User Help System

 

 

Calculating ICC Limits

Inline Credit Controls (ICC) support account-based, in-line, position limit controls for Globex orders, which are set by Clearing Member Firm (CMF), Legal Clearing Entity (LCE) and/or Execution Firm (EF) account administrators.

  • LCE Account admins associate a clearing account established in Account Manager to an Execution Firm ID and identify a trading firm owner for the account.
  • Accounts are created by Clearing Member Firm, LCE or EF . Separate limits may be managed by both LCE and EF admins, with the most restrictive limits prevailing.
  • Only product-level position limits may be set on accounts.
  • Separate limits may be set for futures and options. Option limits are delta-based values.
  • E-mail notifications will be sent out for breaches of percentage threshold levels set by account administrators.
  • An upload of ICC accounts from an Excel spreadsheet will be supported for limits management within CME Account Manager.
  • Calculations are done at the product level (see below calculations and examples)
  • All incoming orders treated on a delta basis per product (1.0 or -1.0 delta = 1 contract)
  • Delta values for option instruments are fixed at the start of each trading day (no intraday changes)
  • The minimum delta value imposed on calls is 0.1 and on puts is -0.1

Note: For futures and options, spread orders with “balanced” intra-commodity spread quantity result in working long and short quantity equal to 15% of balanced quantity.

Example: An intra-commodity spread order to buy 100 CLZ18 – CLZ19 results in working long of 15 in CLZ18 and working short of 15 in CLZ19

Position Limit Calculations

Position limit calculations are described below:

  • Every ICC Account starts the new trading day with a flat position.
  • Positions are reset at 4:07 PM CST daily, including holidays (when trading is suspended).
  • Accounts position limits are reset to zero, at 4:07 PM CST daily, including holidays and regular market closure.

Futures Max Long and Short Position Usage Calculations

Long Usage = Working Long + Traded Long – Traded Short

AND

Short Usage = Working Short + Traded Short – Traded Long

WHERE

  • Working Long = Long quantity of open orders (in cleared contracts) + (Calendar Spread Order Quantities * 15%)
  • Working Short = Short quantity of open orders (in cleared contracts) + (Calendar Spread Order Quantities * 15%)
  • Calendar Spread Order Quantities = for each working spread order:

Note:
• Long and Short Quantities in spread are after application of the leg ratios and applicable contract multipliers.
• In the spread order, any residual leg quantity above the min quantity on the long or short side of a spread order is considered an outright long / short quantity and is added separately to the working long / short side.
• Only orders for futures contracts (i.e., futures or spreads) are considered for Working and Traded Quantities when testing against Futures Max Long or Max Short Position Limits.
• If Long Usage < 0, then Long Usage is displayed in CME Account Manager as 0. (Negative quantities are not displayed for Net Long Positions).
• If Short Usage <0, then Short Usage is displayed as 0. (Negative quantities are not displayed for Net Short Positions).

Options Max Long and Short Position Usage Calculations

Long Usage = Working Long + Traded Long – Traded Short

AND

Short Usage = Working Short + Traded Short – Traded Long

WHERE

  • Working Long = Futures Equivalence of (buy call/sell put) open orders (in cleared contracts) + (Futures Equivalence of Option Calendar Spread Order Quantities * 15%)
  • Working Short = Futures Equivalence of (sell call/buy put) open orders (in cleared contracts) + (Futures Equivalence of Option Calendar Spread Order Quantities * 15%)
  • Option Cal Spread Order Quantities = for each working option spread order:

Note:
• Long and Short Quantity in spread are after application of the leg ratios and applicable contact multipliers.
• In the option cal spread order, any residual quantity (measured in Futures Equivalence) above the min quantity on the long or short side of a spread order is considered outright long / short quantity and is added separately to the working long / short side.
• Only orders for option contracts are considered for Working and Traded Quantities.
• If Long Usage < 0, then Long Usage is displayed as 0 in CME Account Manager. (Negative quantities are not displayed for Net Long Positions).
• If Short Usage <0, then Short Usage is displayed as 0. (Negative quantities are not displayed for Net Short Positions).

Calculation Examples

Available examples:

Risk Control Algorithm

Crude Oil Futures

Crude Oil Options

Futures Outright with Default Contact Multiplier

Futures Outright with Contract Multiplier not Equal to 1

Futures Spread

Option Outright

Options Spread

 

Risk Control Algorithm

The risk control algorithm tracks the order size for each account at the product code level based on:

  • Long Usage = Working Long + Traded Long - Traded Short
  • Short Usage = Working Short + Traded Short - Traded Long

The available order size will be determined as follows:

  • Long Order Size = Max Long Limit - Long Usage
  • Short Order Size = Max Short Limit - Short Usage

The traded long and traded short positions are reset back to zero at the end of each day upon market close.

