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CSOs are sensitive only to the value and volatility of the spread itself, rather than the price of the underlying commodity. CSOs on CME Globex operationally require a non-tradable synthetic underlying future. These options include Calendar Spread Options, Inter-commodity Spread Options, and Options on Futures Strips. A A synthetic underlying future represents the future spread underlying each CSO. The synthetic underlying future can be obtained using the recommended identification methods as described in the MDP 3.0 – Security Definition. However, this this method will not work to identify the tradable underlying future spread of which the underlying synthetic future is based. The The tradable underlying future of the CSO can be obtained by contacting the GCC@cmegroup.com.
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| Inter-Exchange Spreads |
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| Inter-Exchange Spreads |
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Trade at Settle and Trade at Marker Products
These transaction types are similar in that the trade is executed at a differential from a to-be-determined price as described below.
Trade at Settlement (TAS)
TAS permits parties to trade at a differential to the current day’s not-yet-known futures settlement price.
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Trade at Marker (TAM)
TAM permits parties to trade at a differential to the current day’s not-yet-known Exchange-determined marker price.
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Basis Trade Index Close (BTIC)
BTIC permit parties to trade at a differential (basis) to an eligible futures contract’s underlying cash Index closing level which is not-yet-known.
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Trade at Cash Open (TACO)
TACO permits parties to trade a differential (basis) to an eligible futures contract’s underlying cash Index Special Opening Quotation (SOQ) which is not-yet-known.
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