Page Comparison

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This table shows available exchange-recognized spread and the combination types available supported on CME Globex.

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BF Butterfly

SecuritySubType=BF

A A Butterfly is  is a differential spread composed of three legs having equidistant expirations—the near and deferred expirations of a product on one side of the spread, and twice the quantity of the middle expirations expiration of a product on the other side (1:2:1).

A A Butterfly has has:

• One

  Product

  product

• Three legs

  • Leg1 (buy leg) must be the nearest expiration

  • Leg2 (sell leg) must be the middle expiration compared to legs 1 and 3

for two lots

• • , and twice the quantity as leg 1 or leg 3

  • Leg3 (buy leg) must be the most deferred expiration

• Quantity/side ratio of the legs is +1:-2:+1

• Expiration sequencing

  for 

  for Butterfly:

  • Leg 1 month < Leg 2 month < Leg 3 month

  • In addition, expirations differentials must be sequential and equal, Leg 2 month – Leg 1 month = Leg 3 month – Leg 2 month

  • Example: SR1:BF M9–U9–Z9, the June –

Sept.

• • September –

Dec.

• • Decemberember butterfly, 9 – 6 = 12 – 9

  • There are some exceptions to this (grains, meats)

• Expiration sequencing for

  a 

  a 

  Cfm tooltip
  an.spaceKey EPICSANDBOX text Expiration order is the same as the Butterfly but the equal expiration differential rule is waived. id v3ve8993pib

  Broken Butterfly (aka Broken Fly)
  is

  :

  • Leg 1 month < Leg 2 month < Leg 3 month

  • Example: SR1:BF H9–M9–Z9




Info
Expiration order is the same as the Butterfly, however the equal expiration differential rule is waived

• Buying a Butterfly buys

  • , the March - June - Decemberember broken butterfly, 6 - 3 != 12 - 9

• Buying a Butterfly buys leg1, sells 2 * leg2, buys leg3

• Selling

  a 

  a Butterfly

   sells

   sells leg1, buys 2 * leg2, sells leg3

Example

• Instrument Symbol = SR1:BF M9–U9–Z9

  • Leg1 = +1 SR1M4

  • Leg2 = -2 SR1U4

  • Leg3 = +1 SR1Z4

Pricing

• The 

  The Butterfly

   Trade

   Trade Price is = Leg1 – (2 * Leg2) + Leg3

Leg Price Assignment

• Leg1 and leg2 are the anchor legs and assigned fair market price

• Leg3 is calculated:

  • Trade Price + Leg 2* Leg2 – Leg1

• If leg3 price is outside the daily limits, Leg3 will be adjusted to daily limit and Leg2 is recalculated

  • Leg1 = Trade Price + (2 * Leg2) – Leg3

  • Leg2 = (Leg1 + Leg3 – Trade Price)/2

  • If leg2 is now outside the daily limits, leg2 will be adjusted to the daily limit and leg1 recalculated

Pricing Example

 Butterfly trades  Butterfly trades at 13.5

• Leg1 has Fair Market Price of = 9812.5

• Leg2 has Fair Market Price of = 9857.5

• Leg3 = ((Trade Price) – leg1 + (2 * leg2))

• Leg3 = 9916

Pricing Example Examples with Legs Calculated Outside of Daily Limits

Leg3 outside daily limit; leg3 reset to daily limit and leg 2 is recalculated

Butterfly trades  trades at 13.5

• Leg1 has Fair Market Price of = 9812.5

• Leg2 = (Leg2 Settlement Price + Leg3 – Trade Price)/2 (calculated price of leg 2 is off tick since there are two legs. Round one leg up to the nearest on tick price and round one leg down to the nearest on tick price. Those two new prices should sum to the collective calculated price of leg 2)

• Leg2 = 9859.50

• Leg2 = 9860

• Leg3 has a Fair Market Price of = 9901

Leg2 outside daily limit; leg2 reset to daily limit and leg1 recalculated

Butterfly trades  trades at 13.5

• Leg1 = Trade Price + (2 * Leg 2) - Leg 3

• Leg1 = 13.5 + 19740 – 9875.5 = 9878

• Leg2 has a Fair Market Price of = 9870

• Leg3 has a Fair Market Price of = 9875.5

Leg1 outside daily limit; leg1 is reset to daily limit and all legs are recalculated starting at leg3.

Leg1 outside daily limit; leg1 reset to daily limit and leg3 recalculated.

Butterfly trades  trades at 13.5

• Leg1 = 9814

• Leg2 has a Fair Market Price of = 9870

• Leg3 = ((Trade Price) – leg1 + (2 * leg2))

• Leg3 = 9939.5

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BO Butterfly

SecuritySubType=BO

The Butterfly is an options spread involving the simultaneous purchase (sale) of a call (put), the sale (purchase) of two calls (puts), and purchase (sale) of a call (put) at different equidistant strike prices with the same expirations.

A Butterfly has:

• One Product

• Three legs

  • For a call Butterfly

    • Leg1 (buy leg) must be a call at the lowest strike price (herein known as strike1) for a quantity of one lot

    • Leg2 (sell leg) must be a call at the middle strike price (herein known as strike2) for a quantity of two lots

    • Leg3 (buy leg) must be a call at the highest strike price (herein known as strike3) for a quantity of one lot

  • The strikes must satisfy this equation (see below, strikes must be equidistant):

  • • strike2 – strike1 = strike3 – strike2

All three legs must be the same expiration

• • For a

call 

• • put Butterfly

• For a put Butterfly
  • strike1 – strike2 = strike2 – strike3

• • • Leg1 (buy leg) must be a put at the highest strike price (herein known as strike1) for a quantity of one lot

    • Leg2 (sell leg) must be a put at the middle strike price (herein known as strike2) for a quantity of two lots 

    • Leg3 (buy leg) must be a put at the lowest strike price (herein known as strike3) for a quantity of one lot

The strikes must satisfy this equation (see below, strikes must be equidistant):

• • • strike1 – strike2 = strike2 – strike3

  • All three legs must be the same expiration

• Quantity/side ratio of the legs is +1:-2:+1

• Buying a Butterfly buys leg1, sells leg2, and buys leg3

• Selling a Butterfly sells leg 1, buys leg2, and sells leg3

Example

• Instrument Symbol = UD:1N: BO 0808912345

  • Leg1 = +1 LOU8 C6600

  • Leg2 = -2 LOU8 C6800

  • Leg3 = +1 LOU8 C7000

Pricing

The BO Butterfly Butterfly Trade Price is = leg1 – (2 * leg2) + leg3

Leg Price Assignment

• Calculate Fair Price of the Butterfly based on fair prices of the legs.

• Calculate the difference between the Butterfly trade price and the calculated fair price of the spread.

• Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.

• Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.

Pricing Example – Equal Distribution

Butterfly trades at 57

• Leg1 has Fair Market Price of = 141

• Leg2 has Fair Market Price of = 46

• Leg3 has Fair Market Price of = 12

• Spread Fair Market Price = 141 + 12 – (2*46) = 61

• Spread Trade Price - Fair Market Price = 57 – 61 = -4

• There are 4 ticks to distribute

• The adjustment is applied evenly as follows:

  • Leg1 = 141 +1 = 142

  • Leg2 = 46 + 1 = 45 (Note: this leg is a two lot, so the price adjustment counts double)

  • Leg3 = 12 - 1 = 13

Pricing Example – Unequal Distribution

Butterfly trades at 59

• Leg1 has Fair Market Price of = 141

• Leg2 has Fair Market Price of = 46

• Leg3 has Fair Market Price of = 12

• Spread Fair Market Price = 141 + 12 – (2*46) = 61

• Spread Trade Price - Fair Market Price = 59 – 61 = -2

• There are 2 ticks to distribute

• The adjustment is applied as follows:

  • Leg1 = 141 -2 = 139

  • Leg2 = 46

  • Leg3 = 12

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DF Double Butterfly

SecuritySubType = DF DF

A A Double Butterfly Butterfly  is composed of two different different Butterfly spreads  spreads with the nearest Butterfly expiration  Butterfly expiration purchased (sold) and the furthest furthest Butterfly expiration  expiration sold (purchased). The spacing of expirations in both both Butterfly spreads  spreads needs to be identical, i.e. both need to be “three month” month” Butterflies. This causes the actual construction of the the Double Fly to  to look like this:

Buy (sell) one of the nearest expiration, sell (buy) three of the second nearest expiration, buy (sell) three of the third nearest expiration, and sell (buy) one of the most deferred expiration.

