Page Comparison

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• 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

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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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For advanced information on UDS construction rules, see UDS - Validation and Messaging Rules.

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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.

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• 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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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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• 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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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

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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