Committed Cross (C-Cross) is a futures and options crossing protocol for participants who engage in pre-execution communications pursuant to Rule 539. Pre-execution communications allow for size, price, and direction to be discussed prior to the entry of orders into CME Globex.
BPVM set at 50% - Each example assumes cross is 500 contracts @ price = 7
|
Market before |
Market after |
Matching on Cross |
Notes |
---|---|---|---|---|
Example 1 |
6-7
2,000 X 2,000 |
6-7
2,000 X 2,000 |
Cross bid entirely filled; cross offer not filled. Cross bid will match with 7 offer currently in the market, cross offer will get 0. |
RFC didn’t better the market price, so it doesn’t receive BPVM. Cross bid (offer) will face the current market first. |
Example 2 |
6-7
200 X 200 |
6-7
300 x 300 |
Cross bid entirely filled; upon submission of the C-Cross, 150 contracts receive BPVM status due to resting quantity. (500-200= 300 with 50% BPVM). The cross bid receives the 200-lot offer that was existing on Globex pre submission. |
RFC didn’t better the market price, but the quantity of the cross offer was greater than the existing Globex offer granting BPVM eligibility on 150 contracts. |
Example 3 |
6-8 2,000 X 2,000 |
6-8 5,000 X 5,000 |
Both cross bid and cross offer will entirely match and receive 500 contracts. |
Cross price of 7 remained best price at time of cross. |
Example 4 |
6-8 2,000 X 2,000 |
6-7 2,000 X 1,000 |
Cross bid entirely filled; Cross offer gets 250 contracts. Both cross bid and ask will receive 50% of the cross. (250 contracts). |
Cross is eligible for 50% BPVM because it bettered the market when the RFC was submitted and is better or equal than market at close of the pre-cross state. |
Example 5 |
6-8 2,000 X 2,000 |
6-7 2,000 X 100 |
Cross bid entirely filled; cross offer gets 400 contracts. Both cross bid and ask will receive 50% of the cross. (250 contracts). |
Cross is eligible for 50% BPVM because it bettered the market when the RFC was submitted and is better or equal than market at close of the pre-cross state. |
Example 6 |
6-9 2,000 X 2,000 |
8-9 1,000 X 2,000 |
Cross offer gets filled entirely at 8 with the market. Cross bid does not get any fill. |
Cross is ineligible for the BPVM. The C-Cross price needs to better the current market upon entry or the price is equal to the best bid/offer and the quantity of the RFC is greater than the current quantity of the best bid/offer. |