Submitting a Derived Block Trade

Use the Deal Entry screen in the Trade Blotter to submit a Derived Block trade on CME Platform. For a Derived Block trade, the final price and quantity are not fixed at the time of the initial agreement, but are "derived" from hedging transactions that occur in a related market immediately after the deal is made.

  • To submit a Derived Block trade
  1. On the Trade Blotter screen, select the Enter Trade ( ) icon.

  1. Select Derived Block as the Trade Type.

  1. Select one of the following hedging methods and enter a Hedge Description (if required):

  • Block Hedge: The hedge is executed against a single large block of liquidity.
  • VWAP: Volume Weighted Average Price.
  • TWAP: Time Weighted Average Price.
  • POV: Percentage of Volume. Enter a percent value in the Hedge Description field for POV derived-price blocks.
  • Limit: Limit order. Enter a Limit price in the Hedge Description field for limit order derived-price blocks.
  • Other: Enter how the hedge price is derived in the Hedge Description field.
  1. Enter an underlying Reference Hedge Product and Basis. These are required fields.

The basis value is the agreed upon difference in index points between the reference hedge product and the futures derived block trade.

  1. Select a futures Product and Term, and enter an order Quantity and Price.

  1. Enter the following trade entry details:

  1. Participant details for the Buyer and Seller.
  2. The Start Time, End Time, and Block Date - Execution Time prior to the start of the hedging activity.
  1. Select Submit Trade.
  1. Verify the trade entry details on the Deal Validation screen and select Submit.

The deal is submitted successfully and appears in the Trade Blotter.