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- Instrument Symbol = GE:BS 2YU9 2YU1
- See FB Bundle for construction of the Bundle
- +1 GEU9
- +1 GEZ9
- +1 GEH0
- +1 GEM0
- +1 GEU0
- +1 GEZ0
- +1 GEH1
- +1 GEM1
- -1 GEU1
- -1 GEZ1
- -1 GEH2
- -1 GEM2
- -1 GEU2
- -1 GEZ2
- -1 GEH3
- -1 GEM3
- GE indicates this instrument is in product group GE
- :BS indicates this instrument is a Bundle Spread
- 2YU9 indicates the nearby Bundle
- 2YU1 indicates the deferred Bundle
- Bundle Leg1 = all of the following
- Bundle Leg2 = all of the following
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All of |
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regarding construction apply to this instrument and the instrument legs. |
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Note: This spread can trade at zero and at a negative price. |
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Pricing Example Using Contracts Above
Bundle – Leg1 | Bundle – Leg2 | ||
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Instrument | Prior Day Settlement | Instrument | Prior Day Settlement |
GEU9 | 9887 | GEU1 | 9887 |
GEZ9 | 9886 | GEZ1 | 9886 |
GEH0 | 9885 | GEH2 | 9885 |
GEM0 | 9884 | GEM2 | 9884 |
GEU0 | 9883 | GEU2 | 9883 |
GEZ0 | 9882 | GEZ2 | 9882 |
GEH1 | 9881 | GEH3 | 9881 |
GEM1 | 9880 | GEM3 | 9880 |
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- 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
Spread
SecuritySubTypeSpread type = DF
The A Double Butterfly (DF) spread is a "calendar" spread between two future butterfly strategies where one butterfly is bought and a deferred month butterfly is sold. The second and third leg of the first butterfly are identical to the first and second leg of the second butterfly.
The resulting spread consists of positions in 4 equally distributed expiration months within the same product group consistent with the following pattern:
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Buy 1 double butterfly = buy 1 of the closer expiration leg, sell 3 of the next expiration leg, buy 3 of the next expiration leg, sell 1 of the furthest expiration leg (e.g., Z7-H8-M8-U8).
Double Butterfly is equal to the price of Leg 1, minus the price of three Leg 2's, plus the price of three Leg 3s, minus the price of Leg 4.
Construction: Buy1exp1 Sell3exp2 Buy3exp3 Sell1exp4
Security Definition Example: ES:DF Z8H9M9U9
Example: Buy the Spread
Buy 1 December 2018 Eurodollar
Sell 3 March 2019 Eurodollar
Buy 3 June 2019 Eurodollar
Sell 1 Sept 2019 Eurodollar
Example: Sell the Spread
Sell 1 December 2018 Eurodollar
Buy 3 March 2019 Eurodollar
Sell 3 June 2019 Eurodollar
Buy 1 Sept 2019 Eurodollar 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 = GE:DF M9U9Z9H0
- Leg1 = +1 GEM9
- Leg2 = -3 GEU9
- Leg3 = +3 GEZ9
- Leg4 = -1 GEH0
- 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
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This spread can trade at zero and at a negative price. |
Pricing
- The Double Butterfly Trade Price is = Leg1 – (3 * Leg2) + (3 * Leg3) – Leg4
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
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If leg1 recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. |
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 Spreads
SecuritySubType=SP, EQ, FX, SD, EC
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- 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
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If leg3 has a recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. |
Pricing Example
Condor trades at 13.5
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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
- All legs must be the same expiration
- Strike prices must be equidistant of each strike price in leg1
- For a call Condor
- For a put Condor
- Quantity/side ratio of the legs is +1:-1:-1:+1 Buying a Condor buys leg1, sells leg2, sells
- leg3
Example
- Instrument Symbol =
- Leg1 = +1
- Leg2 = -1
- Leg3 = -1
- Leg4 = +1
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Double Future Butterfly aka Double Fly
Spread
Spread type = 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:
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A Double Butterfly has:
- One Product
- four 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)
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- 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
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If leg1 recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. |
Pricing Examples:
Double Butterfly trades at 13.5
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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
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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. Strike3-Strike2=Strike2-Strike1
- 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 call put at a lower strike price than leg2
The difference in strikes must be equal, i.e. Strike1-Strike2=Strike2-Strike3
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- 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
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