A A Double Butterfly has has:

• One Product

• four

  Four legs

  • Leg1 (buy leg) must be the nearest expiration

  • Leg2 (sell leg) must be the next nearest expiration

  • Leg3 (buy leg) must be the third nearest expiration

  • Leg4 (sell leg) must be the most deferred expiration

• Quantity/side ratio of the legs is +1:-3:+3:-1

• Expiration sequencing

  for 

  for Double Butterfly:

  • Leg1 month < Leg2 month < Leg3 month < Leg4 month

  • In addition, expiration differentials must be sequential and equal, i.e. if Leg1 expires in June and Leg2 expires in

Sept.

• • September, the next two legs must have an expiration differential of three months as well, so Leg3 must expire in

Dec

• • December. and Leg4 must expire in March of the next year (see symbol below for an example of this)

Example: Instrument Symbol = SR1:DF M9U9Z9H0

• Leg1 = +1 SR1M4

• Leg2 = -3 SR1U4

• Leg3 = +3 SR1Z4

• Leg4 = -1 SR1H0

• Buying

  of 

  of Double Butterfly

   buys

   buys leg1, sells three of leg2, buys three of leg3, sells leg4

• Selling

  of 

  of Double Butterfly

   sells

   sells leg1, buys three of leg2, sells three of leg3, buys leg4

Pricing

• The 

  The Double Butterfly

   Trade

   Trade Price is = Leg1 – (3 * Leg2) + (3 * Leg3) – Leg

Leg Price Assignment

• Leg1, leg2 and leg3 are assigned most recent price update  

• Leg4 is calculated using the differential of the traded spread price:

  • Leg1 – (3 * Leg2) + (3 * Leg3) – Trade Price

• If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated

  • Leg1 = Trade Price + (3 * Leg2) - (3 * Leg3) +Leg4

Pricing Examples

Double Butterfly trades  trades at 13.5

• Leg1 = 9812.5

• Leg2 = 9857.5

• Leg3 = 9857.0

• Leg4 is calculated:

  • 9812.5 – (3 * 9857.5) + (3 * 9857.0) – 13.5

  • Leg4 = 9797.5

Pricing Example Legs Calculated Outside of Daily Limits

Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated

Double Butterfly trades  trades at 13.5

• Leg1 has a calculated price:

  • Leg1 = Trade Price + (3 * Leg2) - (3 * Leg3) +Leg4

  • Leg1 = 13.5 +29572.5 – 29571.0 + 9797.5

  • Leg1 = 9812.5

• Leg2 = 9857.5

• Leg3 = 9857.0

• Leg4 = 9797.5

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Calendar 

SecuritySubType=SP, EQ, FX, SD, EC

A Calendar spread consists of 2 instruments with the same from a single product with different expiration months. There are variations in Calendar spreads base based on the product. Each Calendar spread variation is designated through the use of a different spread type code.

SP Standard Calendar

The The Standard Calendar Spread is  is a futures spread involving the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration. The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of nearby expiration minus the deferred expiration.

A A Standard Calendar Spread has has:

• One Product

• Two legs

  • Leg1 (buy leg) must be the nearest expiration

  • Leg2 (sell leg) must be the deferred expiration

• Quantity/side ratio of the legs is +1:-1

• Buying

  a 

  a Standard Calendar Spread

   buys

   buys leg1, sells leg2

• Selling

  a 

  a Standard Calendar Spread

   sells

   sells leg1, buys leg2

Example

• Instrument Symbol = NGZ9-NGF0

  • Leg1 = +1 NGZ9

  • Leg2 = -1 NGF0

Pricing

• The 

  The Standard Calendar Spread

   Trade

   Trade Price is = Leg1 – Leg2

Leg Price Assignment

• Determine the anchor leg

  of the 

  of the Standard Calendar Spread

  • The leg with the most recent price update (last price update or settlement price) is the anchor leg.

  • In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg

• Calculate the non-anchor leg:

  • If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price

  • If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price

  • If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

In this example leg1 has the most recent price

• Leg1 is the anchor leg

• Leg2 is calculated:

  • Leg2 = Leg1 – Trade Price of spread

Pricing Example

Standard Calendar Spread trades at -105

• Leg1 = anchor price of 2558, therefore this is automatically assigned

• Leg2 = 2558 – 105 = 2453

In this example leg2 has the most recent price

• Leg2 is the anchor leg

• Leg1 is calculated:

  • Leg1 = Leg2 + Trade Price of spread

Pricing Example

 Standard Calendar Spread trades at -105

• Leg2 = anchor price of 2558, therefore this is automatically assigned

• Leg1 = 2558 + (-105) or Leg1 – 105 = 2453

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EQ Calendar

This This Calendar Spread is  is a futures spread involving the simultaneous purchase (sale) of a deferred expiration with a sale (purchase) of a nearby expiration within one product. The price of this this Calendar Spread Spread is a differential between the two expirations (deferred minus nearby).

This Calendar  Calendar Spread has has:

• One Product

• Two legs

  • Leg1 (sell leg) must be the nearest expiration

  • Leg2 (buy leg) must be the furthest expiration

• Quantity/side ratio of the legs is -1:+1

• Buying

  this 

  this Calendar Spread

   sells

   sells leg1, buys leg2

• Selling

  this 

  this Calendar Spread

   buys

   buys leg1, sells leg2

Example

• Instrument Symbol = ESU9-ESZ9

  • Leg1 = - 1 ESU9

  • Leg2 = +1 ESZ9

Pricing

• This 

  This Calendar Spread

   Trade

   Trade Price is = Leg2 – Leg1

Leg Price Assignment

• Determine the anchor leg of

  this 

  this Calendar Spread

  • The anchor leg is the prior day settlement price of Leg1

• Calculate the non-anchor leg:

• Leg 2 = Spread Price + Leg1 price

• If the calculated price is outside the daily limits, set the Leg2 price to its limit and recalculate the price of Leg1

  • Leg1 = Leg2 – Spread Price

Pricing Examples

This Calendar  Calendar Spread trades  trades at 80.65

• Leg1 has a prior day’s settlement of 2880.30

• Leg2 = Trade Price + Leg1

  • 80.65 + 2880.30

• Leg2 = 2960.95

This Calendar  Calendar Spread trades  trades at 80.65

• Leg2 has a lower limit price of 2967.95

• Leg1 = Leg2 – spread trade price

  • 2967.95 – 80.65

• Leg2 = 2887.30

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FX Deferred Calendar

SecuritySubType =

...

 FX

...

The Deferred Calendar Spread

...

 is a futures spread involving the simultaneous purchase (sale) of one product with a deferred expiration and a sale (purchase) of the same product at a nearby expiration. The listing convention of this spread and its corresponding symbol is to have the further expiration listed first and the nearby expiration listed second, creating a differential spread price of deferred expiration price minus the nearby expiration price.

...

A Deferred Calendar Spread

...

 has:

• One Product

• Two legs

  • Leg1 (buy leg) must be the deferred expiration

  • Leg2 (sell leg) must be the nearby expiration

• Quantity/side ratio of the legs is +1:-1

• Buying

...

• a Deferred Calendar Spread

...

•  buys leg1, sells leg2

• Selling

...

• a Deferred Calendar Spread

...

•  sells leg1, buys leg2

Example

• Instrument Symbol = GDX9-GDV9

  • Leg1 = +1 GDX9

  • Leg2 = -1 GDV9 

Pricing

...

• The Deferred Calendar Spread

...

•  Trade Price is = Leg1 – Leg2

Leg Price Assignment

• Determine the anchor leg of

...

• the Deferred Calendar Spread

• The anchor leg is the prior day settlement for leg2.

• Calculate the non-anchor leg:

  • Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Trade Spread Price

• If the calculated price is outside the daily limits, set the leg1 price to its limit and calculate the price of leg2

  • Leg2= Leg1 - Trade Price of the spread

In this example leg2 has prior day’s settlement price

Deferred Calendar Spread

...

 trades at 10

• Leg2 prior day settle is 39905

• Leg1 is calculated

  • 39905 + 10

  • Leg1 = 39915

  • Leg1 = Leg2 + Trade Price of the spread

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SD Calendar

SecuritySubType = SD SD

This Calendar Spread is  is a futures spread involving the simultaneous purchase (sale) of one product with a deferred expiration and a sale (purchase) of the same product at a nearby expiration.  SecuritySubType  = SD is  is specific to to FX Calendar spreads.  The listing convention of this spread and its corresponding symbol is to have the further expiration listed first and the nearby expiration listed second, creating a differential spread price of deferred expiration price minus the nearby expiration price.

