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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
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Buy 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 Decemberember December 2018 3-Month Kuala Lumpur Interbank Offered Rate
Buy 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate
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Sell 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Sell 1 Decemberember December 2018 3-Month Kuala Lumpur Interbank Offered Rate
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One Product
Two legs
Both legs must be same expiration
Both legs must be calls or puts
Both legs must have different strike prices
For a Call Vertical
Leg1 must be a at a lower strike
Leg2 must be a at a higher strike
For a Put Vertical
Leg1 must be at a higher strike
Leg2 must be at a lower strike
Quantity/side ratio of the legs is +1:-1
Buying the Vertical buys one leg1 and sells leg2
Selling the Vertical sells one leg1 and buys leg2
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Two Products
One product must be a SOFR mid-curve option
One product must be a SOFR option or SOFR mid-curve option
Both products must support the Conditional Curve options spread
Two Legs
For a Call Conditional Curve
Leg1 (buy leg) must be a call with an earlier underlying expiration compared to Leg2
Leg2 (sell leg) must be a call with a later underlying expiration compared to Leg1
For a Put Conditional Curve
Leg1 (buy leg) must be a put with an earlier underlying expiration compared to Leg2
Leg2 (sell leg) must be a put with a later underlying expiration compared to Leg1
Both legs must have the same expiration date
Both legs must be calls or puts
No specific requirement on strike price. Typically, the strikes are close together or equal.
The legs must have different underlying products
For a Call Conditional Curve
For a Put Conditional Curve
Quantity/side ratio of the legs is +1:-1
Buying a Conditional Curve buys leg1 and sells leg2
Selling a Conditional Curve sells leg1 and buys leg2
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A Double has:
One Product
Two legs
For a call Double
Leg1 (buy leg) must be a call
Leg2 (buy leg) must be a call at a higher strike price
For a put Double
Leg1 (buy leg) must be a put
Leg2 (buy leg) must be a put at a lower strike price
Both legs must be the same expiration
For a call Double
For a put Double
Quantity/side ratio of the legs is +1:+1
Buying a Double buys leg1, buys leg2
Selling a Double sells leg1, sells leg2
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A Ratio 1X2 has:
One Product
Two legs
For a call 1x2
Leg1 (buy leg) must be a call at a lower strike price for a quantity of one lot
Leg2 (sell leg) must be a call at a higher strike price for a quantity of two lots
For a put 1x2
Leg1 (buy leg) must be a put at a higher strike price for a quantity of one lot
Leg2 (sell leg) must be a put at a lower strike price for a quantity of two lots
Both legs must be the same expiration
For a call 1x2
For a put 1x2
Quantity/side ratio of the legs is +1:-2
Buying a Ratio 1x2 buys leg1 and sells leg2
Selling a Ratio 1x2 sells leg1 and buys leg2
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A 13 Ratio 1X3 has:
One Product
Two legs
For a call 1x3
Leg1 (buy leg) must be a call at a lower strike price for a quantity of one lot
Leg2 (sell leg) must be a call at a higher strike price for a quantity of three lots
For a put 1x3
Leg1 (buy leg) must be a put at a higher strike price for a quantity of one lot
Leg2 (sell leg) must be a put at a lower strike price for a quantity of three lots
Both legs must be the same expiration
For a call 1x3
For a put 1x3
Quantity/side ratio of the legs is +1:-3
Buying a Ratio 1x3 buys leg1 and sells leg2
Selling a Ratio 1x3 sells leg1 and buys leg2
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A Ratio 2x3 has:
One Product
Two legs
For a call 2x3
Leg1 (buy leg) must be a call at a lower strike price for a quantity of two lots
Leg2 (sell leg) must be a call at a higher strike price for a quantity of three lots
For a put 2x3
Leg1 (buy leg) must be a put at a higher strike price for a quantity of two lots
