User Defined Instrument (UDI) functionality allows users to dynamically create options strikes that co-exist with exchange-listed options strikes and allow the scope of tradeable instruments on CME Globex to expand without listing a larger group of options instruments.
UDIs created real-time are disseminated with the Market Data Security Definition (tag 35-MsgType=d) message. Customers can submit quotes and orders against the UDI and also incorporate the UDI into User Defined Spreads.
- Created on the CME Globex platform using CME Direct only.
- UDIs follow the naming convention of Exchange-listed options.
- A user-submitted strike will generate both a call and put at that strike.
- Customer will receive confirmation of UDI strike creation only (not call/put).
- The put and call will be available for trading on CME Direct and CME Globex.
Only strike prices that meet the listing criteria defined in the CME Rulebook will be successfully generated as outlined below.
- The underlying futures expiration month must be listed as eligible for trading before a UDI can be generated.
- UDI strikes will have the same expiration date as other strikes in the same expiration month.
The following CME Globex platform features are available for UDIs.
- A UDI can be used to generate User Defined Spreads (UDS).
- Quoting functionalities including:
- Credit Controls
- Price Banding
- Request for Quote (RFQ)
- Request for Cross (RFC)
- Settlement Pricing
For User Defined Instruments (UDI) created in CME Direct, the RFQ is not automatic but must be manually generated.
UDI Security Definition
MDP 3.0 Security Definition messages (tag 35-MsgType=d) for UDI option outright instruments include the user defined instrument tag 9779-UserDefinedInstrument = Y.
Y=User defined instrument
N=Not a user defined instrument
Identifies user-defined instruments. If the tag is not present or equal to ‘N’, the instrument is not user-defined.
Certification via AutoCert+ is not required for UDI functionality.