Leg4 (sell leg) must be a call at the highest strike price
 All four legs must be the same expiration
 Quantity/side ratio of the legs is 1:+1:+1:1
 Strike Values Leg1 < Leg2 = Leg3 < Leg4
 Buying a Iron Butterfly sells leg1, buys leg2, buys leg3, and sells leg4
 Selling a Iron Butterfly buys leg 1, sells leg2, sells leg3, and buys leg4
Example
 Instrument Symbol = UD:1V: 0807949953
 Leg1 = 1 EWU8 P2710
 Leg2 = +1 EWU8 P2810
 Leg3 = +1 EWU8 C2810
 Leg4 = 1 EWU8 C2870
Pricing
The Iron Butterfly Trade Price is = Leg2 + Leg3 – (Leg1 + Leg4)
Leg Price Assignment
 Calculate Fair Price of the Iron Butterfly based on fair prices of the legs.
 Calculate the difference between the Iron Butterfly trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Iron Butterfly trades at 150
 Leg1 has Fair Market Price of = 27
 Leg2 has Fair Market Price of = 119
 Leg3 has Fair Market Price of = 65
 Leg4 has Fair Market Price of = 11
 Spread Fair Market Price = 119 + 65 – (27 + 11) = 146
 Spread Trade Price  Fair Market Price = 150 146 =
 There are 4 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 27 – 1 = 26
 Leg2 = 119 + 1 = 120
 Leg3 = 65 + 1 = 66
 Leg4 = 11 – 1 = 10
Pricing Example – Unequal Distribution
Iron Butterfly trades at 149
 Leg1 has Fair Market Price of = 27
 Leg2 has Fair Market Price of = 119
 Leg3 has Fair Market Price of = 65
 Leg4 has Fair Market Price of = 11
 Spread Fair Market Price = 119 + 65 – (27 + 11) = 146
 Spread Trade Price  Fair Market Price = 149 – 146 = 3
 There are 3 ticks to distribute
 The adjustment is applied as follows:
 Leg1 = 27
 Leg2 = 119 + 3
 Leg3 = 65
 Leg4 = 11
JR Jelly Roll
SecuritySubType=JR
The Jelly Roll is an options combination involves the simultaneous sale (purchase) of call and purchase (sale) of a put at one strike price in a nearby expiration while also making a purchase (sale) of a call and sale (purchase) of a put at another strike price in a deferred expiration. There is no additional requirement for the strike prices. The Jelly Roll can be understood as the simultaneous sale of a nearby same strike Risk Reversal and purchase of a deferred same strike Risk Reversal. It is important to note that, with this combination, the first leg is a sell leg.
A Jelly Roll has:
 One Product
 Four legs
 Leg1 (sell leg) must be a call
 Leg2 (buy leg) must be a put at a same strike price and expiration as leg1
 Leg3 (buy leg) must be a call at a deferred expiration compared to Leg’s 1 and 2
 Leg4 (sell leg) must be a put at a same strike price and expiration as leg3
 Quantity/side ratio of the legs is 1:+1:+1:1
 Buying a Jelly Roll sell leg1, buy leg2, buy leg3, and sell leg4
 Selling a Jelly Roll buys leg1, sells leg2, sells leg3, and buys leg4
Example
 Instrument Symbol = UD:1V: JR 1015959369
 Leg1 = 1 ESZ8 C2775
 Leg2 = +1 ESZ8 P2775
 Leg3 = +1 ESM9 C2775
 Leg4 = 1 ESM9 P2775
Pricing
The Jelly Roll Trade Price is = Leg2 + Leg3 – Leg1 – Leg4
Leg Price Assignment
 Calculate Fair Price of the Jelly Roll based on fair prices of the legs.
 Calculate the difference between the Jelly Roll trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Jelly Roll trades at 1675
 Leg1 has Fair Market Price of = 8725
 Leg2 has Fair Market Price of = 5975
 Leg3 has Fair Market Price of = 16850
 Leg4 has Fair Market Price of = 12525
 Spread Fair Market Price = 1575
 Spread Trade Price  Fair Market Price = 1675 – 1575 = 100
 There are 4 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 8725 – 25 = 8700
 Leg2 = 5975 + 25 = 6000
 Leg3 = 16850 + 25 = 16875
 Leg4 = 12525 – 25 = 12500
Pricing Example – Unequal Distribution
Jelly Roll trades at 1650
 Leg1 has Fair Market Price of = 8725
 Leg2 has Fair Market Price of = 5975
 Leg3 has Fair Market Price of = 16850
 Leg4 has Fair Market Price of = 12525
 Spread Fair Market Price = 1575
 Spread Trade Price  Fair Market Price = 1650 – 1575 = 75
 There are 3 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 8725
 Leg2 = 5975 + 75 = 6050
 Leg3 = 16850
 Leg4 = 12525
GT Guts
SecuritySubType=GT
The Guts is an options combination involving the simultaneous purchase (sale) of call and a put within the same expiration. Unlike a Straddle and Strangle, a Guts combination has the strike price of the put higher than the strike price of the call.
