Equity Index Derived Blocks
Privately negotiated derived blocks provide access to Equity Index futures liquidity to execute large trades with a built-in delta hedge.
Add flexibility
Trade in large quantities with a longer reporting period to allow counterparties to hedge their exposure.
Enjoy integrated hedging
A hedging transaction is built into every derived block trade, with four pre-defined hedging methods to help reduce risk and better contribute to a tighter market.
Access liquidity
Derived block trades allow you to source liquidity from related markets, to provide greater liquidity to eligible futures.
What are derived blocks?
What are derived futures blocks?
A derived futures block is a block trade in which the price and quantity of the trade depends on hedging transactions in an eligible related market.
- Parties agree to the pre-defined notional or number of contracts and the markets in which the hedging transaction will take place.
- Parties agree to a basis price to be added to the index price of the resultant delta hedge in the related market.
- Permitted hedging instruments include stock baskets and ETFs.
- Pre-defined hedging methods are volume weighted average price (VWAP), time weighted average price (TWAP), percentage of volume and limit price.
Which products are eligible?
View the FAQ or the block trade cheat sheet to see all eligible products.
What are derived options blocks?
A derived options block trade is a privately negotiated block trade where the price and quantity of the executed option depend on one (or a series) of hedging transactions executed in an eligible related market, specifically, the underlying futures contract.
The methodology for executing the hedging transaction, along with the precise calculation for deriving the price and delta-proportioned volume of the underlying trade, must be fully determined and mutually agreed upon by the two counterparties prior to the execution of the hedging transaction.
Derived options block will be available starting June 29, pending regulatory review.
Which products are eligible?
Derived option block trades are available on E-mini S&P 500 options and S&P 500 Month-End options. View the FAQ or the block trade cheat sheet to see all eligible products.
Resources
How derived futures blocks work
Learn the fundamentals of a derived futures block trade, see how it differs from a standard block trade and view a trade example.
CME Direct trading grid
Download the Equity Index Derived Blocks trading grid
- Right click on the link below
- Save the files as an .XML on your computer
- In CME Direct, select import view in the main menu
- Import the grid into CME Direct
- Under Menu, click on Save Window Layout
Not on CME Direct? Get started.
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