Derived price blocks can only be entered for S&P 500 Select Sector futures and Dow Jones Real Estate futures.

When an eligible product is selected in the Deal Ticket with Trade type Block, a new checkbox will appear on the Deal ticket labeled Derived Block. Check the box to enable the necessary fields for reporting.

Note: a red warning label will indicate if a field is required for submission.

Additional derived block fields:

Block Hedge: Select from a list of available derived block hedge types: VWAP, TWAP, POV (Percent of Volume), Limit or Other.

Hedge Description: Enabled only when POV, Limit or Other are selected as the Block Hedge type and becomes a mandatory field.

- If POV is selected, the user will be prompted to enter a percent value.

-If Limit is selected, the user will be prompted to enter a limit value.

-If Other is selected, the user will be prompted to enter a user defined free text hedge description.

Reference hedge product: A mandatory user defined free text field to report the underlying product. For example, the user can type “IXM Index” or “IXM Cash Basket”.

Basis: A mandatory field requiring the user to enter a basis price in index points. In this case, the basis is the agreed to difference in index points between the reference hedge product and the futures on which the derived block trade is being reported.

Time reporting fields: Mandatory fields the user must populate include the Start time and End time of the hedging transaction as well as the Execution date and Execution time of the block trade (i.e. the time the block trade was agreed to).

Deal Book: Additional derived block specific columns have been added to the Trade Book. They are Block hedge, Hedge description, Basis, Reference Hedge Product, Start time, and End time.

Displaying derived blocks in Market Activity

The Market Activity view in CME Direct will display any reported derived blocks with a new indicator and ability to filter.

Derived blocks for the CME Group website Block Board will be displayed as Type = Future Derived

Contact us

Contact PlatformSolutions@cmegroup.com with any questions or, if you are having trouble submitting a block, reach out to the Global Command Center at 1.800.438.8616.

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