A Guts combination has:
 One Product
 Two legs
 Both legs must be the same expiration
 Leg1 (buy leg) must be a call
 Leg2 (buy leg) must be a put at a higher strike price than Leg1
 Quantity/side ratio of the legs is +1:+1
 Buying a Guts buys leg1, buys leg2
 Selling a Guts sells leg1, sells leg2
Example
 Instrument Symbol = UD:1N: GT 1016922333
 Leg1 = +1 LOF9 C6900
 Leg2 = +1 LOF9 P7350
Pricing
The Guts Trade Price is = Leg1 + Leg2
Leg Price Assignment
 Calculate Fair Price of the Guts based on fair prices of the legs.
 Calculate the difference between the Guts trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Guts trades at 883
 Leg1 has Fair Market Price of = 450
 Leg2 has Fair Market Price of = 423
 Spread Fair Market Price = 873
 Spread Trade Price  Fair Market Price = 883 – 873 = 10
 There are 10 ticks to distribute
 The adjustment is applied evenly as follows:
 Leg1 = 450 + 5 = 455
 Leg2 = 423 + 5 = 428
Pricing Example – Unequal Distribution
Guts trades at 884
 Leg1 has Fair Market Price of = 450
 Leg2 has Fair Market Price of = 423
 Spread Fair Market Price = 873
 Spread Trade Price  Fair Market Price = 884 – 873 = 11
 There are 11 ticks to distribute
 The adjustment is applied as follows:
 Leg1 = 450 + 6 = 456
 Leg2 = 423 + 5 = 428
CV Covered
SecuritySubType=CV
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 762SecuritySubType=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 optionsfutures UserDefined 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 options 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
 If options leg(s) are a spread or combination, the Spread Trade Price is calculated following the defined spread rules
 If options leg is an outright, the Spread Trade Price is assigned to the options leg
 Multiply the Delta times the total number of traded options
 Assign the futures quantity at the Futures Leg Price
 If options leg(s) are a spread or combination, the Spread Trade Price is calculated following the defined spread rules
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
 Outright options Leg1 is assigned Spread Trade Price of 25
 Futures outright Leg2 sells 47 lots (Delta * traded options quantity) at defined price of 200,000.
EO Reduced Tick Options
SecuritySubType=EO
The Reduced Tick Options Spread is an intercommodity options spread which can also be constructed as a combination consisting of the simultaneous purchase(sale) of an American Style Natural Gas Option with the sale (purchase) of a European Style Natural Gas Option. There are no restrictions regarding option type, strike, or expiration for either leg.
Uniqueness and differences of the Reduced Tick Options Spread are highlighted in the table below:
Instrument  CME Globex Price example  CME Globex Settlement  CME Globex Tick Size  Notes 

ONX8 C3150  64  64  1  Underlying product is NGX8, American Style option. 
LNEX8 C3150  630  633  10  Underlying product is NGX8, European Style option.

Reduced Tick Options Spread UD:EO  1  .7  .1 

A Reduced Tick Options Spread has:
 Two Products
 Two legs
 Both products must be of different NYMEX Energy Product Groups of unequal ticks
 Leg1 (buy leg) must be an outright option with Globex Symbol beginning ON (ex. ONX8 C3150)
 Leg2 (sell leg) must be an outright option with Globex Symbol beginning LNE (ex. LNEX8 C3150)
 There are no requirements for option type, strike price, or expiration between the two legs
 If both legs are calls or puts, the resulting instrument is a Spread
 If one leg is a call and one leg is a put, the resulting instrument is a Combination
 Quantity/side ratio of the legs is +1:1
 Buying a Reduced Tick Options Spread or Combination buys leg1 and sells leg2
 Selling a Reduced Tick Options Spread or Combination sells leg1 and buys leg2
Example
 Instrument Symbol = UD:1T: EO 1026911365
 Leg1 = +1 ONX8 C3150
 Leg2 = 1 LNEX8 C3150
Pricing
 The EO Reduced Tick trade price is = Leg1 – Leg2
Leg Price Assignment
 Calculate Fair Price of the Reduced Tick Options Spread or Combination based on fair prices of the legs.
