Relationship Based Trading: A Year in Review
What is RBT?
On January 8, 2018 CME Group extended Relationship Based Trading to agricultural markets.
RBT has brought new brokers, market makers and participants to the market by allowing market participants to have pre- execution discussions to facilitate trade execution. RBT includes:
Crosses:
An R-Cross is a crossing protocol allowed on CME Globex which gives brokers who engage in allowable pre-execution communications the ability to enter a two-sided order on CME Globex. Customers may benefit from improvements to the market in the central limit order book.
Blocks:
A Block Trade is a privately negotiated futures, options or combination transaction that is permitted to be executed apart from the central limit order book. Buyer and Seller are matched by a broker and the trade is submitted to CME ClearPort. Block trades must be reported within a short window after execution and are restricted to Eligible Contract Participants.
|
Total Volume |
Block Volume |
% Total Volume |
Cross Volume |
% Total Volume |
Corn |
123,423,537 |
447,436 |
0.36% |
333,310 |
0.27% |
Soybeans |
78,160,193 |
135,113 |
0.17% |
174,088 |
0.22% |
Chicago Wheat |
46,332,273 |
76,491 |
0.17% |
267,546 |
0.58% |
KC Wheat |
16,327,750 |
27,272 |
0.17% |
28,745 |
0.18% |
Soybean Oil |
32,834,016 |
36,648 |
0.11% |
26,542 |
0.08% |
Soybean Meal |
35,155,113 |
27,402 |
0.08% |
242,079 |
0.69% |
Live Cattle |
19,228,534 |
3,231 |
0.02% |
5,422 |
0.03% |
Lean Hog |
16,423,908 |
10,308 |
0.06% |
4,713 |
0.03% |
Feeder Cattle |
3,886,886 |
342 |
0.01% |
1,294 |
0.03% |
TOTAL |
371,772,210 |
764,243 |
0.21% |
1,083,738 |
0.29% |
|
Total Trades |
Block Trades |
% Total Trades |
Cross Trades |
% Total Trades |
Corn |
31,002,131 |
602 |
0.002% |
1,973 |
0.006% |
Soybeans |
29,981,213 |
232 |
0.001% |
1,460 |
0.005% |
Chicago Wheat |
18,886,844 |
167 |
0.001% |
1,648 |
0.009% |
KC Wheat |
7,898,000 |
71 |
0.001% |
229 |
0.003% |
Soybean Oil |
14,475,237 |
95 |
0.001% |
225 |
0.002% |
Soybean Meal |
17,595,496 |
77 |
0.000% |
2,020 |
0.011% |
Live Cattle |
12,690,986 |
32 |
0.000% |
260 |
0.002% |
Lean Hog |
10,476,135 |
32 |
0.000% |
155 |
0.001% |
Feeder Cattle |
3,299,861 |
2 |
0.000% |
78 |
0.002% |
TOTAL |
146,305,900 |
1,310 |
0.001% |
8,045 |
0.005% |
Trade Dates: 1/8/2018 – 1/8/2019
Source: CME Group
Source: CME Group
Source: CME Group
Note:
- This chart shows the distribution of order sizes for Block trades by individual product.
- The legs of a spread are summed to come up with the block size e.g. 500 CN-CZ would count as a block of 1,000.
- The analysis looks at both futures and options contracts.
Source: CME Group
- Crosses reached a record percent of overall volume at 2.6% of total volume in March 2019.
- Block and Cross Options remain a relatively small percentage of overall volume.
Block Thresholds for CME Agricultural Products
|
Futures |
Options |
||||
|---|---|---|---|---|---|---|
| Commodity | ETH | RTH | Reporting Time |
ETH | RTH | Reporting Time |
Corn |
300 |
150 |
5 min |
500 |
250 |
15 min |
Soybeans |
200 |
100 |
5 min |
300 |
150 |
15 min |
Chicago Wheat |
200 |
100 |
5 min |
300 |
150 |
15 min |
KC Wheat |
100 |
50 |
5 min |
150 |
75 |
15 min |
Soybean Oil |
100 |
50 |
5 min |
150 |
75 |
15 min |
Soybean Meal |
100 |
50 |
5 min |
150 |
75 |
15 min |
Live Cattle |
50 |
50 |
5 min |
100 |
100 |
15 min |
Feeder Cattle |
50 |
50 |
5 min |
100 |
100 |
15 min |
Lean Hogs |
50 |
50 |
5 min |
100 |
100 |
15 min |
Aus Wheat |
5 |
5 |
15 min |
n/a |
n/a |
15 min |
BS Wheat & Corn |
5 |
5 |
15 min |
n/a |
n/a |
15 min |
Disclaimer
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade. All references to options refer to options on futures.
Any research views expressed those of the individual author and do not necessarily represent the views of the CME Group or its affiliates. The information within this presentation has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. All examples are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official rulebook of the organizations. Current rules should be consulted in all cases concerning contract specifications
CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners.
Copyright © 2019 CME Group. All rights reserved.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
