09/17/2007
The Exchange Defined Strategy listing will consist of Straddles, Strangles, Vertical Put and Call Spreads, and Butterfly Put and Call spreads. The full listing methodology is detailed below.
The CME Globex® User Defined Strategy (UDS) functionality will allow traders using ISVs certified in UDS functionality to create custom strategies of existing outright options, Exchange defined option strategies or other user defined option strategies, which can be covered with up to two futures legs. Strategies can be created for two to 40 individual legs, including any futures legs. Additional information about UDS functionality is also detailed below.
In order to ensure orderly exercise procedures, no spread containing an expiring option will be accepted for trading after the close of "open outcry trading" for the respective contracts on the NYMEX and COMEX floors on the day of expiration.
A mock trading session for the NYMEX and COMEX Options Spreads on Globex launch is scheduled for Saturday, October 6, 2007. Additional details will follow.
Trading Hours:
From 6:00 PM Sundays through 5:15 PM Fridays, Eastern Time, with a 45-minute break each day between 5:15 PM and 6:00 PM.
Should you have any questions or require any further information, please contact the NYMEX Marketing hotline at 212-299-2301 or email NYMEXMarketing@nymex.com.
Exchange Defined Strategies
The Exchange will list daily a pre-set number of strategies (e.g., one at the money rounded to the nearest increment, plus 20 up / 20 down at 50 cent increments) around the settlement price of the underlying future for the prior trading session. This list will reset each day based on the new settlement price of the underlying future.
The Exchange Defined Strategies will be created for all months listed on Globex. The number of instruments created daily may be limited by the available outright option strikes (e.g., the number of available strikes available in the far months for Gold Options may not allow for 20 up and 20 down listings.)
The below tables detail the strategy types, the number of instruments up and down to be created, and for strategies containing multiple legs, the interval between the strikes in the strategy.
Straddle:
LO |
ON |
GO |
SO |
|
| Strike Price Increment (For up and down listing) | 50 cents |
5 cents |
5 dollars |
25 cents |
| Strike Listing Rules | 20 up |
40 up |
20 up |
20 up |
20 down |
40 down |
20 down |
20 down |
|
1 At-the-money |
1 At-the-money |
1 At-the-money |
1 At-the-money |
Strangle:
LO |
ON |
GO |
SO |
|
| Strike Price Increment (For up and down listing) | 1 dollar |
5 cents |
5 dollars |
25 cents |
| Strike Price Interval (between legs in the strategy) | 1 dollar |
5 cents |
10 dollars |
25 cents |
| Strike Listing Rules | 20 up |
40 up |
20 up |
20 up |
20 down |
40 down |
20 down |
20 down |
|
1 At-the-money |
1 At-the-money |
1 At-the-money |
1 At-the-money |
Vertical (Put and Call):
LO |
ON |
GO |
SO |
|
| Strike Price Increment (For up and down listing) | 1 dollar |
5 cents |
5 dollars |
25 cents |
| Strike Price Interval (between legs in the strategy) | 1 dollar |
5 cents |
10 dollars |
25 cents |
| Strikes Listing Rules | 20 up |
40 up |
20 up |
20 up |
20 down |
40 down |
20 down |
20 down |
|
1 At-the-money |
1 At-the-money |
1 At-the-money |
1 At-the-money |
Butterfly (Put and Call):
LO |
ON |
GO |
SO |
|
| Strike Price Increment (For up and down listing) | 1 dollar |
5 cents |
5 dollars |
25 cents |
| Strike Price Interval (between legs in the strategy) | 1 dollar |
5 cents |
10 dollars |
25 cents |
| Strikes Listing Rules | 20 up |
40 up |
20 up |
20 up |
20 down |
40 down |
20 down |
20 down |
|
1 At-the-money |
1 At-the-money |
1 At-the-money |
1 At-the-money |
User Defined Strategies (UDS)
With UDS, customers can create strategy instruments with leg configurations defined by the traders.
UDS: Combos allows customers to define and trade unique options instruments intra-day, composed of any or all of the following:
- Exchange-defined outright option(s)
- Exchange-defined option spread(s)
- Existing user-defined spreads
More information on UDS instruments and functionality is available in the Options module of the iLink Software Development Kit (SDK) at http://www.cme.com/files/SDKoptions.pdf, and Options module of the Market Data Platform SDK at http://www.cme.com/files/SDKMDPOptions.pdf.
User documents describing the UDS:Combos and UDS:Covereds functionality for CME products (the same functionality which will be added to the NYMEX products) can be found at http://www.cme.com/trading/get/dev/glbxenhanc.html.