 Calculate the difference between the Reduced Tick Options Spread or Combination trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
EO Reduced Tick trades at 3.0
 Leg1 has Fair Market Price of = 64
 Leg2 has Fair Market Price of = 630
 Spread Fair Market Price = 64 – (630/10) = 1.0
 Spread Trade Price  Fair Market Price = 3.0 – 1.0 = 2.0
 There are 2 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 64 + 1 = 65
 Leg2 = 630 – 10 = 620
Pricing Example – Unequal Distribution
EO Reduced Tick trades at 2.9
 Leg1 has Fair Market Price of = 64
 Leg2 has Fair Market Price of = 630
 Spread Fair Market Price = 64 – (630/10) = 1.0
 Spread Trade Price  Fair Market Price = 2.9 – 1.0 = 1.9
 There are 1.9 ticks to distribute.
 The adjustment is applied as follows:
 Leg1 = 64 + 1.9 = 65.9
 Leg2 = 630
GN Generic
SecuritySubType=GN
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 UserDefined Spread (UDS).
For advanced information on UDS construction rules, see UDS  Validation and Messaging Rules.
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 noninverted or inverted, depending on whether the quoting convention of the related futures leg is inverted or noninverted with respect to the typical OTC convention for that currency pair.
With a noninverted 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.
NonInverted CME FX Link Spread (XF)
Construction: Buy1FXFutureExp1 Sell1FXOTCSpot
Security Definition Example: 6E: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 noninverted and inverted spreads is outlined below. The FX Link spot leg is rounded based on the Security Definition minimum tick precision (tag 969MinPriceIncrement), after the calculations below are performed. The trade date for FX Link is the market data trade date, not the clearing trade date. Tag 527SecondaryExecID allows linking the spread summary fill notice with the leg fill notices to determine price information.
Pricing Formula
 NonInverted (XF)
 Spot Price = Future Price – Spread Price
 Inverted (YF)
 Spot Price = (1/ Futures Price) – Spread Price
Notional Calculations
 NonInverted (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.
SS Straddle Strip
SecuritySubType=SS
The Straddle Strip is an options combination involving the simultaneous purchase (sale) of four consecutive quarterly Straddles at the same strike price.
A Straddle Strip has:
 One Product
 Eight legs
 Leg1 must be a call in Exp1
 Leg2 must be a put in Exp1
 Leg3 must be a call in Exp2
 Leg4 must be a put in Exp2
 Leg5 must be a call in Exp3
 Leg6 must be a put in Exp3
 Leg7 must be a call in Exp4
 Leg8 must be a put in Exp4
 All legs must have the same strike price
 Each put and call pair must be in consecutive quarterly expirations (Exp1, Exp2, Exp3, Exp4)
 All legs must be buys
 Quantity/side ratio of the legs is +1:+1:+1:+1:+1:+1:+1:+1
 Buying a Straddle Strip buys all eight legs
 Selling a Straddle Strip sells all eight legs
Example
 Instrument Symbol = UD:U$: SS 1024924968
 Leg1 = +1 SR1Z3 C9687
 Leg2 = +1 SR1Z3 P9687
 Leg3 = +1 SR1H4 C9687
 Leg4 = +1 SR1H4 P9687
 Leg5 = +1 SR1M4 C9687
 Leg6 = +1 SR1M4 P9687
 Leg7 = +1 SR1U4 C9687
 Leg8 = +1 SR1U4 P9687
Pricing
The Straddle Strip Trade Price is = Leg1 + Leg2 + Leg3 + Leg4 + Leg5 + Leg6 + Leg7 + Leg8
Leg Price Assignment
 Calculate Fair Price of the Straddle Strip based on fair prices of the legs.
 Calculate the difference between the Straddle Strip trade price and the calculated fair price of the spread.
 Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.
 Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.