If the running long or short usage values for a product are such that it becomes less than zero, then the negative position will be used in the calculation and stored by Account Manager, but Account Manager will display a zero for Long or Short negative usage value.

The risk control algorithm always breaks spreads down into legs and acts upon the legs of a spread, not the spread instrument itself.

The security type and spread type figure prominently in how the risk control algorithm tabulates usage values:

*Delta is an option related statistic which is based on the price movements of the underlying future contract and plays an important part in determining the working position for options. Delta is used as a “hedge ratio” to determine the futures equivalence of the option order. It is the futures equivalence of the option order that the Option Position Limits will apply to.

The value of the option delta is considered to one decimal place, such that the minimum delta applicable will be 0.1 and the maximum will be 1. For example, a delta value such as 0.4985 is rounded up to 0.5.

Note: Delta values are determined at the start of each trading session and are not updated subsequent to the initial determination.

Crude Oil (CL) Futures Example

Action

Long Usage

Short Usage

Working Long

Working Short

Trade Long

Trade Short

Buy Order 15 CLF18

15 (15+0–0)

0 (0+0–0)

15

0

0

0

Buy Order Trades 5 CLF18

15 (10+5–0)

-5 (0+0–5)

10

0

5

0

Sell Order 100 CLZ19

15 (10+5–0)

95 (100+0–5)

10

100

5

0

Buy Order 50 CLH18 – CLM18 (calendar spread)

22.5 (17.5+5+0)

102.5 (107.5+0-5)

17.5 (10+(50*.15))

107.5

(100+(50*.15))

5

0

Buy spread order trades 20 CLH18-CLM18

19.5 (14.5+25-20)

102.5 (104.5+20-25)

14.5

(10+(30*.15))

104.5

(100+(30*.15))

25

20

Crude Oil (LO) Options Example

Action

Long Usage

Short Usage

Working Long

Working Short

Trade Long

Trade Short

Buy Order 30 LOF18 49C (0.50 delta)

15 = ((30*.50)*0-0)

0 = (0+0–0)

15 = (30*.50)

0

0

0

Buy Order Trades 10 LOF18 49C

15 =

((20*.5)+(10*5)–0)

-5 =

(0+0–(10*5))

10 = (20*.5)

0

5 = (10*.5)

0

Buy Order 500 LOZ19 45P

(-0.20 delta)

15 = (10+5–0)

95 = (100+0–5)

10

100 = (500*.20)

5

0

UDS Order B 200 LOG18 55C (0.25 delta)

S 50 LOG18 30C (1.0 delta)

22.5 =

(17.5+5+0)

102.5 =

(107.5+0-5)

17.5 =

(10+(200*0.25)*.15)

107.5

(100+(50*.15))

5

0

Buy spread order trades 80 LOG18 55C (0.25 delta) S 20 LOG18 30C (1.0 delta)

19.5 =

(14.5+25-20)

99.5 =

(104.5+20-25)

14.5 =

(10+(120*.25)*.15)

104.5

(100+(30*.15))

25 =

(5+(80*.25))

20 =

(20*1.0)

Futures Outright with Default Contact Multiplier

The futures outright calculation is based on order quantity and contract multiplier (Tag 231 in the 35=d security definition). Where available the contract multiplier will be used otherwise it will just default to 1.

Note: The contract multiplier is used to converted traded quantity to cleared quantity.

Instrument

GEZ1

Contract Multiplier

1

Max Long Limit (GE-FUT)

100

Max Short Limit (GE-FUT)

100

Example

Message Flow

Working Long

Working Short

Traded Long

Traded Short

Net Long Usage

Net Short Usage

Avail Max Long Limit

Avail Max Short Limit

Comments

Buy New Order With Quantity of 10

10

-

-

-

10

-

90

100

WL = 10 X 1 = 10

NL = 10 + 0 – 0 = 10

Avail Max Long Limit = Limit - (Working Long + Traded Long - Traded Short) 100 – (10 + 0 - 0) = 90

Avail Max Short Limit = Limit - (Working Short + Traded Short - Traded Long) 100 - (0 + 0 - 0) = 100

Cancel Replace to Quantity of 20

20

-

-

-

20

-

80

100

WL = 20 X 1 = 20

NL = 20 + 0 – 0 = 20

Avail Max Long Limit = Limit - (Working Long + Traded Long - Traded Short) 100 – (20 + 0 - 0) = 80