This Calendar has Calendar has:

• One Product

• Two legs

  • Leg1 (buy leg) must be the deferred expiration

  • Leg2 (sell leg) must be the nearby expiration

• Quantity/side ratio of the legs is +1:-1

• Buying

  this 

  this Calendar

   buys

   buys leg1, sells leg2

• Selling

  this 

  this Calendar

   sells

   sells leg1, buys leg2

Example

• Instrument Symbol = 6BM7-6BJ7

  • Leg1 = +1 6BM7

  • Leg2 = - 1 6BJ7

Pricing

• This Calendar

   Trade

   Trade Price is = Leg1 – Leg2

Leg Price Assignment

• Determine the anchor leg of

  the 

  the Calendar

• The leg with the most recent price update is the anchor leg.

  • In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg

• Calculate the non-anchor leg:

  • If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price

  • If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price

• If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

In this example leg1 has the most recent price

This Calendar This Calendar trades at 10

• Leg1 = 14965

• Leg2 is calculated

  • Leg1 – Trade Price of the spread

  • 14965 - 10

• Leg2 = 14955

In this example leg2 has the most recent price

This Calendar This Calendar trades at 10

• Leg2 = 14960

• Leg1 is calculated

  • 14960 + 10

  • Leg1 = 14970

  • Leg1 = Leg2 + Trade Price

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EC Calendar

SecuritySubType = EC

The EC Calendar Spread is a calendar future spread involving the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration. The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of the nearby expiration minus the deferred expiration.

EC Calendar Spread structure:

• One Product

• Two legs

  • Leg1 (buy leg) must be the nearest expiration

  • Leg2 (sell leg) must be the deferred expiration

• Quantity/side ratio of the legs is +1:-1

• Buying an EC Calendar Spread buys leg1, sells leg2

• Selling an EC Calendar Spread sells leg1, buys leg2

Example

• Instrument Symbol = CLTX1-CLTZ1

  • Leg1 = +1 CLTX1

  • Leg2 = -1 CLTZ1

Pricing

• The EC Calendar Spread trade price is = Leg1 - Leg2

Leg Price Assignment

• Leg1 is the anchor leg and priced at zero

• Leg2 is calculated:

  • Leg1 - Spread Trade Price

EC Calendar Spreads Leg Price Assignment

• Leg1 is always priced at zero

• Leg2 is always priced at zero minus the EC Calendar Spread traded price

  • If the EC Calendar Spread traded price is zero, the resulting Leg2 price will be zero

  • If the EC Calendar Spread traded price is negative, the resulting Leg2 price will be positive

  • If the EC Calendar Spread traded price is positive, the resulting Leg2 price will be negative

The following examples are of

...

the EC Calendar Spread, using the underlying TAS futures outright contract settlement prices:

• Leg1 TAS underlying contract CLX1 settle price = 4961

• Leg2 TAS underlying contract CLZ1 settle price = 4980

 EC Calendar Spread traded price is 0

• CLTX1 is priced at 0

• CLTZ1 is priced at 0

• Clearing assigns the following:

  • CLX1 assigned price = 4961

  • CLZ1 assigned price = 4980

 EC Calendar Spread traded price is -2

• CLTX1 is priced at 0

• CLTZ1 is priced at 2

  • 0- (-2) = 2

• Clearing assigns the following:

  • Leg2 = 4980 + 2 = 4982

  • CLX1 assigned price = 4961

  • CLZ1 assigned price = 4980- (-2) = 4982

 EC Calendar Spread traded price is 3

• CLTX1 is priced at 0

• CLTZ1 is priced at -3

  • 0 – 3 = -3

• Clearing assigns the following:

  • CLX1 assigned price = 4961

  • CLZ1 assigned price = 4980 -3 = 4977

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CF Condor

SecuritySubType=CF

A A Condor is  is a differential futures spread composed of one product with four different expirations. Buying (selling) a a Condor buys  buys (sells) the nearest and most deferred expirations while simultaneously selling (buying) the middle two expirations.

A A Condor has has:

• One Product

• Four legs

  • Leg1 (buy leg) must be the nearest expiration

  • Leg2 (sell leg) must be the second nearest expiration

  • Leg3 (sell leg) must be the third nearest expiration

  • Leg4 (buy leg) must be the most deferred expiration

• Quantity/side ratio of the legs is +1:-1:-1:+1

• Expiration sequencing

  for 

  for Condor:

  • Leg1 month < Leg2 month < Leg3 month < Leg4 month

  • Example: SR1:CF M9U9Z9H0

• Buying

  a 

  a Condor

   buys

   buys leg1, sells leg2, sells leg3, buys leg4

• Selling

  a 

  a Condor

   sells

   sells leg1, buys leg2, buys leg3, sells leg4

Example

• Instrument Symbol = SR1:CF M9U9Z9H0

  • Leg1 = +1 SR1M4

  • Leg2 = -1 SR1U4

  • Leg3 = -1 SR1Z4

  • Leg4 = +1 SR1H4

Pricing

• The 

  The Condor

   Trade

   Trade Price is = Leg1 – Leg2 – Leg3 + Leg4

Leg Price Assignment

• Leg1, Leg2 and Leg3 are anchor legs and assigned prices based on one of the following rules (priority given to the lowest number rule that applies)

1. Last traded price

2. Significant bid or offer that did not trade

3. Settlement price

• Leg4 is calculated:

  • Leg1 = Trade Price + leg2 + leg3 – leg4

  • If leg1 has a calculated price outside of the daily limit, leg1 is adjusted to daily limit and leg2 price is recalculated

    • Leg2 = leg1 – leg3 + leg4 – Trade Price

  • If leg2 has a calculated price outside the daily limits, leg2 will be adjusted to the daily limit and leg3 recalculated

    • Leg3 = leg1 - leg2 + leg4 – Trade Price

  • Trade Price – Leg1 + Leg2 + Leg3

  • If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated

Pricing Example

Condor trades  trades at 13.5

• Leg1 most recent price update = 9812.5

• Leg2 most recent price update = 9857.5

• Leg3 most recent price update = 9875.5

• Leg4 is calculated:

  • Trade Price – leg1 + leg2 + leg3

  • 13.5 – 9812.5 = -9799 + 9857.5 + 9875.5

  • Leg4 = 9934

Pricing Example  - Legs Calculated Outside of Daily Limits

Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated

Condor trades  trades at 13.5

• Leg1 is recalculated:

  • Leg1 = Trade Price + leg2 + leg3 – leg4

  • 13.5 + 9857.5 + 9875.5 – 9900

  • Leg1 = 9846.5

• Leg2 has Fair Market Price = 9857.5

• Leg3 has Fair Market Price = 9875.5

• Leg4 = daily limit

  • Leg4 = 9900

 Leg1  Leg1 outside daily limit; leg1 reset to daily limit and leg2 recalculated

Condor trades  trades at 13.5

• Leg1 = daily limit

  • Leg1 = 9814

• Leg2 is recalculated:

  • Leg2 = leg1 – leg3 + leg4 – Trade Price

  • 9814 – 9875.5 + 9900 – 13.5

  • Leg2 = 9825

• Leg3 has a Fair Market Price of = 9875.5

• Leg4 = daily limit

  • Leg4 = 9900

 Leg2  Leg2 outside daily limit; leg2 reset to daily limit and leg3 recalculated

Condor trades  trades at 13.5

• Leg1 = 9814

• Leg2 = daily limit

  • Leg2 = 9870

• Leg3 is recalculated:

  • Leg3 = leg1 – leg2 + leg4 – Trade Price

  • 9814 – 9870 + 9900 – 13.5

  • Leg3 = 9830

• Leg4 = 9900

top

CO Condor

SecuritySubType=CO

The Condor is an options spread involving the simultaneous purchase (sale) of a call (put), sale (purchase) of a second call (put), sale (purchase) of a third call (put), and purchase (sale) of a fourth call (put). All strike prices must be equidistant (i.e. the interval between the first and second strike must match the interval between the second and third strike, as well as between the third and fourth strike), and of the same expiration.