Pricing Example – Equal Distribution
Straddle Strip trades at 348
 Leg1 has Fair Market Price of = 39.5
 Leg2 has Fair Market Price of = 38
 Leg3 has Fair Market Price of = 43
 Leg4 has Fair Market Price of = 40
 Leg5 has Fair Market Price of = 47.5
 Leg6 has Fair Market Price of = 42.5
 Leg7 has Fair Market Price of = 49.5
 Leg8 has Fair Market Price of = 44
 Spread Fair Market Price = 39.5 + 38 + 43 + 40 + 47.5 + 42.5 + 49.5 + 44 = 344
 Spread Trade Price  Fair Market Price = 348 – 344 = 4
 There are 8 ticks to distribute.
 The adjustment is applied evenly as follows:
 Leg1 = 39.5 + .5 = 40
 Leg2 = 38 + .5 = 38.5
 Leg3 = 43 + .5 = 43.5
 Leg4 = 40 + .5 = 40.5
 Leg5 = 47.5 + .5 = 48
 Leg6 = 42.5 + .5 = 43
 Leg7 = 49.5 + .5 = 50
 Leg8 = 44 + .5 = 44.5
Pricing Example – Unequal Distribution
Straddle Strip trades at 347.5
 Leg1 has Fair Market Price of = 39.5
 Leg2 has Fair Market Price of = 38
 Leg3 has Fair Market Price of = 43
 Leg4 has Fair Market Price of = 40
 Leg5 has Fair Market Price of = 47.5
 Leg6 has Fair Market Price of = 42.5
 Leg7 has Fair Market Price of = 49.5
 Leg8 has Fair Market Price of = 44
 Spread Fair Market Price = 39.5 + 38 + 43 + 40 + 47.5 + 42.5 + 49.5 + 44 = 344
 Spread Trade Price  Fair Market Price = 347.5 – 344 = 3.5
 There are 7 ticks to distribute.
 Leg Pricing Assignment rules applied – whole tick and remainder applied to leg1:
 The adjustment is applied as follows:
 Leg1 = 39.5 + 3.5 = 43
 Leg2 = 38
 Leg3 = 43
 Leg4 = 40
 Leg5 = 47.5
 Leg6 = 42.5
 Leg7 = 49.5
 Leg8 = 44
AB Averaged Price Bundle
SecuritySubType=AB
The Averaged Price Bundle is a futures spread involving the simultaneous purchase (sale) of futures positions at the averaged price of the legs.
This strategy is available as a futures exchangedefined spread only.
Averaged Price Bundle spread has:
 One product
 Minimum of four legs
 Maximum of 40 legs
 Expiration of all the legs must be consecutive quarterly outright futures
 Quantity/side ratio +1:+1:+1:+1:…+1
Example:
 Instrument Symbol = SR3: AB
 Leg1 prior settlement price = xxxx
 Leg2 prior settlement price = xxxx
 Leg3 prior settlement price = xxxx
 Leg4 prior settlement price = xxxx
Pricing:
 The Averaged Price Bundle spread trade price is = (Leg1+Leg2+…LegN) / total number of legs
 Leg price assignment:
 Prior day settlement price will be rounded up to .50 tick
 The difference between the total spread trade price (multiplying the trade price by the number of legs) and the sum of the spread prior days rounded settlement price is calculated:
 [(Trade price * number of legs) – (Sum of the legs’ prior days rounded settlement price)]
 The average differential from step 2 is applied to each leg’s prior days rounded settlement price
 Legs may be adjusted to equal spread trade price
 Any adjustment of the outright leg prices due to remainder will be assigned according to the Averaged Price Bundle leg pricing assignment rules. The remainder will be applied in .50 increments starting with most deferred leg.
Pricing Example – Equal Distribution:
Averaged Price Bundle trades at 9705.0
 Leg1 prior days rounded settlement price = 9706.5
 Leg2 prior days rounded settlement price = 9705.5
 Leg3 prior days rounded settlement price = 9703.5
 Leg4 prior days rounded settlement price = 9702.5
 Total spread trade price – sum of prior days rounded settlement price
 38820.0000 – 38818.0000 = 2
 Apply average differential to each leg:
 Leg1 = 9707.0
 Leg2 = 9706.0
 Leg3 = 9704.0
 Leg4 = 9703.0
Pricing Example – Unequal Distribution:
Averaged Price Bundle trades at 9700.0
 Leg1 prior days rounded settlement price = 9706.0
 Leg2 prior days rounded settlement price = 9705.5
 Leg3 prior days rounded settlement price = 9703.5
 Leg4 prior days rounded settlement price = 9702.5
 Total spread trade price – sum of prior days rounded settlement price
 38800.0 – 38817.5 = 17.5
 Averaged Price Bundle remainder leg pricing assignment rules applied
 Apply average differential to each leg
 Apply remainder starting with most deferred leg
 The legs are adjusted as follows:
 Leg1 = 9702.0
 Leg2 = 9701.0
 Leg3 = 9699.0
 Leg4 = 9698.0
BT South American Soybean  CBOT Soybean InterCommodity
SecuritySubType=BT
The BT spread is the simultaneous purchase (sale) of a South American Soybean FOB Santos Soybeans Financially Settled (Platts) futures contract and a CBOT Soybean futures.