Leg2 (sell leg) must be a put at a lower strike price for a quantity of three lots
Both legs must be the same expirationFor a call 2x3
For a put 2x3
Quantity/side ratio of the legs is +2:-3
Buying a Ratio 2x3 buys leg1 and sells leg2
Selling a Ratio 2x3 sells leg1 and buys leg2
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Instrument Symbol = UD:1V: 23 0806947512
Leg1 = +2 ESU8 P2800
Leg2 = -3 ESU8 P2725
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The differential of the legs must be a tradeable tick for the new combined instrument. In the event that it is not, orders using the price will be rejected. This spread can trade to a minimum price of zero. This spread can also trade at a negative price. |
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Instrument Symbol = UD:1N: GD 1114915128
Globex identifies the following components as the first Average Priced Strip:
+1 LOF9 P5800
+1 LOG9 P5800
+1 LOH9 P5800
Globex identifies the following components as the second Average Priced Strip:
- 1 LOF9 P5000
- 1 LOG9 P5000
- 1 LOH9 P5000
Globex identifies the following components as the second Average Priced Strip:
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If all Average Priced Strip components in the Average Priced Strip Combination are buys, the instrument can only trade at a positive price. If at least one component of the Average Priced Strips is comprised of sell components, the resulting Average Priced Strip Combination can trade at a positive, negative, or zero price. |
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Leg1 has Fair Market Price of = 321
Leg2 has Fair Market Price of = 420
Leg3 has Fair Market Price of = 451
The first recognized Average Priced Strip price is = (321+420+451)/3 = 397.3 or 397 after rounding
Leg4 has Fair Market Price of = 72
Leg5 has Fair Market Price of = 131
Leg6 has Fair Market Price of = 181
The second recognized Average Priced Strip price is = (72+131+181)/3 = 128
Spread Fair Market Price = 397 – 128 = 269
Spread Trade Price - Fair Market Price = 275 – 269 = 6
There are 6 ticks to distribute between two recognized Average Priced Strips
The adjustments are applied as follows:
First Average Priced Strip = 397 + 3 = 400
Leg’s Legs 1, 2, and 3 are each assigned a price of 400
Second Average Priced Strip = 128 – 3 = 125
Leg’s Legs 4, 5, and 6 are each assigned a price of 125
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A 3-Way has:
One Product
Three legs
For a call 3-Way
Leg1 (buy leg) must be a call
Leg2 (sell leg) must be a call at a higher strike price than leg1
Leg3 (sell leg) must be a put at a lower strike price than leg1
For a put 3-Way
Leg1 (buy leg) must be a put
Leg2 (sell leg) must be a put at a lower strike price than leg1
Leg3 (sell leg) must be a call at a higher strike price than leg1
All legs must be the same expiration
For a call 3-Way
For a put 3-WayQuantity/side ratio of the legs is +1:-1:-1
Buying a 3-Way buys leg1, sells leg2, sells leg3
Selling a 3-Way sells leg1, buys leg2, buysleg3buys leg3
Example
Instrument Symbol = UD:1V: 3W 1010948130
Leg1 = +1 ESZ8 P2800
Leg2 = -1 ESZ8 P2780
Leg3 = -1 ESZ8 C3000
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One Product
Three legs
Leg1 (buy leg) must be a call
Leg2 (buy leg) must be a put at same strike price as leg1
Leg3 (sell leg) must be a call at a different strike price than Legs 1 and 2
All legs must be the same expirationFor a call 3-Way Call Straddle
Quantity/side ratio of the legs is +1:+1:-1
Buying a 3-Way Call Straddle buys leg1, buys leg2, sells leg3
Selling a 3-Way Call Straddle sells leg1, sells leg2, buys leg3
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One Product
Three legs
Leg1 (buy leg) must be a call
Leg2 (buy leg) must be a put at same strike price as leg1
Leg3 (sell leg) must be a put at a different strike price than Legs 1 and 2
All legs must be the same expiration
For a put 3-Way Put Straddle
Quantity/side ratio of the legs is +1:+1:-1
Buying a 3-Way Put Straddle buys leg1, buys leg2, sells leg3
Selling a 3-Way Put Straddle sells leg1, sells leg2, buys leg3
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Leg1 has Fair Market Price of = 27
Leg2 has Fair Market Price of = 119