A Condor has:

• One Product

• Four legs

• For a call Condor

  • Leg1 (buy leg) must be a call at a certain strike price

  • Leg2 (sell leg) must be a call at a higher strike price than leg1

  • Leg3 (sell leg) must be a call at a higher strike price than leg2

  • Leg4 (buy leg) must be a call at a higher strike price than leg3

• For a put Condor

  • Leg1 (buy leg) must be a put at a certain strike price

  • Leg2 (sell leg) must be a put at a lower strike price than leg1

  • Leg3 (sell leg) must be a put at a lower strike price than leg2

  • Leg4 (buy leg) must be a put at a lower strike price than leg3

Example

• Instrument Symbol =

• Leg1 = +1
• Leg2 = -1
• Leg3 = -1
• Leg4 = +1

Example

• Instrument Symbol =

  UD:1V: CO 0911959621

  • Leg1 = +1 ESU8 C2870

  • Leg2 = -1 ESU8 C2875

  • Leg3 = -1 ESU8 C2880

  • Leg4 = +1 ESU8 C2885

Pricing

The Condor Trade Price is = [Leg1+Leg4] – [Leg2+Leg3]

Leg Price Assignment

• Calculate Fair Price of the Condor based on fair prices of the legs.

• Calculate the difference between the Condor trade price and the calculated fair price of the spread.

• Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.

• Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.

Pricing Example – Equal Distribution

Condor trades at 150

• Leg1 has Fair Market Price of = 2900

• Leg2 has Fair Market Price of = 2550

• Leg3 has Fair Market Price of = 2150

• Leg4 has Fair Market Price of = 1850

• Spread Fair Market Price = [2900+1850] – [2550+2150] = 50

• Spread Trade Price - Fair Market Price = 150 – 50 = 100

• There are 4 ticks to distribute.

• The adjustment is applied evenly as follows:

  • Leg1 = 2900 + 25 = 2925

  • Leg2 = 2550 – 25 = 2525

  • Leg3 = 2150 – 25 = 2125

  • Leg4 = 1850 + 25 = 1875

Pricing Example – Unequal Distribution

Condor trades at 175

• Leg1 has Fair Market Price of = 2900

• Leg2 has Fair Market Price of = 2550

• Leg3 has Fair Market Price of = 2150

• Leg3 has Fair Market Price of = 1850

• Spread Fair Market Price = [2900+1850] – [2550+2150] = 50

• Spread Trade Price - Fair Market Price = 175 – 50 = 125

• There are 5 ticks to distribute.

• The adjustment is applied as follows:

  • Leg1 = 2900 + 50 = 2950

  • Leg2 = 2550 – 25 = 2525

  • Leg3 = 2150 – 25 = 2125

  • Leg4 = 1850 + 25 = 1875

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C1 Crack One-One

SecuritySubType=C1

The Crack One-One is a futures differential spread involving the simultaneous purchase (sale) of a distilled product (i.e. Gasoline or Ultra Low Sulfur Diesel) with a corresponding sale (purchase) of the raw product from which it was produced (i.e. WTI Crude Oil).  The Crack One-One is priced in terms of the raw product which necessitates a mathematical conversion of the distilled product’s price.

A A Crack One-One has:

• Two different products belonging to the same product group (e.g. energy)

• Two legs

  • Leg1 (buy leg) must be the distilled product

  • Leg2 (sell leg) must be the raw product

• Quantity/side ratio of the legs is +1:-1

• Buying

  a 

  a Crack One-

  One 

  One buys leg1, sells 2

• Selling

  a 

  a Crack One-

  One 

  One sells leg1, buys 2

Examples

• Instrument Symbol = CL:C1 RB-CL M5

  • Leg1 = +1 RBM5

  • Leg2 = -1 CLM5

Pricing

• The 

  The Crack One

  :

  -One

   Trade

   Trade Price is = (Leg1*42/100)-Leg2 price

Leg Price Assignment

• Determine the anchor leg of

  the 

  the Crack One-One

  • The leg with the most recent price update is determined to be the anchor leg

  • The leg1 price must always be rounded to the nearest 50 tick increment

  • If leg2 is used as anchor leg, leg2 must be re-calculated once leg1 price is calculated and rounded

  • Leg1 = [(Spread Price + Leg 2) *100/42], rounded to the nearest 50 tick increment

  • Leg2 = [(Leg1 * 42) / 100] – Spread Price

• If neither leg as a price update then the most recent settlement price of the legs will determine the anchor leg.

• If a calculated leg price is outside the daily limits, additional processing will be applied.

Pricing Examples

Example: Leg1 as anchor leg

Crack One-One One  trades at 2620

• Leg1 has Fair Market Price of = 23120

  • Leg1 = 23120

  • Leg1 = 23100 (rounded to nearest 50 tick)

• Leg2 is calculated

  • Leg2 = (23100*42/100)-2620

  • Leg2 = 9702 -2620

  • Leg2 = 7082

Example: Leg2 anchor Leg

Crack One-One One  trades at 2620

• Leg2 has most recent price

  • Leg2 = 7112

• Leg1 is calculated:

  • Leg1 = (2620 + 7112) * 100/42

  • Leg1 = 973200/42

  • Leg1 = 23171.4286

  • Leg1 = 23150 (rounded to nearest 50 tick)

• Calculate Leg2:

  • Leg2 = (23150*42/100)-2620

  • Leg2 = 9723-2620

  • Leg2 = 7103

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PK Pack

SecuritySubType=PK

The The Pack is  is a futures spread involving the simultaneous purchase (sale) of a series four consecutive quarterly instruments (in year duration groups) within the same product.  The The Pack is  is an average net differential between the current market price of the legs and the prior day settlement price of the legs.

A Pack A Pack has:

• One Product

• Four legs

• Total legs in the pack must be evenly divisible by 4

• Expiration of all the legs must be consecutive quarterly outright futures

• Quantity/side ratio of the legs is +1:+1:+1:+1

• Buying

  a Pack 

  a Pack buys all components

• Selling

  a Pack 

  a Pack sells all components

Example

• Instrument Symbol = SR1:PK 01Y Z9

  • Leg1 = +1 SR1Z3

  • Leg2 = +1 SR1H4

  • Leg3 = +1 SR1M4

  • Leg4 = +1 SR1U4 

Pricing

• The Pack 

  The Pack trade price is the average price of the differentials of each leg from its prior day’s settlement price

Leg Price Assignment

• Obtain trade price

  of 

  of Pack

• Price obtained is the differential for all legs, averaged

• Integer portion of

  the 

  the Pack

   trade

   trade price is applied to all legs initially

  • If

    the 

    the Pack

     trades

     trades +1.25, all legs are initially assigned a price of +1 from their respective settles

  • If

    the 

    the Pack

     trades

     trades at -5.75, all legs are initially assigned a price of -2 from their respective settles

• Adjust most deferred legs up or down a full point until the average differential of the legs is equal to the traded price of

  the 

  the Pack.

• The following method calculates the number of legs of

  the Pack that will not have

  the Pack that will not have any further adjustment to their prices.

  • If the traded

 Pack price

• •  Pack price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 3.

  • If the traded

 Pack price

• •  Pack price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 2.

  • If the traded

 Pack price

• •  Pack price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 1.

• As a corollary, the number of legs that need to be adjusted up or down a point can be calculated by taking the result of the above calculation and subtracting it from the total number of legs in the product.

Examples

• In all pricing examples, we will be using the SR1:PK 01Y Z4 contract.

• Components and settlement prices are as follows:

  • Leg1 = SR1M4, prior day’s settle 9873

  • Leg2 = SR1U4, prior day’s settle 9858.5

  • Leg3 = SR1Z4, prior day’s settle 9834.5

  • Leg4 = SR1H4, prior day’s settle 9821

• Pack 

  Pack trades at 5

  • All legs are adjusted up 5 points

• The decimal portion is zero, so no additional adjustments are needed

• Results

  • Leg1 = 9873 + 5 = 9878

  • Leg2 = 9858.5 + 5 = 9863.5

  • Leg3 = 9834.5 + 5 = 9839.5

  • Leg4 = 9821 + 5 = 9826

• Pack 

  Pack trades at -5.50

  • All legs are adjusted by down 5 points

  • The decimal portion is .50, so (1 year * 2 = 2) legs will not receive an additional adjustment, and 2 (4 total legs – 2 leg that are not changing) will need an additional adjustment

  • Results

    • Leg1 = 9873 - 5 = 9868

    • Leg2 = 9858.5 - 5 = 9853.5

    • Leg3 = 9834.5 - 6 = 9828.5

    • Leg4 = 9821- 6 = 9815

• Pack 

  Pack trades at +5.25

  • All legs are adjusted by up 5 points

  • The decimal portion is .25, so (1 year * 3 = 3) legs will not receive an additional adjustment, and 1 (4 total legs – 3 leg that are not changing) will need an additional adjustment

  • Results

    • Leg1 = 9873 + 5 = 9878

    • Leg2 = 9858.5 + 5 = 9863.5

    • Leg3 = 9834.5 + 5 = 9839.5

    • Leg4 = 9821+ 6 = 9827

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RT Reduced Tick

SecuritySubType=RT

The The Reduced Tick Calendar Spread is  is the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration.  The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of nearby expiration minus the deferred expiration.  Spreads with SecuritySubType SecuritySubType RT will  will have a smaller tick than their corresponding outright legs.

