The following example shows the procedure for spread leg assignment for the Natural Gas intercommodity spread.1.
- CME Globex anchors the Leg1 price assignment (nearby month) based on the most recent Exchange Best.
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- If the floating leg has the more recent Exchange Best then it will be the anchor.
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- CME Globex calculates the price of the floating leg based on the anchor leg price and the spread execution price.
Example: Henry Hub Natural Gas Futures: Henry Hub Natural Gas Last Day Financial Future (NG:HH)•
- The NGJ6-HHJ6 inter-commodity spread traded at a price of .00025
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- The NGJ6 outright most recent Exchange Best was 1.960
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- CME Globex assigns the HHJ6 leg price as follows:
NG leg (1.960) - Spread (.00025) = 1.95975 (HH leg assignment)