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The following diagram illustrates the Execution - Reports (tag 35-MsgType=8) and MDP3.0 Incremental Refresh (tag 35-MsgType=X) messages transmitted for a volatility-quoted option trade.

Step 1: CME Globex broadcasts the MDP 3.0 Security Definition (tag 35-MsgType=d) message for the volatility-quoted option instrument and the premium option instrument with tag 1650-RelatedSecurityID containing the correlating SecurityID.

Volatility-quoted options instruments have tag 6937-Asset, tag 1151-SecurityGroup, tag 55-Symbol, and tag 48-Security ID values distinct from the corresponding premium instruments.

VQO Trade Scenario

Step 2: Client system submits an iLink New Order (tag 35-MsgType=D) message for the volatility-quoted option instrument with a valid volatility value in tag 44-Price; upon order acceptance, CME Globex sends an Execution Report - New Order Acknowledgment (tag 35-MsgType=8) message to the client system.

Step 3: Upon trade execution, CME Globex sends the client system that originated the order the following Execution Report messages:

  • Execution Report (tag 35-MsgType=8) message for the volatility-quoted option instrument with the volatility value at which the instrument traded in tag 31-LastPx.
  • Execution Report (tag 35-MsgType=8) message for the equivalent premium option with tag 31-LastPx containing the premium value.
  • Execution Report (tag 35-MsgType=8) message for futures hedge.

CME Globex does not send a futures hedge Execution Report if the match event's total delta is calculated between > -0.50 and < 0.50. Total delta = premium quoted match quantity * CME Globex calculated delta. In addition, total delta is calculated separately at each volatility level match event value.

  • Use tag 527-SecondaryExecID to correlate outright volatility-quoted option instrument with premium option and futures instruments.
  • In extremely low delta scenarios where a covering futures is not assigned, the value for tag 393-TotalNumSecurities on volatility-quoted option fill message will be equal to '1'.

Step 4: Upon trade execution, CME Globex disseminates the MDP 3.0 Incremental Refresh - Trade Summary (tag 35-MsgType=X, tag 269-MDEntryType=2) message for the volatility-quoted option trade. The assigned premium options and futures hedge will not be published, but their statistics volume will be reported.

Sample iLink Messages 

Volatility-Quoted Option New Order Buy (35=D)

8=FIX.4.2|9=222|35=D|11=MKL608|21=1|34=608|38=100|40=2|1=TEST_ACCOUNT|44=13|49=MKL197N|50=DUMMY|52=20160616-15:52:38.999|54=1|55=3A|56=CME|57=G|59=0|60=20160616-15:52:38.999|107=V6AN6 P0730|142=Brio|1028=N|204=1|9702=3|9717=MKL608|10=149|

Volatility-Quoted Option New Order Buy Acknowledgment - Execution Report (35=8)

8=FIX.4.2|9=309|35=8|34=937|369=608|52=20160616-15:52:39.271|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL608|14=0|17=76363:2010|20=0|37=7611708607|38=100|39=0|40=2|41=0|44=13|48=475586|54=1|55=3A|59=0|60=20160616-15:52:39.256|107=V6AN6 P0730|150=0|151=100|167=OPT|432=20160616|1028=N|9717=MKL608|10=194|

Volatility-Quoted Option New Order Sell (35=D)

8=FIX.4.2|9=222|35=D|11=MKL609|21=1|34=609|38=100|40=2|1=TEST_ACCOUNT|44=13|49=MKL197N|50=DUMMY|52=20160616-15:52:44.273|54=2|55=3A|56=CME|57=G|59=0|60=20160616-15:52:44.273|107=V6AN6 P0730|142=Brio|1028=N|204=1|9702=3|9717=MKL609|10=117|

Volatility-Quoted Option New Order Sell Acknowledgment - Execution Report (35=8)

8=FIX.4.2|9=309|35=8|34=938|369=609|52=20160616-15:52:44.521|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL609|14=0|17=76363:2011|20=0|37=7611708608|38=100|39=0|40=2|41=0|44=13|48=475586|54=2|55=3A|59=0|60=20160616-15:52:44.513|107=V6AN6 P0730|150=0|151=100|167=OPT|432=20160616|1028=N|9717=MKL609|10=187|

Volatility Quoted Option Sell - Trade Execution Report (35=8)

8=FIX.4.2|9=409|35=8|34=939|369=609|52=2016061615:52:44.533|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL609|14=100|17=76363:M:155TN0000004|20=0|31=13|32=100|37=7611708608|38=100|39=2|40=2|41=0|44=13|48=475586|54=2|55=3A|59=0|60=20160616-15:52:44.513|75=20160616|107=V6AN6 P0730|150=2|151=0|167=OPT|337=TRADE|375=CME000A|393=2|432=20160616|442=3|527=7611708608201606164|1028=N|1057=Y|9717=MKL609|10=144|

Premium Quoted Option Sell - Trade Execution Report (35=8)

8=FIX.4.2|9=413|35=8|34=940|369=609|52=2016061615:52:44.533|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL609|14=100|17=76363:M:157TN0000007|20=0|31=11.72|32=100|37=7611708608|39=2|40=2|41=0|48=206108|54=2|55=ZA|60=2016061615:52:44.513|75=20160616|107=6AN6 P0730|150=2|167=OPT|337=TRADE|375=CME000A|442=2|527=7611708608201606164|810=7600|811=-0.1006091|1028=N|1188=13|1189=0.060274|1190=0.00765|9717=MKL609|10=102|

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