A A Reduced Tick Calendar Spread has has:

• One Product

• Two legs

  • Leg1 (buy leg) must be the nearest expiration

  • Leg2 (sell leg) must be the deferred expiration

• Quantity/side ratio of the legs is +1:-1

• Buying

  a 

  a Reduced Tick Calendar Spread

   buys

   buys leg1, sells leg2

• Selling

  a 

  a Reduced Tick Calendar Spread

   sells

   sells leg1, buys leg2

Example

• Instrument Symbol = ZNZ9-ZNH0

  • Leg1 = +1 ZNZ9

  • Leg2 = -1 ZNH0

Pricing

• The 

  The Reduced Tick Calendar Spread

   Trade

   Trade Price is = Leg1 – Leg2

Leg Price Assignment

• Determine the anchor leg of

  the 

  the Reduced Tick Calendar Spread

  • The leg with the most recent price update is the anchor leg.

  • In the event of no recent price updates, the prior day settle of the nearby leg will be the anchor leg.

• Calculate the non-anchor leg:

  • If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price

  • If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price

• If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

...

Reduced Tick Calendar Spread trades  trades at 1040

• Leg1 = anchor price of 129300

• Leg2 = 129300 – 1040 = 128260

Leg2 is the anchor leg

Reduced Tick Calendar Spread trades  trades at 1040

• Leg2 = anchor price of 129310

• Leg1 = 129310 + 1040 = 130350

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FS Strip

Spread type =

...

 FS

A Strip is the simultaneous purchase (sale) of one product in consecutive month expirations at the average of the price of the legs.

...

A Strip may be Exchange- or User-Defined. For any single market, only an FS or SA User-Defined Spread type will be recognized.

Spread types Average Price Strip (SA) and Futures Strip (FS) are not supported in the same market. Currently, the FS Strip for 30-Day Federal Funds Futures (ZQ) and Ethanol Futures (EH) is settled to zero. As a result, the trade entry price is a net change from settlement.

...

A Strip has:

• One Product

• Minimum of two legs

• Maximum of 26 legs

• Quantity/side ratio of +1:+1...+1

• All legs must have same tick

...

• size 

Example

• Instrument Symbol = ZQ:FS 03M H0

  • Leg1 = +1 ZQH0

  • Leg2 = +1 ZQJ0

  • Leg3 = +1 ZQK0

Pricing

...

• The Strip Trade Price is = (Leg1 + Leg2 + Leg3…LegN)/Total number of legs

Leg Price Assignment

• Calculate strip settlement price by averaging all of the legs' most recent settlement prices

• Subtract the result from step 1 from the Trade Price

• Add the differential from step 2 to each leg's settlement price

• Leg prices may not be identical

...

 Pricing Example

...

 Strip trades at 13490

• Average leg settlement price is 13550

  • Leg1 last settle price is 13750

  • Leg2 last settle price is 13550

  • Leg3 last settle price is 13350

• 13490 (Trade price) - 13550 (Average leg settlement price) = -60

• Leg1 = 13750 (last settle price) - 60 = 13690

• Leg2 = 13550 (last settle price) - 60 = 13490

• Leg3 = 13350 (last settle price) - 60 = 13290

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SA Average Price Strip

...

This pricing model is unique to this spread type. 

• Products created with related legs and consecutive expirations will receive spread type SA in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType). Products designated spread type SA are priced as an average. 

• Products created with related legs and non-consecutive expirations will receive spread type GN in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType). Products designated spread type GN are priced as additive.

An Average Price Strip has three different variations according to whether it is Exchange listed, a User Defined Instrument for futures, or a User Defined Spread for options:

• One Product

• Minimum of 2 legs

• Maximum of 26 legs

• For a future Average Price Strip

  • All legs must be buy side futures

  • All expirations will be consecutive

  • Expirations can be measured in days or months depending on the futures contained in the Average Price Strip

  • Instruments can be exchange listed or user defined. See examples below for symbology.

• For an Option Average Price Strip

  • All legs must be buy side options

  • All legs must be calls or puts

  • All legs must have the same strike price

  • All expirations must be consecutive

  • Expirations can be measured in days, weeks, or months depending on the Options contained in the Average Price Strip

• Quantity/side ratio of the legs is +1 for each individual leg

• Buying an Average Price Strip buys each individual leg of the spread

• Selling an Average Price Strip sells each individual leg of the spread

Examples

• Exchange listed Futures Average Price Strip

  • Leg1 = +1 NGU9

  • Leg2 = +1 NGV9

  • Leg3 = +1 NGX9

  • First characters are the Futures Group (NG)

  • Colon separator immediately follows the Group

  • Spread Type follows the separator

  • A space character follows the Spread Type

  • Two digits after the space indicate the number of legs

  • Following the digits is the period between the legs.  M = Month, Y = Year, D = Day

  • Last, a space followed by the expiration

  • Instrument Symbol = NG:SA 03M U9

• Symbology points

• Exchange listed Futures Average Price Strip composed of Daily Futures

  • Leg1 = +1 JDLV817

  • Leg2 = +1 JDLV818

  • Leg3 = +1 JDLV819

  • First characters are the Futures Group (JDL)

  • Colon separator immediately follows the Group

  • Spread Type follows the separator

  • A space character follows the Spread Type

  • Two digits after the space indicate the number of legs

  • Following the digits is the period between the legs.  M = Month, Y = Year, D = Day

  • Last, a space followed by the expiration (in this case, October 17, 2018)

  • Instrument Symbol = JDL:SA 03D 17V8

Symbology

• User defined Futures Average Price Strip

  • Leg1 = +1 NGJ9

  • Leg2 = +1 NGK9

  • Leg3 = +1 NGM9

  • Leg4 = +1 NGN9

  • Leg5 = +1 NGQ9

  • Leg6 = +1 NGV9

  • Leg7 = +1 NGX9

  • Leg8 = +1 NGZ9

  • First characters indicate the instrument is User Defined (UD), followed by a separating colon

  • Next two characters indicate the instrument Group. For User Defined Instruments containing Futures only, this will be the group code of the contained Futures

  • Another colon separator follows the group

  • Next, a space followed by the Spread Type, followed by another space

  • The following four digits indicate when the date the User Defined Spread was created

  • The next six digits are the CME Security ID

  • The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.

  • Instrument Symbol = UD:NG: SA 1015986004

Symbology

• User Defined Options Average Price Strip

  • Leg1 = +1 LOF9 C8000

  • Leg1 = +1 LOG9 C8000

  • Leg1 = +1 LOH9 C8000

  • First characters indicate the instrument is User Defined (UD), followed by a separating colon

  • Next two characters indicate the instrument Group. For User Defined Instruments containing Options, this will be the group code for the options spread

  • Another colon separator follows the group

  • Next, there will either be a space or the letter C. The letter C indicates this User Defined Spread includes one or more covering futures in the package.

  • The space or the C is followed by the Spread Type, followed by another space

  • The following four digits indicate when the User Defined Spread was created

  • The next six digits are the CME Security ID

  • The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.

  • Instrument Symbol = UD:1N: SA 1015921428

Symbology

Pricing

The Average Price Strip Trade Price is = the average price of all included legs

...

Average Price Strip (SA) trades at 1657

• For illustration purposes, the spread in this example contains three legs

• The trade price is the average of the individual legs

• The trade price is applied equally to each of the legs as follows:

  • Leg1 = 1657

  • Leg2 = 1657

  • Leg3 = 1657

Pricing Example – Futures Spread Equal Distribution

Average Price Strip (GN) trades at 1657

• For illustration purposes, the spread in this example contains three legs

• The trade price is the addition of the individual legs

• The trade price is applied equally to each of the legs as follows:

  • Leg1 = 1657

  • Leg2 = 1657

  • Leg3 = 1657

For these spreads, there is no possibility of Unequal Distribution of Prices.

...