Construction
The South American Soybean/CBOT Soybean InterCommodity futures spread has:
 Two different products
 Two legs
 Leg1 is the buy leg
 Leg2 is the sell leg
 Quantity/side ratio of the legs is +1:1
 Buying a South American Soybean/CBOT Soybean InterCommodity spread buys leg1 and sells leg2
 Selling a South American Soybean/CBOT Soybean InterCommodity spread sells leg1 and buys leg2
Example
 Instrument Symbol = SASJ1ZSJ1
 Leg1 = +1 SASJ1
 Leg2 =  1 ZSJ1
Pricing
 The South American Soybean/CBOT Soybean InterCommodity spread Trade Price is = (Leg1/36.74)  Leg2
 SAS ticks at .20 in per metric ton
 ZS Ticks 1/4 of one cent (0.0025) per bushel
 Spread Ticks 1/4 of one cent (0.0025) per bushel
 Conversion required to convert metric tons to bushels and bushels to metric tons
 conversion factor: 36.74
 Price assignment for Leg1 will be offtick from outright futures leg
 Leg1 calculated price can be priced outside the daily limit
Leg Price Assignment
 Leg2 is the anchor and assigned the most recent available price from the outright market
 Leg1 is calculated in metric tons:
 Leg1 ((Traded Spread + CBOT Soybean Price) * 36.74))
 To convert Leg1 from metric tons to bushels:
 Take calculated leg1 price in metric tons and divide by 36.74
 To convert Leg1 from metric tons to bushels:
 Leg1 ((Traded Spread + CBOT Soybean Price) * 36.74))
Leg Pricing Example
South American Soybean/CBOT Soybean InterCommodity spread trades at 15
 Leg1 is calculated
 Leg1 = ((15 + 1453.75) * 36.74))
 Leg1 = 53961.875 metric ton
 Leg1 = ((15 + 53961.875/36.74))
 Leg1 = 1468.75 bushel
 Leg1 = ((15 + 1453.75) * 36.74))
 Leg2 = 1453.75
AE Fixed Price Ratio InterCommodity
SecuritySubType=AE
The AE spread is the simultaneous purchase(sale) of two contracts of different leg quantity ratios where the spread will trade at a fixed price ratio of 1:1.
Construction
The Fixed Price Ratio InterCommodity futures spread is a a Fixed Price Ratio spread involving the simultaneous purchase (sale) of two different products with either the same or different expirations of different predetermined leg ratios (e.g. 8:1).
A Fixed Price Ratio InterCommodity futures spread has:
 Two products
 Two legs
 Leg1 is the buy leg and must be the same expiration or different expiration as leg2
 Leg2 is the sell leg and must be the same expiration or different expiration as leg1
Quantity/side ratios are predetermined and detailed in the outright leg quantities
 Buying the Fixed Price Ratio InterCommodity futures spread buys leg1 and sells leg2
 Selling the Fixed Price Ratio InterCommodity futures spread sells leg1 and buys leg2
Example
Instrument Symbol = NGM2NNN2
 Leg1 = +1 NGM2
 Leg2 = 1 NNN2
Pricing
The Fixed Price Ratio InterCommodity Trade Price = Leg1  Leg2
Leg Price Assignment:
 Leg1 = is the anchor and assigned the most recent market price
 Leg2 = is calculated
 Leg1 is used as the anchor leg, then leg2 = leg1 price – Spread Price
 If leg2 price is calculated outside the daily limits, leg2 will be adjusted to daily limit and leg1 is calculated.
 The same leg price will be applied to all legs on the side with a ratio, e.g., for NGNN at 8:1, all 8 NG legs will be priced at the same price.
Leg pricing examples:
A quantity side ratio of +8:1 will be used in the below example.