Leg3 has Fair Market Price of = 65
Leg4 has Fair Market Price of = 11
Spread Fair Market Price = 119 + 65 – (27 + 11) = 146
Spread Trade Price - Fair Market Price = 150 -146 = 4
There are 4 ticks to distribute
The adjustment is applied evenly as follows:
Leg1 = 27 – 1 = 26
Leg2 = 119 + 1 = 120
Leg3 = 65 + 1 = 66
Leg4 = 11 – 1 = 10
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The Spread Trade Price is the price or differential of the outright options or options spread legs
A CV Covered SA Strip follows the SA pricing rules
A CV Covered GD Strip Spread follows the GD pricing rules
Leg price assignment
If options leg(s) are a spread or combination, the Spread Trade Price is calculated following the defined spread rules
If options leg is an outright, the Spread Trade Price is assigned to the options leg
Multiply the Delta times the total number of traded options
Assign the futures quantity at the Futures Leg Price
Pricing Example
CV Covered trades 100 lots at 25
Leg1 is a 1 lot buy options outright
Leg2 is a 1 lot sell futures outright, Delta 47 and price 200,000
Outright options Leg1 is assigned Spread Trade Price of 25
Futures outright Leg2 sells 47 lots (Delta * traded options quantity) at defined price of 200,000.
EO Reduced Tick Options
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Two Products
Two legs
Both products must be of different NYMEX Energy Product Groups of unequal ticks
Leg1 (buy leg) must be an outright option with Globex Symbol beginning ON (ex. ONX8 C3150)
Leg2 (sell leg) must be an outright option with Globex Symbol beginning LNE (ex. LNEX8 C3150)
There are no requirements for option type, strike price, or expiration between the two legs
If both legs are calls or puts, the resulting instrument is a Spread
If one leg is a call and one leg is a put, the resulting instrument is a Combination
Quantity/side ratio of the legs is +1:-1
Buying a Reduced Tick Options Spread or Combination buys leg1 and sells leg2
Selling a Reduced Tick Options Spread or Combination sells leg1 and buys leg2
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For advanced information on UDS construction rules, see UDS - Validation and Messaging Rules.
CME FX Link (XF, YF)
CME FX Link is traded on CME Globex as the differential between CME FX Futures and OTC Spot FX, resulting in the simultaneous execution of FX Futures cleared by CME Group, and OTC Spot FX transactions subject to bilateral OTC relationships. The CME FX Link spreads consist of OTC FX Spot vs. each of the front three quarterly CME FX Futures. Three consecutive CME FX Link months are listed for eligible currency pairs. A new spread will be added two weeks prior to the last trade date of an expiring CME FX Future. The OTC FX Spot leg is only tradeable as part of the CME FX Link spread.
The spreads are traded as a differential between FX Futures and OTC spot, with both legs expressed in OTC quote convention. Therefore, the spread construction is either non-inverted or inverted, depending on whether the quoting convention of the related futures leg is inverted or non-inverted with respect to the typical OTC convention for that currency pair.
With a non-inverted CME FX Link Spread (XF):
The CME FX Future follows the same convention as the OTC market.
The buyer of the spread buys CME FX futures and sells OTC spot. The seller sells CME futures and buys OTC spot.
With an inverted CME FX Link Spread (YF):
The CME FX Future is inverted from the standard OTC convention.
The buyer of the spread sells CME FX futures and sells OTC spot. The seller buys CME futures and buys OTC spot.
Non-Inverted CME FX Link Spread (XF)
Construction: Buy1FXFutureExp1 Sell1FXOTCSpot
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The formula for spot rate for non-inverted and inverted spreads is outlined below. The FX Link spot leg is rounded based on the Security Definition minimum tick precision (tag 969-MinPriceIncrement), after the calculations below are performed. The trade date for FX Link is the market data trade date, not the clearing trade date. Tag 527-SecondaryExecID allows linking the spread summary fill notice with the leg fill notices to determine price information.