The SB Balanced Strip Spread is the simultaneous purchase or sale of futures strips at the differential price of the legs. SB is only available in futures markets in both Exchange-Defined and User-Defined spreads.

An SB Strip has

• One product

• Two legs

• Quantity/side ratio of +1:-1

• Expiration of all legs must be different and symmetric

• Legs must be either FS Strips, SA Strips or AB Strips; no mixed Strip legs

  • FS, SA or AB Strips must have the same number of legs

  • FS, SA or AB Strips must not share any outright legs

  • FS, SA or AB Strips must have the same duration (3 months, 6 months, etc.)

Pricing

• The Spread Trade Price is the differential of the strip legs

• Leg price assignment

  1. Determine anchor strip leg

     1. Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1

  2. Calculate the non-anchor leg:

     1. If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price

     2. If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price

Pricing Example

SB Balanced (SA) Strip Spread NG:SB 05M X6-X7 trades at 4

• Strip Leg1 has the most recent trade at price 3229 and is designated the anchor

  • Strip Leg1 = 3229

  • Strip Leg2 = 3225 (Leg1 Price - Spread Trade Price)

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SR Strip

SecuritySubType=SR

The Strip is an options spread involving the simultaneous purchase (sale) of a series of calls or puts at the same strike price comprised of four equidistant expirations.

A Strip has:

• One Product

• Four legs

  • For a call Strip

    • Leg1 must be a call in Exp1

    • Leg2 must be a call in Exp2

    • Leg3 must be a call in Exp3

    • Leg4 must be a call in Exp4

  • For a put Strip

    • Leg1 must be a put in Exp1

    • Leg2 must be a put in Exp2

    • Leg3 must be a put in Exp3

    • Leg4 must be a put in Exp4

• All legs must have the same strike price

• Each leg must be in consecutive equidistant expirations (Exp1, Exp2, Exp3, Exp4)

• All legs must be buys

• For a call Strip
• For a put Strip

• Quantity/side ratio of the legs is +1:+1:+1:+1

• Buying a Strip buys all legs

• Selling a Strip sells all legs

Example

• Instrument Symbol = UD:U$: SR 1203930561

  • Leg1 = +1 SR1Z3 C9675

  • Leg2 = +1 SR1H4 C9675

  • Leg3 = +1 SR1M4 C9675

  • Leg4 = +1 SR1U4 C9675

Pricing

The Strip Trade Price is = Leg1 + Leg2 + Leg3 + Leg4

Leg Price Assignment

• Calculate Fair Price of the Strip based on fair prices of the legs.

• Calculate the difference between the Strip trade price and the calculated fair price of the spread.

• Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.

• Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.

Pricing Example – Equal Distribution

Strip trades at 206.5

• Leg1 has Fair Market Price of = 41

• Leg2 has Fair Market Price of = 48.5

• Leg3 has Fair Market Price of = 54

• Leg4 has Fair Market Price of = 59

• Spread Fair Market Price = 202.5

• Spread Trade Price - Fair Market Price = 206.5 – 202.5 = 4.0

• There are 8 ticks to distribute.

• The adjustment is applied evenly as follows:

  • Leg1 = 41 + 1 = 42

  • Leg2 = 48.5 + 1 = 49.5

  • Leg3 = 54 + 1 = 55

  • Leg4 = 59 + 1 = 60

Pricing Example – Unequal Distribution

Strip trades at 207.0

• Leg1 has Fair Market Price of = 41

• Leg2 has Fair Market Price of = 48.5

• Leg3 has Fair Market Price of = 54

• Leg4 has Fair Market Price of = 59

• Spread Fair Market Price = 202.5

• Spread Trade Price - Fair Market Price = 207.0 – 202.5 = 4.5

• There are 9 ticks to distribute.

• The adjustment is applied as follows:

  • Leg1 = 41 + 1.5 = 42.5

  • Leg2 = 48.5 + 1 = 49.5

  • Leg3 = 54 + 1 = 55

  • Leg4 = 59 + 1 = 60

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WS Unbalanced Strip

SecuritySubType=WS

The Unbalanced Strip is a futures spread between two strips in the same product (Intra-commodity), but with differing durations (to allow for spreads between Winter and Summer, etc.). An Unbalanced Strip is constructed by buying the first expiring strip and selling the later expiring strip (Buy 1 stripExp1, Sell 1 stripExp2). The durations of each strip cannot be equal. The balance of the strip will continue to expire until only one expiration month remains.

Construction: Buy StripLeg1exp1  Sell StripLeg2exp2

Security Definition Example: GL:WS X2-J3

Example: Buy the Spread

Buy 1 November 2012 5Month Strip (GL:SA 05M X2) and

Sell 1 April 2013 7Month Strip (GL:SA 07M J3)involving the simultaneous purchase (sale) of one Average Priced Strip (SA) against the sale (purchase) of a second Average Priced Strip (SA) with the same expiration. Each Averaged Priced Strip must contain a different number of component parts (i.e., two consecutive futures contracts versus three consecutive futures contracts), and each Average Priced Strip must be of the same intra-commodity product (i.e., the first Average Priced Strip is Henry Hub Natural Gas futures while the second Average Priced Strip Henry Hub Natural Gas futures).   

An Unbalanced Strip has:

• One Product

• Two legs

  • Leg1 (buy leg) must be the nearest expiration 

  • Leg2 (sell leg) must be the next deferred expiration

• Quantity/side ratio of the legs is +1:-1

• Buying a Unbalanced Strip Spread buys leg1, sells leg2

• Selling an Unbalanced Strip Spread sells leg1, buys leg2

Example

• Instrument Symbol = NG:WS X9-F0

  • Leg1 = +1 NG:SA 02M X9 (2 Month Strip)

  • Leg2 = -1 NG:SA 03M F0 (3 Month Strip)

Pricing

• The Unbalanced Strip Spread Trade Price is the differential of the strip legs = Leg1 – Leg2

Leg Price Assignment 

• Determine the anchor leg of the Unbalanced Strip Spread

  •  The leg (the SA Strip) with the most recent price update is the anchor leg

• Calculate the non-anchor leg:

  • If Leg 1 is used as the anchor leg, then Leg2 = Leg1 price – Unbalanced Strip Spread Price

  • If Leg 2 is used as the anchor leg, then Leg1 = Leg2 price + Unbalanced Strip Spread Price

Pricing Example

Unbalanced Strip Spread NG:WS X9-F0 trades at -325

• Leg1 SA Strip is the anchor and assigned a price of 1939

  • NGX9 is assigned a price of 1939

  • NGZ9 is assigned a price of 1939

• Leg2 has its price calculated

  • Leg2 = 1939 – (–325) = 1939 + 325 = 2264

• NGF0 is assigned a price of 2264

• NGG0 is assigned a price of 2264

• NGH0 is assigned a price of 2264

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IS Inter-Commodity Futures 

...

The Inter-Commodity is a futures spread involving the simultaneous purchase and sale of two instruments in different products with similar ticks. There can be variations in the leg pricing assignments in the Inter-Commodity futures spreads based on the components of the spread.

 A Inter-Commodity futures spread has:

• Two different products

• Two legs

  • Leg1 is the buy leg

  • Leg2 is the sell leg

• Quantity/side ratio of the legs is +1:-1

• Buying a Inter-Commodity spread buys leg1 and sells leg2

• Selling a Inter-Commodity spread sells leg1 and buys leg2

Example

• Instrument Symbol= NKDU9-NIYU9

  • Leg1 = +1 NKDU9

  • Leg2 = -1 NIYU9

Pricing

The Inter-Commodity futures spread Trade Price is equal to Leg1-Leg2.

...

Nikkei Inter Commodity spread

Example

• Instrument Symbol= NKDU9-NIYU9

  • Leg1 = +1 NKDU9

  • Leg2 = -1 NIYU9

Leg Price Assignment

• The anchor leg price is assigned at Fair Market Price

• Calculate the non-anchor leg price:

  • If Leg1 is used as the anchor leg, then Leg2 = (Leg1 price – Spread Price)

  • If Leg2 is used as the anchor leg, then Leg1 = (Leg2 price + Spread Price)

• A recent significant bid or offer from either outright futures leg.  To be significant, a bid must be greater than settle or the most recent traded price of the instrument, or an offer must be less than settle or the most recent traded price of the instrument.

• An Indicative Opening Price can be a significant bid or offer in the prior rule.

• Most recent traded outright leg in either NKD or NIY products pertaining to the spread in question, i.e. if the spread is NKDU9-NIYU9, an anchor price could be determined by the most recent trade in either NKDU9 or NIYU9.

