Derived options blocks can be entered for select eligible U.S. Equity Index options products starting June 29, pending regulatory review. View the block trade cheat sheet to see all eligible options products and their respective minimum volume thresholds.
To report a derived block trade, navigate to the Deal Entry screen and select Derived Block from the Trade Type dropdown. Once selected, complete the following necessary fields for reporting, ensuring all fields marked below are completed prior to submission.
Note: A red warning label will indicate if a field is required for submission.
The following additional fields must be completed:
(1) Hedge type: Select from a list of available derived block hedge types: VWAP, TWAP, POV (Percent of Volume), Limit or Other.
(2) 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.
(3) Reference hedge product: A mandatory user defined free text field to report the underlying product. For example, the user can type “ES Futures”, “SPY ETF” or “SPX Cash Basket”.
(4) Initial quoted option price: The starting, agreed-upon price level for the options used as the reference quote for valuation.
(5) Initial quoted reference level: The starting, agreed-upon price level of the underlying reference hedge product.
(6) 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). The 15-minute block trade submission window will start when the updated options price is confirmed between the counterparties.
Displaying derived options blocks in Market Activity: The Market Activity view in CME Direct will display any reported derived blocks with a new indicator and the ability to filter.
Derived options blocks for the CME Group website Block Board will be displayed as Type = Option 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.