Pricing Formula
Non-Inverted (XF)
Spot Price = Future Price – Spread Price
Inverted (YF)
Spot Price = (1/ Futures Price) – Spread Price
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One product
Minimum of four legs
Maximum of 40 legs
Expiration of all the legs must be consecutive quarterly outright futures
Quantity/side ratio +1:+1:+1:+1:…+1
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Instrument Symbol = SR3: AB
Leg1 prior settlement price = xxxx
Leg2 prior settlement price = xxxx
Leg3 prior settlement price = xxxx
Leg4 prior settlement price = xxxx
Pricing:
The Averaged Price Bundle spread trade price is = (Leg1+Leg2+…LegN) / total number of legs
Leg price assignment:
Prior day settlement price will be rounded up to .50 tick
The difference between the total spread trade price (multiplying the trade price by the number of legs) and the sum of the spread prior days rounded settlement price is calculated:
[(Trade price * number of legs) – (Sum of the legs’ prior days rounded settlement price)]
The average differential from step 2 is applied to each leg’s prior days rounded settlement price
Legs may be adjusted to equal spread trade price
Any adjustment of the outright leg prices due to remainder will be assigned according to the Averaged Price Bundle leg pricing assignment rules. The remainder will be applied in .50 increments starting with most deferred leg.
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Leg Price Assignment
Leg2 is the anchor and assigned the most recent available price from the outright market
Leg1 is calculated in metric tons:
Leg1 ((Traded Spread + CBOT Soybean Price) * 36.74))
To convert Leg1 from metric tons to bushels:
Take calculated leg1 price in metric tons and divide by 36.74
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In a typical yield market, the bid is higher than the ask.
Inverted Book in a Typical Yield Market |
UB10:30 | Bid | Ask | UB10:30 | ||
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Level | Price Type | Price | Price | Price Type | Level |
1 | Yield | -43.750 | -43.751 | Yield | 1 |
Leg Quantity Ratios
Curve Ratio (RV) spreads will support quantity ratios to keep approximate DV01 neutrality. The Curve Ratio (RV) spread leg ratios are static at the instrument level and dynamic at the product level based on spread construction. The ratios can be different for different spread instruments. The quantity ratio of legs is defined in the repeating group of the Curve Ratio (RV) spread MDP3 Security Definition (tag 35-MsgType=d) message in tags 623-LegRatioQty and tag 624-Side for the leg ratio.
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2 products
2 legs
Maturity 1 shall be the shorter tenor
Maturity 2 shall be the longer tenor
Quantity/side ratio of +n:-n
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Quantity Side RatiosQuantity/side ratio of +n:-n -Ratios are static and predetermined based on spread construction. |
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Leg1 has Fair Market Price of = 25210
25210 - 2583 = 22627
Rounded to nearest 1000 - point increment = 23000
Leg1 = 23000 + 2583 = 25583
Leg2 is calculated rounded to the nearest 1 cent
23000 * 3.129 = 71967
Resulting legs:
Leg1 Buy 3 lots of HOZ3 at 25583
Leg2 Sell 4 lot of 7FZ3 at 71967
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To convert leg2 to gallons use leg2/3.129 |
RB Butterfly
SecuritySubType=RB
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The below example is for illustrative purposes only--using the Average Priced Bundle Packs as the butterfly legs.
Instrument Symbol = SR3:BB U3-U4-U5
Leg1 = SR3:AB 01Y U3
Leg2 = SR3:AB 01Y U4
Leg3 = SR3:AB 01Y U5
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Zero and at negative prices This spread can trade at zero and at negative prices. For more information regarding the component legs, see the details for FS Strip Spread, SB Balanced Strip Spread, AB Average Priced Bundle or SA Strip on this page. |
Pricing
The Balanced Strip Butterfly Trade Price is the differential of the strip legs = Leg1 - 2*Leg2 + Leg3
Leg Price Assignment
Leg1 and Leg2 are the anchor strip legs and assigned the most recent price
Leg3 is calculated:
Spread Trade Price - Leg1 + 2*Leg2
Pricing Example
The Balanced Strip Butterfly trades at -36
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Individual Leg Price Assignment Individual legs will be assigned prices according to FS Strip Spread, SB Balanced Strip Spread, AB Average Priced Bundle or SA Strip leg pricing rules. |