• The previous day’s settlement of the NKD outright futures

• Calculate the non-anchor leg price:

  • If Leg1 is used as the anchor leg, then Leg2 = (Leg1 price – Spread Price)

  • If Leg2 is used as the anchor leg, then Leg1 = (Leg2 price + Spread Price)

Pricing Example

Example1 – Leg1 as anchor leg  

...

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

• Leg1 = 21260

• Leg2 = Leg1 price – Spread price

...

• • = 21260-30

...

• • =21230

  • Differential applied to Leg2:

    • Leg1 = 21260

    • Leg2 = 21230

Example2 – Leg1 as anchor leg  

...

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

• Leg1 = 21250

• Leg2 = Leg1 price – Spread price

                       = 21250-30

...

Differential applied to Leg2:

• Leg1 = 21250

• Leg2 = 21220

Example3 – Leg2 as anchor leg:           

...

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

• Leg2 = 21245

• Leg1 price = Leg2 + Spread price

                       = 30 + 21245

...

Differential applied to Leg1:

• Leg1 = 21275

• Leg2 = 21245

Example4 – Leg1 as anchor leg:           

...

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

• Leg1 = 21200

• Leg2 price = Leg1 price -  Spread price

                       = 21200 - 30

...

Differential applied to Leg2:

• Leg1 = 21200

• Leg2 = 21170

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XS Inter-Commodity Strip

SecuritySubType=XS

The The Cross-Commodity Strip Spread Spread is a futures spread involving the simultaneous purchase (sale) of one one Average Priced Strip (SA) against  against the sale (purchase) of a second second Average Priced Strip (SA) with the same expiration. Each Each Averaged Priced Strip Strip must contain the same number of component parts (i.e. three consecutive futures contracts), and each each Average Priced Strip Strip must be of a different but related product (i.e. the first first Average Priced Strip is  is WTI Crude while the second second Average Priced Strip is  is Brent Last Day Financial Crude). After the first month of the strip from the first leg of the the Cross-Commodity Strip Spread Spread expires, the leg becomes a “balance of” spread. The balance of the the Cross-Commodity Strip Spread Spread will continue to decay Decemberay until only one expiration month remains.

A A Cross-Commodity Strip Spread Spread has:

• Two Products

• Two legs

• Each Leg is

  an 

  an Average Priced Strip

   with

   with the same expiration and duration (number of component contracts)

  • Leg1 (buy leg) must be one product

  • Leg2 (sell leg) must be a related but different product from Leg1

• Quantity/side ratio of the legs is +1:-1

• Buying

  an 

  an Cross-Commodity Strip

  Spread 

  Spread buys leg1, sells leg2

• Selling

  an 

  an Cross-Commodity Strip

  Spread 

  Spread sells leg1, buys leg2

Example

• Instrument Symbol = PW:XS 02M EJL-B6L X9

  • EJLX9

  • EJLZ9

  • B6LX9

  • B6LZ9

• Leg1 = +1 EJL:SA 02M X9 (2 Month Strip)

• Leg2 = -1 B6L:SA 02M X9 (2 Month Strip)

Pricing

• The 

  The Cross-Commodity Strip

  Spread 

  Spread Trade Price is the differential between the

  two 

  two Average Priced Strips = Leg1 – Leg2

Leg Price Assignment

• Determine the anchor leg of

  the 

  the Cross-Commodity Strip Spread

  • The leg with the most recent price update of the strip (last price update or settlement price) is the anchor leg.

• Calculate the non-anchor leg:

  • If Leg 1 is used as the anchor leg, then Leg2 = Leg1 price

– 

• • – Cross-Commodity Strip Spread

 Price

• •  Price

  • If Leg 2 is used as the anchor leg, then Leg1 = Leg2 price + Cross-Commodity Strip Spread

 Price

• •  Price

Pricing Example

In this example Leg1 has the most recent price.

Cross-Commodity Strip Spread WS:XS 02M CL-BZ G0 trades at -325

• Leg1 traded at 5757

  • Leg1 is the anchor, and assigned a price of 5757

  • CLG0 is assigned a price of 5757

  • CLH0 is assigned a price of 5757

• Leg2 has its price calculated

  • Leg2 = 5757 – (–325) = 5757 + 325 = 6082

  • BZG0 is assigned a price of 6082

  • BZH0 is assigned a price of 6082

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DI Inter-Commodity

SecuritySubType=DI

The The DSF Inter-Commodity Calendar Calendar is a futures spread involving the simultaneous purchase (sale) of one interest rate product with a corresponding sale (purchase) of a second interest rate product. Both products will have the same monthly expiration.  Both products will also have the same underlying underlying term (i.e., both products will be five year notional instruments).

The The DSF Inter-Commodity Calendar Calendar has:

• Two Products

• Two legs

  • This leg will have the same monthly expiration as Leg1

  • This leg will have the same underlying term as Leg1

  • Leg1 (buy leg) will be an interest rate product

  • Leg2 (sell leg) will be a different interest rate product

• Quantity/side ratio of the legs is +1: -1

• Buying 

  the 

  the DSF Inter-Commodity

  Calendar 

  Calendar buys leg1, sells leg2

• Selling

  the 

  the DSF Inter-Commodity

  Calendar 

  Calendar sells leg1, buys leg2

Example

• Instrument Symbol = ZNZ9-N1UZ9

  • Leg1 = +1 ZNZ9

  • Leg2 = -1 N1UZ9

Pricing

• The 

  The Interest Rate Inter-Commodity

  Spread 

  Spread Trade Price is = Leg1 – Leg2

Leg Price Assignment

• The anchor leg will have the most recent price update; otherwise the prior day’s settlement price from Leg1 is the anchor leg

• Calculate the non-anchor leg:

  • Leg2 = Leg 1 price - Trade Price

  • Leg 1 = Leg 2 price + Trade Price

  • If Leg 1 is used as the anchor leg

  • If Leg 2 is used as the anchor leg

• If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

...

Example: Leg1 as anchor leg

 DSF  DSF Inter-Commodity Calendar Calendar trades at 50

• Leg1 has the most recent trade at 130295

• Leg2 is calculated:

  • Leg2 = Leg1 - Trade Price

  • 130295 - 50

• Leg2 = 130245

Example: Leg2 as anchor leg

DSF Treasury Inter-Commodity Calendar Calendar trades at 50

• Leg2 has the most recent trade at 129290

• Leg1 is calculated:

  • Leg1 = Leg2 + Trade Price

  • 129290 + 50

• Leg1 = 130020

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IV Implied Intercommodity

SecuritySubType=IV

The The Implied Ratio Inter-Commodity Spread Spread is an implied-enabled futures ratio spread involving the simultaneous purchase (sale) of two different products with the same expirations of different pre-determined ratios (e.g. 5:2).

A A Implied Inter-Commodity Spread Spread has:

• Two Products

• Two legs

  • Leg1 (buy leg) all quantities must be the same expiration as leg2

  • Leg2 (sell leg) all quantities must be the same expiration as leg1

• Quantity/side ratio of the legs are pre-determined

  • A quantity side ratio of +5:-2 will be used in the below example

• Buying

  an 

  an Implied Ratio Inter-Commodity

  Spread 

  Spread buys 5* leg1, sells 2* leg2

• Selling

  an 

  an Implied Ratio Inter-Commodity Spread

   sells

   sells 2* leg1, buys 5* leg2

Spread to Spread Trade Pricing

The The Implied Ratio Inter-Commodity Spread Spread Trade Price is = Spread to Spread trade.

Leg Price Assignment

• Leg1 is calculated:

  • Leg1 price = Leg1 settle price+ spread price
    

• Leg2 is anchor leg, and priced the prior day’s settlement price

Pricing Examples 5:2 Ratio

• Instrument Symbol = NOB 05-02 Z9

  • Leg1 = +5 ZNZ9 

  • Leg2 = -2 ZBZ9 

Implied Ratio Inter-Commodity Spread Spread trades at 30

• Leg1 is calculated

  • Leg1 = Leg1 settlement + Spread Trade

  • Leg1 = 128265 + 30

  • Leg1 =128295

• Leg2 = 15718

Implied Spread Trading

...

Please see Implied Intercommodity Ratio Spreads for examples.

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SI Soy Crush

Spread type = SI

The Soy Crush Spread is a differential spread involving the simultaneous purchase between the raw product (Soybeans), and the yield of its two processed products (Soybean Meal, Soybean Oil). The fixed ratio per leg represents the amount of processed products that can be obtained from the given amount of raw product.

