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The crush margin is calculated as follows.

Ratio10119   


Margin

3500

2000

1500

Total

90% Credit

Margin

RatioxMargin

35000

22000

13500

63450

7050

7050

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Arriving BidResting Offers - Display PriceReal Customer Order Prices

2 – 628

626 – 1

625.5 (i) 


627 – 1

626.5 (i)

The following matches take place against the Arriving Bid:

1 trade @ 625.5

1 trade @ 626.5

 


In the above scenario, the Arriving Order is filled at a fractionally better price than that displayed, using the rounded traded price and not the arriving price.

...

Arriving BidResting Offers - Display PriceReal Customer Order Prices

2 – 627

626 – 1

626


 

627 – 2

1 implied at 626.5

and 1 real customer order at 627

 


The following matches will take place against the Arriving Bid:

1 trade @ 626 with real customer order

1 trade @ 626.5 with implied order

In the above scenario, the Arriving Order will get filled at a fractionally better price than what has been displayed, since the implied order is for a price of 626.5, it has been rounded up for market data but will trade with the real customer price.

Example C

Arriving BidResting Offers - Display PriceReal Customer Order Prices

3 – 627

626 – 1

626


 

627 – 1

626.5 (i)


 

627 – 1

627


 

627 – 1

627 (i)

The following matches will take place against the Arriving Bid: 

1 trade @ 626 with real customer order

1 trade @ 626.5 with implied order

1 trade @ 627 with real customer order

In this scenario, the Arriving Order will get filled at a fractionally better price than what has been displayed, since the implied order is for a price of 626.5, it has been rounded up for market data but will trade with the real customer price. Also, since there are two orders at 627, the trade will occur with the real customer order and not the implied; it is only when the implied orders are at a better price level that they can match before a real customer order.

Example D

Arriving BidResting Offers - Display PriceReal Customer Order Prices

2 – 627

627 – 1

626.5 (i)

(Resting) 1 – 626

627 – 1

627

 


627 – 1

627 (i)

The following matches will take place against the Arriving Bid:

1 trade @ 626.5 with implied order

1 trade @ 627 with real customer order

In this scenario, the Arriving Order will get filled at a fractionally better price than what has been displayed, since the implied order is for a price of 626.5, it has been rounded up for market data but will trade with the real customer price. The resting order of 626 will not be able to match with the implied order, since this is really at a better price of 626.5. Both the bid at 626 and the offer at 627 will remain on the book after this trade.

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Bid Qty

BidPrice

Offer Price

Offer Qty

100

106'090 

 



ZNH8 (10 Year U.S. Treasure Future)

Bid Qty

Bid Price

Offer Price

Offer Qty



 

 

116'125

100

TUT 16600 H8 (2 Year U.S. Treasure Future (ZT) v 10 Year U.S. Treasure Future (ZN))

Bid Qty

Bid Price

Offer Price

Offer Qty

10

-0'010

 

 



Assumptions

  • TUT Spread Ratio = 1.6600
  • Defined Ratio = 10:6
  • Settlement for ZT = 106'060
  • Settlement for ZN = 116'060
  • Implied Bid in the TUT 16600 H8
    • Treasury Market ICS = (Leg 1 Price – Leg 1 Settlement) – ((Leg 2 Price – Leg 2 Settlement) / Ratio))
  • Treasury Market ICS = (106'090 – 106'060) – ((116'125 – 116'060) / 1.6600)
  • Treasury Market ICS = 0'030 – (0'065 / 1.6600)
  • Converted to decimals = 0.0937500 – (0.2031250 / 1.6600)
  • Treasury Market ICS = – 0.0286144  (--0.9156608 in 32nd terms) round bid down -0'010
  • Arriving order on TUT 16600 H8, 10 qty offer @ – 0'010

...

Bid Qty

Bid Price

Offer Price

Offer Qty



 

 

106'090

100

ZNH8 (10 Year U.S. Treasure Future)

Bid Qty

Bid Price

Offer Price

Offer Qty

10

-0'010

 

 



TUT 16600 H8 (2 Year U.S. Treasure Future (ZT) v 10 Year U.S. Treasure Future (ZN))

Bid Qty

Bid Price

Offer Price

Offer Qty

10

-0'010

 

 



Assumptions

  • TUT Spread Ratio = 1.6600
  • Defined Ratio = 10:6
  • Settlement for ZT = 106'060
  • Settlement for ZN = 116'060
  • Implied Offer in the ZNH8
  • Treasury Market ICS = (Leg 1 Price – Leg 1 Settlement) – ((Implied Leg 2 Price – Leg 2 Settlement) / Ratio))
  • -0'010 = (106'090 – 106'060) – ((Implied Leg 2 Price – 116'060) / 1.6600)
  • (Implied Leg 2 Price – 116'060) = (0'010 + 0'030) * 1.6600
  • (Implied Leg 2 Price = 116'060 + (0'04 * 1.6600)
  • Converted to decimals = 116.1875000 + (0.1250000 * 1.6600)
  • Implied Leg 2 Price = 116.1875000 + 0.2075000 = 116.3950000 0.3950 in 32nds terms is 12.64 32nds — round up offer to 116'130

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