Avail Max Short Limit = Limit - (Working Short + Traded Short - Traded Long) 100 - (0 + 0 - 0) = 100

Complete Fill for Quantity of 20

0

-

20

-

20

(-20)

80

120

NL = 0 + 20 – 0 = 20

NS = 0 + 0 – 20 = -20

Avail Max Long Limit = Limit - (Working Long + Traded Long - Traded Short) 100 – (0 + 20 - 0) = 80

Avail Max Short Limit = Limit - (Working Short + Traded Short - Traded Long) 100 - (0 + 0 - 20) = 120

Sell New Order With Quantity of 10

0

10

20

-

20

(-10)

80

110

WS = 10 x 1 = 10

NS = 10 + 0 – 20 = -10

Avail Max Long Limit = Limit - (Working Long + Traded Long - Traded Short) 100 – (0 + 20 - 0) = 80

Avail Max Short Limit = Limit - (Working Short + Traded Short - Traded Long) 100 - (10 + 0 - 20) = 110

Cancel Replace to Quantity of 20

0

20

20

-

20

0

80

100

WS = 20 x 1 = 20

NS = 20 + 0 – 20 = 0

Avail Max Long Limit = Limit - (Working Long + Traded Long - Traded Short) 100 – (0 + 20 - 0) = 80

Avail Max Short Limit = Limit - (Working Short + Traded Short - Traded Long) 100 - (20 + 0 - 20) = 100

Complete Fill for Quantity of 20

0

0

20

20

0

0

100

100

NL = 0 + 20 – 20 = 0

NS = 0 + 20 – 20 = 0

Avail Max Long Limit = Limit - (Working Long + Traded Long - Traded Short) 100 – (0 + 20 - 20) = 100

Avail Max Short Limit = Limit - (Working Short + Traded Short - Traded Long) 100 - (0 + 20 - 20) = 100

Traded short increases acceptable long order size

Futures Outright with Contract Multiplier not Equal to 1(CMED 50MW Power)

Futures outright calculations are based on order quantity and contract multiplier (Number of deliverable units per instrument, for example, number of peak days or calendar days in maturity month). Where available the contract multiplier will be used; otherwise will default to 1.

Instrument

J4LZ8

Contract Multiplier

200

Max Long Limit (J4L-FUT)

20,000

Max Short Limit (J4L-FUT)

20,000

Example

Message Flow

Working Long

Working Short

Traded Long

Traded Short

Net Long Usage

Net Short Usage

Avail Max Long Limit

Avail Max Short Limit

Comments

Buy New Order With Quantity of 10

2000

-

-

-

2000

-

18000

20000

WL = 10 X 200 = 2,000

NL = Working Long + Traded Long - Traded Short = 2,000 + 0 – 0 = 2,000

Avail Max Long Limit = 20,000 – 2,000 = 18,000

Cancel Replace to Quantity of 20

4000

-

-

-

4000

-

16000

20000

WL = 20 X 200 = 4000

NL = 4,000 + 0 – 0 = 4,000

Avail Max Long Limit = 20,000 – 4,000 = 16,000

Complete Fill for Quantity of 20

0

-

4000

-

4000

(-4000)

16000

24000

NL = 0 + 4,000 – 0 = 4,000

NS = 0 + 0 – 4,000 = -4,000

Avail Max Long Limit = 20,000 – 4,000 = 16,000

Avail Max Short Limit = 20,000-(-4,000) = 24,000

Sell New Order With Quantity of 10

0

2000

4000

-

4000

(-2000)

16000

22000

WS = 10 x 200 = 2,000

NS = 2,000 + 0 – 4,000 = -2,000

Avail Max Short Limit = 20,000 - (-2,000) = 22,000

Cancel Replace to Quantity of 20

0

4000

4000

-

4000

0

16000

20000

WS = 20 x 200 = 4,000

NS = 4,000 + 0 – 4,000 = 0

Avail Max Short Limit = 20,000 - 0 = 20,000

Complete Fill for Quantity of 20

0

0

4000

4000

0

0

20000

20000

NL = 0 + 4,000 – 4,000 = 0

NS = 0 + 4,000 – 4,000 = 0

Avail Max Long Limit = 20,000 – 0 = 20,000

Avail Max Short Limit = 20,000 – 0 = 20,000

Traded short increases available long order size

Futures Spread

Futures spread calculations are based on the trade legs only such that:

