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All multilegged instruments are technically defined as 'Combinations' in CME Group reference data services, and are commonly referred to as spreads. |
Table of Instrument Types
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Instrument Type
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BF |
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BO |
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DF |
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SP |
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EQ |
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FX |
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SD |
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EC |
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CF |
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CO |
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C1 |
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PK |
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RT |
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FS |
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SA |
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SB |
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SR |
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WS |
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IS |
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XS |
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DI |
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IV |
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BC |
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IP |
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RI |
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EO |
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SI |
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MS |
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IN |
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SC |
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SW |
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TL |
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EF |
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HO |
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DG |
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ST |
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SG |
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VT |
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BX |
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CC |
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DB |
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HS |
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IC |
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12 |
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13 |
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23 |
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RR |
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GD |
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XT |
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3W |
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3C |
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3P |
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IB |
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JR |
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GT |
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CV |
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GN |
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XF |
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YF |
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SS |
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AB |
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BT |
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AE |
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RV |
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TB |
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TG |
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RB |
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BB |
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BF Butterfly
SecuritySubType=BF
A Butterfly 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 expiration of a product on the other side (1:2:1).
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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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Leg1 = 9814
Leg2 has a Fair Market Price of = 9870
Leg3 = ((Trade Price) – leg1 + (2 * leg2))
Leg3 = 9939.5
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.
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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
DF Double Butterfly
SecuritySubType = DF
A Double Butterfly is composed of two different Butterfly spreads with the nearest Butterfly expiration purchased (sold) and the furthest Butterfly expiration sold (purchased). The spacing of expirations in both Butterfly spreads needs to be identical, i.e. both need to be “three month” Butterflies. This causes the actual construction of the Double Fly to look like this:
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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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SecuritySubType=SP, EQ, FX, SD, EC
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Leg2 = anchor price of 2558, therefore this is automatically assigned
Leg1 = 2558 + (-105) or Leg1 – 105 = 2453
EQ Calendar
This Calendar Spread 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 Calendar Spread is a differential between the two expirations (deferred minus nearby).
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Leg2 has a lower limit price of 2967.95
Leg1 = Leg2 – spread trade price
2967.95 – 80.65
Leg2 = 2887.30
FX Deferred Calendar
SecuritySubType = FX
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Leg2 prior day settle is 39905
Leg1 is calculated
39905 + 10
Leg1 = 39915
Leg1 = Leg2 + Trade Price of the spread
SD Calendar
SecuritySubType = SD
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Leg2 = 14960
Leg1 is calculated
14960 + 10
Leg1 = 14970
Leg1 = Leg2 + Trade Price
EC Calendar
SecuritySubType = EC
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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
CF Condor
SecuritySubType=CF
A Condor is a differential futures spread composed of one product with four different expirations. Buying (selling) a Condor buys (sells) the nearest and most deferred expirations while simultaneously selling (buying) the middle two expirations.
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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
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.
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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
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.
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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
PK Pack
SecuritySubType=PK
The Pack 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 Pack is an average net differential between the current market price of the legs and the prior day settlement price of the legs.
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Obtain trade price of Pack
Price obtained is the differential for all legs, averaged
Integer portion of the Pack trade price is applied to all legs initially
If the Pack 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 5 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 Pack.
The following method calculates the number of legs of the Pack that will not have any further adjustment to their prices.
If the traded 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 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 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.
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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 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 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 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
RT Reduced Tick
SecuritySubType=RT
The Reduced Tick Calendar Spread 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 RT will have a smaller tick than their corresponding outright legs.
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Leg2 = anchor price of 129310
Leg1 = 129310 + 1040 = 130350
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
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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
SA Average Price Strip
SecuritySubType=SA
The Average Price Strip is a CME recognized future or options spread type involving the simultaneous purchase (sale) of multiple related legs priced as the average of all included legs. Customers trading this product will receive legs priced at the Average Price Strip spread traded price.
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For these spreads, there is no possibility of Unequal Distribution of Prices.
SB Balanced Strip
SecuritySubType=SB
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.
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Individual legs will be assigned prices according to FS Strip, SA Strip or AB Average Priced Bundle leg pricing rules. |
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.
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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
WS Unbalanced Strip
SecuritySubType=WS
The Unbalanced Strip is a futures spread 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).
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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
IS Inter-Commodity Futures
SecuritySubType=IS
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.
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Differential applied to Leg2:
Leg1 = 21200
Leg2 = 21170
XS Inter-Commodity Strip
SecuritySubType=XS
The Cross-Commodity Strip Spread is a futures spread 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 the same number of component parts (i.e. three consecutive futures contracts), and each Average Priced Strip must be of a different but related product (i.e. the first Average Priced Strip is WTI Crude while the second Average Priced Strip is Brent Last Day Financial Crude). After the first month of the strip from the first leg of the Cross-Commodity Strip Spread expires, the leg becomes a “balance of” spread. The balance of the Cross-Commodity Strip Spread will continue to Decemberay until only one expiration month remains.
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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
DI Inter-Commodity
SecuritySubType=DI
The DSF Inter-Commodity 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 term (i.e., both products will be five year notional instruments).
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Leg2 has the most recent trade at 129290
Leg1 is calculated:
Leg1 = Leg2 + Trade Price
129290 + 50
Leg1 = 130020
IV Implied Intercommodity
SecuritySubType=IV
The Implied Ratio Inter-Commodity 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).