The Fixed Price Ratio InterCommodity trades at 0.00025
 Leg1 = 2.574
 Leg2 is calculated:
 Leg1  Spread Trade Price
 2.574  0.00025
 Leg2 = 2.57375
Resulting legs:
 Leg1 Buy 8 lots of NGM2 at 2.574
 Leg2 Sell 1 lot of NNN2 at 2.57375
Pricing Example Leg2 Calculated Outside of Daily Limits
The Fixed Price Ratio InterCommodity trades at 0.00025
Assuming leg2 daily low limit is 2.6
 Leg1 = 2.574
 Leg2 is calculated:
 Leg1  Spread Trade Price
 2.574  0.00025
 Leg2 = 2.57375
 Since leg2 is less than low limit, reset leg2 to daily low limit 2.6
 Leg1 is calculated
 Leg2 + Spread Trade Price
 2.6 + 0.00025 = 2.60025
Leg1 Buy 8 lots of NGM2 at 2.60025
Leg2 Sell 1 lot of NNN2 at 2.6
RV Curve Ratio
SecuritySubType=RV
The Curve Ratio (RV) spread trades at a yield differential. The yield books will be inverted as in a typical yield market and the Curve Ratio (RV) spread quoted prices will be in basis points, represented in decimal notation (43.750) of the yield as quoted in percentages: .43750%. Although the spread is traded at a yield differential and quoted prices in decimal notation, the outright legs are quoted in conventional prices; this will require a pricetoyield and yieldtoprice conversion for leg price assignments.
Inverted Yield Book Example
Examples of an inverted yield book in a typical yield market are shown below.
Example: Inverted RV Curve Ratio Yield Book
In a typical yield market, the bid is higher than the ask.
Inverted Book in a Typical Yield Market  
Level  UB10:30  Bid  Ask  UB10:30  

Level  Price Type  Price  Price  Price Type  Level 
1  Yield  43.750  43.751  Yield  1 
Leg Quantity Ratios
Curve Ratio (RV) spreads will support quantity ratios to keep approximate DV01 neutrality. The Curve Ratio (RV) spread leg ratios are static at the instrument level and dynamic at the product level based on spread construction. The ratios can be different for different spread instruments. The quantity ratio of legs is defined in the repeating group of the Curve Ratio (RV) spread MDP3 Security Definition (tag 35MsgType=d) message in tags 623LegRatioQty and tag 624Side for the leg ratio.
 Quantity ratios maybe reassessed when a new underlying (leg) is listed due to a new auction.
 If a new ratio is required, an additional spread will be listed.
 Curve Ratio (RV) spread quantity ratios are integers in all cases, e.g. 10:7, 5:2.
 Minimum order quantity is 1.
 The quantity must be multiplied by the leg quantity ratios of the the spread (e.g. 2:10; quantity of 5 would be 10:50.).
Spread Construction
The Curve Ratio (RV) spread has:
 2 products
 2 legs
 Maturity 1 shall be the shorter tenor
 Maturity 2 shall be the longer tenor
 Quantity/side ratio of +n:n
Quantity Side Ratios
Quantity/side ratio of +n:n  Ratios are static and predetermined based on spread construction.
Pricing Examples
The Curve Ratio (RV) spread is priced as the yield differential of two US Treasury Active tenors.
The RV Spread = Leg1  Leg2
Price to Yield and Yield to Price Conversion
The spread is traded at a + yield differential with inverted prices (bid higher than offer). The outright legs will trade in prices requiring price to yield and yield to price conversions.
Example: Curve Ratio (RV) Spread Trade and Leg Price Assignments
RV Spread UB10:30 trades 5 at 43.750 (the decimal notation of the yield as quoted in percentages: .43750%)
 Leg1 = +1 UST 10YR Bond
 Leg2 = 1 UST 30YR Bond
Leg Price Assignment
 Leg2 is the anchor and assigned the most recent traded price of 114.375; therefore, this is automatically assigned.
 Leg1 is calculated requiring a price to yield and yield to price conversion.
 Example: calculations of yield to price and price to yield.
 Leg1 = Spread Trade Price + PtY(Leg2 Price)
 Trade Price of 43.750 conversion to percent for price conversion
 .43750% + PtY(114.375)
 .43750% + 1.7530838%
 Convert Leg1 back to price:
 Leg1 in calculated yield terms (YtP) = 1.3155838%
 Leg1 yield to price (PtY) = 103.9695740
 Trade Price of 43.750 conversion to percent for price conversion
 Leg1 = Spread Trade Price + PtY(Leg2 Price)
 Example: calculations of yield to price and price to yield.