  • The effective side of each leg is derived based on spread side x leg side.
  • Buy and sell legs belonging to the same product code could offset each other to the extent possible after taking into account their respective leg ratios.
  • The working quantity only (not traded) are further offset by a spread contribution factor such that a configurable value such as 15% will be multiplied with the leg ratio which could be offset between both sides.
  • If spread legs belong to a single side or if spread legs belong to different product codes, then no spread contribution factor will be applicable.
  • The buy side working quantity for all spread legs belonging to the same product code = total buy leg ratio – total sell leg ratio (if negative then zero) + spread contribution factor (15% of leg ratio common to both buy & sell sides) x spread quantity.
  • The sell side working position for all spread legs belonging to the same product code = total sell leg ratio – total buy leg ratio (if negative then zero) + spread contribution factor (15% of leg ratio common to both buy & sell sides) x spread quantity.
  • The buy side traded position for all spread legs belonging to the same product group = total buy leg ratio x traded quantity.
  • The sell side traded position for all spread legs belonging to the same product group = total sell leg ratio x traded quantity.
  • Product code is uniquely qualified with a combination of product code + security type + exchange.

Instrument

GE:BF M8-U8-Z8

Max Long Limit (GE - FUT

100

Max Short Limit (GE-FUT)

100

Spread Contribution Factor

15%

 

Leg Instrument

Leg Side

Leg Ratio

Product Code

GEM8

Buy

1

GE

GEU8

Sell

2

GE

GEZ8

Buy

1

GE

Example: Spread contribution factor: 15% of 2 = 0.3 since buy leg ratio (2) and sell leg ratio (2) are the same and offset each other.

Message Flow

Working Long

Working Short

Traded Long

Traded Short

Net Long Usage

Net Short Usage

Avail Max Long Limit

Avail Max Short Limit

Comments

Buy New Order With Quantity of 10

3

3

-

-

3

3

97

97

Working Long = 2 – 2 + 0.3 x 10 = 3

Working Short = 2 – 2 + 0.3 x 10 = 3

Cancel Replace to Quantity of 20

6

6

-

-

6

6

94

94

Working Long = 2 – 2 + 0.3 x 20 = 6

Working Short = 2 – 2 + 0.3 x 20 = 6

Complete Fill for Quantity of 20

0

0

40

40

0

0

100

100

NL = WL (0) + TL (40) – TS (40) = 0

NS = WS (0) + TS (40) – TL (40) = 0

Sell New Order With Quantity of 10

3

3

40

40

3

3

97

97

Working Long = 2 – 2 + 0.3 x 10 = 3

Working Short = 2 – 2 + 0.3 x 10 = 3

NL = WL (3) + TL (40) – TS (40) = 3

NS = WS (3) + TS (40) – TL (40) = 3

Cancel Replace to Quantity of 20

6

6

40

40

6

6

94

94

Working Long = 2 – 2 + 0.3 x 20 = 6

Working Short = 2 – 2 + 0.3 x 20 = 6

NL = WL (6) + TL (40) – TS (40) = 6

NS = WS (6) + TS (40) – TL (40) = 6

Complete Fill for Quantity of 20

0

0

80

80

0

0

100

100

NL = WL (0) + TL (80) – TS (80) = 0

NS = WS (0) + TS (80) – TL (80) = 0

Option Outright

Option outright calculation is based on order quantity and delta:

  • The delta value for an option is determined at the beginning of the trading session and it will remain constant for the entire trading session. Orders entered during that session will utilize this “daily” delta value and will not change during the session.
  • At the beginning of the next trading session, delta values will be refreshed and any new order and old “Good Till” orders still active, will utilize the new delta value.
  • Position limits on options on combination (OOC) underliers are treated independently from option on futures involving the same product. For example:
  • LO position limits control the delta equivalence of the WTI outright underlier
  • WAY position limits control the delta equivalence of the WTI one-month calendar spread
  • If there is no delta available for an option, a default value of 1 will be used.

Effective side is based on the order size as well as if the option instrument is a call or put since a put option results in the side being flipped.

Instrument

GEU0 C9950

Delta

0.5

Max Long Limit (GE – OPT)

100

Max Short Limit (GE – OPT)

100

 

Example

Message Flow

Working Long

Working Short

Traded Long

Traded Short

Net Long Usage

Net Short Usage

Avail Max Long Limit

Avail Max Short Limit

Comments

Buy New Order With Quantity of 10

5

-

-

-

5

-

95

100

Working Long = 10 x 0.5 = 5

Cancel Replace to Quantity of 20

10

-

-

-

10

-

90

100

Working Long = 20 x 0.5 = 10

Complete Fill for Quantity of 20

0

-

10

-

10

(-10)

90

110

Traded Long = 20 x 0.5 = 10

Sell New Order With Quantity of 10

0

5

10

-

10

(-5)