A Soy Crush Spread has:

• Three different but related products

• Three legs

• All legs must be of the same expiration

  • Leg1 (buy leg) must be a related processed product of leg3

  • Leg2 (buy leg) must be a related processed product of leg3 but different from Leg1

  • Leg3 (sell leg) must be the raw but related product of leg1 and leg2

• Quantity/side ratio of the legs is +1:+1:-1

• Buying a Soy Crush Spread buys leg1, buys 2, sells leg3

• Selling a Soy Crush Spread sells leg1, sells 2, buys leg3

Example

• Instrument Symbol = SOM:SI K3-K3-K3

  • Leg1 = +1 ZMK3

  • Leg2 = +1 ZLK3

  • Leg3 = -1 ZSK3

...

The Soy Crush Spread

...

 trades at a reduced tick (.25) and is priced in terms of the raw product which necessitates a mathematical  conversion to convert Soybean Meal and Soybean oil into cents per bushel.

Pricing

• The Soy Crush Spread Trade Price is = (Price of leg1 * .22) + (Price of leg2 * .11) – (Price of leg3)

Leg positions used in this example:

Leg1 – Soybean Meal Futures

Leg2 – Soybean Oil Futures

Leg3 – Soybean Futures

Leg Price Assignment

 Anchor legs are the  Fair Market Price of two of the three legs

• Calculate non-anchor leg:

  • If calculated price is off tick - Adjust to on tick- off tick price < half the tick round down otherwise round up.

  • If calculated price outside limits; round down for high limit violation and round up for low limit violation.

  • If calculated price is off tick - Adjust to on tick- off tick price < half the tick round down otherwise round up.

  • If calculated price outside limits; round down for high limit violation and round up for low limit violation.

  • If calculated price is off tick - Adjust to on tick- off tick price < half the tick round down otherwise round up.

  • If calculated price outside limits; round down for high limit violation and round up for low limit violation.

  • Leg1 = (Trade Price + Leg3) – (Leg2 * .11)) / .22

  • Leg2 = (Trade Price + Leg3) – (Leg1 *.22)) / .11

  • Leg3 = (Leg1 * .22) + (Leg2 * .11) – Trade Price

• Leg2 will be adjusted to the closest price that will yield an on-tick price for Leg3. Leg 2 price adjustments should be within 12 X (tick of 1) in the normal case

• Recalculate the Leg3

Pricing Example

Pricing

...

Example Leg1 and Leg2 Anchor Legs

Soy Crush Spread trades at 1026

• Leg1 has Fair Market Price = 4221

• Leg2 has Fair Market Price =  6703

• Leg3 is calculated:

  • Leg3 = (4221*.22) + (6703*0.11) – Trade Price

  • Leg3 = 639.95 round up nearest .25 tick value 640

• Leg2 adjusted price:

  • Leg2 = 6708

• Recalculate Leg3 Price

  • Leg3 = (4221*.22) + (6708*0.11) – 1026

  •  Leg3 = 640.5

• Resulting legs:

  • Leg1 = Buy 11 lots at 4221

  • Leg2 = Buy 9 lots at 6708

  • Leg3 = Sell 10 lots at 640.5

Pricing

...

Example Leg2 and Leg3 Anchor Legs

Soy Crush Spread trades at 1026

• Leg1 is calculated:

  • Leg1 = (1026+640)-(6703*0.11))/0.22

  • Leg1 = 4221.22727 rounded down to nearest tick value 4221

• Leg2 has Fair Market Price =  6703

• Leg3 has Fair Market Price = 640

• Leg2 adjusted price:

  • Leg2 = 6708

• Recalculate Leg3 Price

• Recalculate Leg3 Price

  • Leg3 = (4221*.22) + (6708*0.11) – 1026

  • Leg3 = 640.5

• Resulting legs:

  • Leg1 = Buy 11 lots at 4221

  • Leg2 = Buy 9 lots at 6708

  • Leg3 = Sell 10 lots at 640

Pricing

...

Example Leg1 and Leg3 Anchor Legs

Soy Crush Spread trades at 1026

• Leg1 has Fair Market Price =  4221

• Leg3 has Fair Market Price = 640

• Leg2 is calculated:

  • Leg2 = (1026 + 640) - (4221*0.22)) / 0.11

  • Leg2 = 6703.45 round down to nearest tick value

  • Leg2 = 6703

• Leg2 adjusted price:

  • Leg2 = 6708

• Recalculate Leg3 Price

  • Leg3 = (4221*.22) + (6708 * 0.11) – 1026

  •  Leg3 = 640.5

• Resulting legs:

  • Leg1 = Buy 11 lots at 4221

  • Leg2 = Buy 9 lots at 6708

  • Leg3 = Sell 10 lots at 640.5

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BC Buy-Buy Inter-Commodity

SecuritySubType =

...

 BC

...

The Buy-Buy Inter-Commodity Spread

...

 is a futures spread involving the simultaneous purchase (sale) of two related products with the same expiration.

...

 The Buy-Buy Inter-Commodity Spread

...

 is constructed by buying 1 Henry Hub Natural Gas futures contract and buying 1 Henry Hub Natural Gas Index futures contract.

...

A Buy-Buy Inter-Commodity Spread

...

 has:

• Two Products

• Two legs

• • Leg1 must be the monthly Henry Hub Natural Gas (Platts FERC) Basis futures

  • Leg2 (sell leg) must be the Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures

• Quantity/side ratio of the legs is +1:+1

• Buying

...

• a Buy-Buy Inter-Commodity Spread

...

•  buys leg1 , buys leg2

• Selling

...

• a Buy-Buy Inter-Commodity Spread

...

•  sells leg1, sells leg2

Example

• Instrument Symbol = HB-IN: HB-IN F0

• • Leg1 = +1 HBF0

  • Leg2 = +1 INF0

Pricing

...

• The Buy-Buy Inter-Commodity Spread

...

•  Trade Price is the summation of leg1 and leg2

Leg Price Assignment

• Determine the anchor leg of

...

• the Buy-Buy Inter-Commodity Spread

  • The leg with the most recent price update (last price update or settlement price) is the anchor leg.

• Calculate the non-anchor leg:

• • If Leg 1 is used as the anchor leg, then Leg 2 = Spread Price - Leg 1 price

  • If Leg 2 is used as the anchor leg, then Leg 1 = Spread Price - Leg 2 price

In this example leg1 has the most recent price

• Leg1 is the anchor leg

• Leg2 is calculated:

• • Leg2 = Trade Price of spread – leg1

Pricing Example

Buy-Buy Inter-Commodity Spread

...

 trades at 4

• Leg1 = anchor price of 1, therefore this is automatically assigned

• Leg2 = 4 – 1 = 3

In this example leg2 has the most recent price

• Leg1 is calculated:

• • Leg1 = Trade Price of spread - Leg2

• Leg2 is the anchor leg

...

 Pricing Example

...

 Buy-Buy Inter-Commodity Spread

...

 trades at 4

• Leg1 = 4 - 1 = 3

• Leg2 = anchor price of 1, therefore this is automatically assigned

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IP Inter-Commodity

SecuritySubType =

...

 IP

...

The Inter-Commodity Spread (ICS) calendar spread for futures (commonly known as a “box spread") allows customers to trade Inter-commodity spreads as a single instrument, eliminating leg execution risk.

...

The Inter-Commodity

...

Spread is the net differential between the

...

two ICS

...

 spreads.

...

An Inter-Commodity

...

Spread has:

• Two Products

• Four legs

• • Leg1 (buy leg) is first leg of the first inter commodity calendar spread of near expiration

  • Leg2 (sell leg) is second leg of first the inter commodity calendar spread with the same expiration as leg1

  • Leg3 (sell leg) is first leg of the second inter commodity calendar spread of deferred expiration

  • Leg4 (buy leg) is second leg of second inter commodity calendar spread with the same expiration as leg3

• Quantity/side ratio of the legs is +1:-1:-1:+1

• Buying

...

• a Inter-Commodity

...

• Spread buys leg1 , sells leg2, sells leg3, buys leg4

• Selling

...

• a Inter-Commodity

...

• Spread sells leg1, buys leg2, buys leg3, sells leg4

Example

• Instrument Symbol = NG:HH K1-F2

• • Leg1 = +1 NGK1

  • Leg2 = -1 HHK1

  • Leg3 = -1 NGF2

  • Leg4 = +1 HHF2