Leg Quantity Assignment
Leg1 quantity = Spread Trade Quantity * Leg1 Ratio
 Leg1 Quantity = 5 * 2 = 10
Leg2 quantity = Spread Trade Quantity * Leg2 Ratio
 Leg2 Quanity = 5 * 10 = 50
TB Gasoil Crack
SecuritySubType=TB
The Gasoil Crack spread is the differential spread involving the simultaneous purchase (sale) of a distilled product (e.g., Low Sulphur Gasoil) with a corresponding sale (purchase) of the raw product from which it was produced (e.g., Crude Oil). The Gasoil Crack spread will trade at a reduced tick (1) and is priced in terms of the raw product which necessitates a mathematical conversion of the distilled product's price.
The Gasoil Crack Spread has:
 2 different products belonging to the same product group (e.g. energy)
 2 legs
 Both legs must be of the same expirations
 Leg1 (buy leg) must be the distilled product
 Leg2 (sell leg) must be the raw product
 Quantity/side ratios of the legs is +4:3
 Buying a Gasoil Crack spread buys Leg1, sells Leg2
 Selling a Gasoil Crack spread sells Leg1, buys Leg2
Example
 Instrument Symbol = 7FV2BZV2
 Leg1 = +4 7FV2
 Leg2 = 3 BZV2
Pricing of the Gasoil Crack spread is at a fixed price ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero price. The spread also trades at a reduced tick.
Spread Pricing
The Gasoil Crack spread Trade Price is = (Leg1 / 7.45) – Leg2 * 1
The Gasoil Crack spread is priced in terms of the raw product (e.g., Crude Oil) which necessitates a mathematical conversion of the distilled product’s (e.g., Low Sulphur Gasoil) price:
For Gasoil: 1 metric ton = 7.45 barrels
Leg Price Assignment Example
 Leg2 = the anchor leg is calculated starting with the Leg2 fair market price
 Leg2 + Trade Price
 Round to nearest 20point increment
 Rounded (Leg2 + Trade Price) – Trade Price = Finalized rounded Leg2 price
 Leg2 + Trade Price
 Leg1 = calculated using a mathematical conversion and rounded to the nearest 1 cent
 Leg1 = Rounded (Leg2 + Trade Price) * 7.45
The same leg price will be applied to all legs on each side with a ratio, e.g., for 7FBZ at 4:3, all 4 7F legs will be priced at the same price and all 3 BZ legs will be priced at the same price.
Leg Pricing Example
A quantity side ratio of +4:3 is used in the example below.
The Gasoil Crack spread trades at 1121
 Leg2 has Fair Market Price of = 7778
 7778 + 1121 = 8899
 Rounded to nearest 20point increment = 8900
 8900 – 1121 = 7779
 7778 + 1121 = 8899
 Leg1 is calculated using a mathematical conversion and rounded to the nearest 1 cent
 8900 * 7.45 = 66305
 Resulting legs:
 Leg1 = Buy 4 lots of 7FV2 at 66305
 Leg2 = Sell 3 lot of BZV2 at 7779
TG HOGO InterCommodity Ratio Futures
SecuritySubType=TG
The HOGO spread is the differential spread involving the simultaneous purchase (sale) a energy product (i.e., Heating Oil) with a corresponding sale (purchase) of a related energy product (i.e., Gas Oil).
A HOGO spread has:
 Two different products belonging to the same product group (e.g., energy)
 Two legs
 Both legs must be of the same expirations
 Leg1 is the buy leg
 Leg2 is the sell leg
Quantity/side ratios of the legs is +3:4
 Buying the HOGO spread buys leg1 and sells leg2
 Selling the HOGO spread sells leg1 and buys leg2
Example
Instrument Symbol = HOZ37FZ3
 Leg1 = +3 HOZ3
 Leg2 = 4 7FZ3
Important Note
Pricing of the HOGO spread is at a fixed price ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero.
The HOGO spread trade tick (1), with leg2 (Gas Oil) will trade at a smaller tick (1) than outright trading tick (25).
Pricing
The HOGO spread Trade Price is = Leg1 * 1  Leg 2 * 1/3.129
Conversion Factor
The HOGO Spread is priced in terms of the gallons which necessitates a mathematical conversion of the price from metric tons to gallons.