90

105

Working Short = 10 x 0.5 = 5 Avail Max Short Limit = 100 - (5 + 0 - 10) = 105

Cancel Replace to Quantity of 20

0

10

10

-

10

0

90

100

Working Short = 20 x 0.5 = 10 Avail Max Short Limit = 100 - (10 + 0 - 10) = 100

Complete Fill for Quantity of 20

0

0

10

10

0

0

100

100

Traded short increases available long order size

Options Spread

Options spread calculation is based on its legs only such that:

  • The effective side of each leg is derived based on spread side x leg side, depending on whether the option leg is a put or call.
  • The effective leg ratio of each leg needs to be determined by multiplying its leg ratio with its corresponding delta. If the delta is not available then the effective leg ratio will default to 1.
  • Buy and sell legs belonging to the same product code may offset each other after taking into account their respective leg ratios.
  • The working quantity only (not traded) are further offset by a spread contribution factor such that a configurable value such as 15% will be multiplied with the leg ratio which could be offset between both sides.
  • If spread legs belong to a single side or if spread legs belong to different product codes then no spread contribution factor will be applicable between them.
  • The buy side working quantity for all spread legs belonging to the same product code = total buy effective leg ratio – total sell effective leg ratio (if negative then zero) + spread contribution factor (15% of effective leg ratio common to both buy & sell sides) x spread quantity
  • The sell side working quantity for all spread legs belonging to the same product code = total sell effective leg ratio – total buy effective leg ratio (if negative then zero) + spread contribution factor (15% of effective leg ratio common to both buy & sell sides) x spread quantity
  • The buy side traded position for all spread legs belonging to the same product group = total buy effective leg ratio x traded quantity
  • The sell side traded position for all spread legs belonging to the same product group = total sell effective leg ratio x traded quantity
  • Product code is uniquely qualified with a combination of product code + security type + exchange

Instrument

UD:U$:ST 0104931538

Max Long Size (GE-OPT)

100

Max Short Size (GE-OPT)

100

Spread Contribution Factor

15%

 

Leg Instrument

Leg Side

Leg Ratio

Product Code

Delta

GEU0 C9950

Buy

2

GE

0.5

GEU0 P9962

Buy

3

GE

0.25

 

Example: Spread contribution factor -- 15% of 0.75 = 0.1125 since buy effective leg ratio (2 x 0.5 = 1) and sell (buy put leg) effective leg ratio (3 x 0.25 = 0.75) can offset each other by up to 0.75 since this is the effective leg ratio common to both sides.

Message Flow

Working Long

Working Short

Traded Long

Traded Short

Net Long Usage

Net Short Usage

Avail Max Long Limit

Avail Max Short Limit

Comments

Buy New Order With Quantity of 10

3.625

1.125

-

-

3.625

1.125

96.375

98.875

Working Long = (1 – 0.75 + 0.1125) x 10 = 3.625

Working Short = (0.75 – 1 (0) + 0.1125 ) x 10 = 1.125

Cancel Replace to Quantity of 20

7.25

2.25

-

-

7.25

2.25

92.75

97.75

Working Long = (1 – 0.75 + 0.1125) x 20 = 7.25

Working Short = (0.75 – 1 (0) + 0.1125) x 20 = 2.25

Complete Fill for Quantity of 20

0

0

20

15

5

(-5)

95

105

Traded Long = 20 x 1

Traded Short = 20 x 0.75

Avail Max Short Limit = 100 - (0 + 15 - 20) = 105

Sell New Order With Quantity of 10

1.125

3.625

20

15

6.125

(-1.375)

93.875

101.375

Working Long = (0.75 – 1 (0) + 0.1125) x 10 = 1.125 (sell put leg becomes buy)

Working Short = (1 – 0.75 + 0.1125) x 10 = 3.625

Avail Max Long Limit = 100 - (1.125 + 20 - 15) = 93.875

Avail Max Short Limit = 100 - (3.625 + 15 - 20) = 101.375

Cancel Replace to Quantity of 20

2.25

7.25

20

15

7.25

2.25

92.75

97.75

Working Long = (0.75 – 1 (0) + 0.1125) x 20 = 2.25 (sell put leg becomes buy)

Working Short = (1 – 0.75 + 0.1125) x 20 = 7.25

Complete Fill for Quantity of 20

0

0

35

35

0

0

100

100

Traded Long = 20 x 0.75

Traded Short = 20 x 1

Traded short increases available long order size.

Traded long increases available short order size.

 





CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, COMEX

© 2020 CME Group Inc. All rights reserved. About CME Disclaimer Privacy Policy