 Conversion factor 1 metric ton = 312.9 gallons
 Conversion factor used in spread trade price = 3.129 gallons
Leg Price Assignment:
 Leg1 = is the anchor and assigned Fair Market Price
 Calculate Leg1  Trade Price
 Round to nearest 1000  point increment
 Calculate Leg1 final price
 Rounded (Leg1  Trade Price) + Trade Price
 Calculate Leg1  Trade Price
 Leg2 = is calculated and rounded to the nearest 1 cent
 Convert from metric tons to gallons
 Leg2 = Rounded (Leg1  Trade Price) * 3.129
 Convert from metric tons to gallons
The same leg price will be applied to all legs on the side with a ratio, e.g., for HO7F at 3:4, all 3 HO legs will be priced at the same price; and all 4 7F legs will be priced at the same price.
Leg Pricing Examples:
A quantity side ratio of +3:4 will be used in the below example.
The HOGO spread trades at 2583
 Leg1 has Fair Market Price of = 25210
 25210  2583 = 22627
 Rounded to nearest 1000  point increment = 23000
 Leg1 = 23000 + 2583 = 25583
 25210  2583 = 22627
 Leg2 is calculated rounded to the nearest 1 cent
 23000 * 3.129 = 71967
 Resulting legs:
 Leg1 Buy 3 lots of HOZ3 at 25583
 Leg2 Sell 4 lot of 7FZ3 at 71967
Note:
To convert leg2 to gallons use leg2/3.129
RB Butterfly
SecuritySubType=RB
The RB Butterfly is a 3leg spread at a fixed ratio.
The RB Butterfly spreads are constructed using three separate US Active tenors.
 3 Products
 3 Legs
 Leg1  Must be shortest tenor
 Leg2  Must be the middle tenor compared to legs 1 and 3
 Leg3  Must be the longer tenor
 Quantity/side ratio of X:Y:+Z
 Buying a RB Butterfly buys Leg1(X), sells Leg2(Y), buys Leg3(Z)
 Selling a RB Butterfly sells Leg1(X), buys Leg2(Y), sells Leg3(Z)
The RB Butterfly spreads are priced as the yield differential in basis points of three US Treasury Active Active tenors. The minimum price increment is 1/10th of one basis point.
The RB Butterfly spreads = Leg1 – (2 * Leg2) + Leg3
Example: Leg Price Assignment
 Leg2 and Leg3 are the anchor and assigned the most recent traded price; therefore, this is automatically assigned.
 Leg1 is calculated requiring a price to yield and yield to price conversion.
 Spread price (in Yield) + 2 * PtY(Leg2 Price)  PtY(Leg3 Price)
 Trade price in basis points converted to percent for price conversion
 Trade price converted to decimal for yield to price conversion
 Convert calculated Leg1 yield into price
 Final leg1 price rounded to the same decimal precision of Leg1
RB Butterfly 3Y/5Y/7Y 2:8:5 trades 10 at 300 (the basis point notation of the yield as quoted in percentages: 3%). A ratio of 2:8:5 is being used as the leg price example.
Contract details:
Contract Type  Long Name  Ratio 

Spread  3Y/5Y/7Y 2:8:5  2:8:5 
Leg1  3 YEAR  2 
Leg2  5 YEAR  8 
Leg3  7 YEAR  5 
 Leg2 = 99.0078125
 Leg3 = 99.453125
 Leg1 is calculated requiring a price to yield and yield to price conversion.
 Example: Leg1 calculations:
 Leg1 = Spread Trade Price + 2 * PtY(Leg2 Price)  PtY(Leg3 Price)
 Trade Price of 300 converted to 3% percent for price conversion
 3% + 2 * PtY(99.0078125)  PtY(99.453125)
 3% + 2 * (3.4187995200941588)(3.3284821616988167)
 Trade Price of 3% converted to decimal for yield to price conversion
 3.00 + 6.8375990401883.3284821616988167
 = 6.509116878489
 Convert the calculated leg1 PtY back to YtP:
 Leg1 = YtP(91.3209739126597500) (rounded to 91.32097391)
 Trade Price of 300 converted to 3% percent for price conversion
 Leg1 = Spread Trade Price + 2 * PtY(Leg2 Price)  PtY(Leg3 Price)
 Example: Leg1 calculations:
Example: Leg Quantity and Price Assignment
Execution Report Type  Quantity and Price 

Spread Fill  10@300 (trade price) 
Leg1 Fill  20@91.32097391 (calculated price) 
Leg2 Fill  80@99.0078125 (anchor price) 
Leg3 Fill  50@99.453125 (anchor price) 