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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 Implied Ratio Inter-Commodity Spread buys 5* leg1, sells 2* leg2
Selling an Implied Ratio Inter-Commodity Spread sells 2* leg1, buys 5* leg2
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This spread can trade at zero and at a negative price. |
Spread to Spread Trade Pricing
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Leg1 is calculated:
Leg1 price = Leg1 settle price+ spread price
Leg2 is anchor leg, and priced the prior day’s settlement price
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Please see Implied Intercommodity Ratio Spreads for examples.
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.
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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
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.
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Leg1 = 4 - 1 = 3
Leg2 = anchor price of 1, therefore this is automatically assigned
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.
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Leg1 = is calculated:
Spread Trade Price + Leg2 + Leg3 – Leg 4
Leg2 = most recent price update 7092
Leg3 = most recent price update 6834
Leg4 = 7038
Reduced Tick Inter-Commodity Spread
SecuritySubType = RI
The Reduced Tick Inter Commodity is a futures spread involving the simultaneous purchase (sale) of two products with a corresponding sale (purchase) of a second related product. Spreads with SecuritySubType RI will have a smaller tick than their corresponding outright legs.
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Determine the anchor leg of the Reduced Tick Inter Commodity
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
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If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. |
Pricing Examples
Leg1 is the anchor leg
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Leg2= anchor price of 2653
Leg1= 2653 +3.00 = 2656
MS BMD Strip
SecuritySubType=MS
The BMD futures strip consists of multiples of four consecutive, quarterly expirations of a single product with the legs having a +1:+1:+1:+1 ratio. A 1-year strip, for example, consists of an equal number of futures contracts for each of the four consecutive quarters nearest to expiration.
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Sell 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate
IN Invoice Swap
SecuritySubType=IN
An Invoice Swap is an Inter-commodity spread trade consisting of a long (short) Treasury futures contract and a long (short) non-tradeable Interest Rate Swap (IRS).
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Sell 1 June 2014 2-Year Treasury Invoice Swap Spread, Sell 1 June Treasury Future
SC Invoice Swap Calendar
SecuritySubType=SC
An Invoice Swap calendar spread lists invoice swaps of the same tenor with consecutive quarters (e.g., 2 yr December 2015 vs. 2 yr March 2016) as two legs.
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Sell 1March 2016 5Y IN and buy 1 December 2015 5Y IN
SW Invoice Swap Switch
SecuritySubType=SW
A Treasury Invoice Swaps Switch Spread lists invoice swaps of the same contract month with different tenors with consecutive quarters (e.g., 2 yr March 2015 vs. 10 yr March 2015) as two legs.
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Sell 1 March 2015 10Y IN and buy 1 March 2015 2Y IN
TL Tail
SecuritySubType=TL
The Treasury Tail User Defined Spread has a 1:1 calendar spread as leg 1 and a single future for leg 2. Leg 2 must be one of the 1:1 calendar spread legs (i.e., if Leg 1 is ZFZ5-ZFH6, then Leg 2 must be either ZFZ5 or ZFH6). The side of the outright leg must match the 1:1 calendar spread; Leg 2 must be on the buy side if it is the same as the front month of the calendar and on the sell side if it is the deferred month.
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Sell 1 ZFZ5-ZFH6, Sell 0.2 ZFZ6 at price 118.078125
EF Inter-Exchange Reduced Tick Ratio
SecuritySubType=EF
The EF strategy type involves trading 90-day short term interest rates in a single package across commodities or exchanges.
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(98.9750 + 98.9100) / 2 = 98.9425 - 98.8000 = 0.1425
HO Calendar Horizontal
SecuritySubType=HO
The Horizontal is an options spread involving the simultaneous purchase (sale) of buying a call (put) in a deferred expiration and selling a call (put) of the same strike in an earlier expiration
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Leg1 has Fair Market Price of 130
Leg2 has Fair Market Price of 120
Spread Trade Price - Fair Market Price = 15 – 10 = 5
There are 5 ticks to distribute
Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
Leg1 = 130 + 3 = 133
Leg2 = 120 - 2 = 118
133 - 118 = 15
DG Calendar Diagonal
SecuritySubType=DG
The Diagonal is an option spread involving the simultaneous purchase (sale) of a call (put) in a deferred expiration and a sale (purchase) of a call (put) in an earlier expiration.
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Leg1 has Fair Market Price of 850
Leg2 has Fair Market Price of 130
Spread Fair Market Price = 850-130 = 720
Spread Trade Price – Fair Market Price = 825 – 720 = 105
There are 21 ticks to distribute
Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg2:
Diagonal Leg1 = 850 + 50 = 900
Diagonal Leg2 = 130 – 55 = 75
ST Straddle
SecuritySubType=ST
The Straddle is an options combination involving the simultaneous purchase (sale) of both a call and put of the same strike and expiration.
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Leg1 has Fair Market Price of 119
Leg2 has Fair Market Price of 8.5
Spread Fair Market Price 119 + 8.5 = 127.5
Spread Trade Price - Fair Market Price = .5
There is .5 tick to distribute.
Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
Leg1 = 119 + .5 = 119.5
Leg2 = 8.5+ 0 = 8.5
SG Strangle
SecuritySubType=SG
The Strangle is an options combination involving the simultaneous purchase (sale) of buying a put at a lower strike price and buying the call at a higher strike price of the same instrument and expiration.
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Strangle Leg1 has Fair Market Price of 9.5
Strangle Leg2 has Fair Market Price of 11.5
Spread Fair Market Price 9.0 + 11 = 21
Strangle Trade Price – Fair Market Price = 4.5
There are 4.5 ticks to distribute.
Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
Strangle Leg1 = 12.0
Strangle Leg2 = 13.5
VT Vertical
SecuritySubType=VT
The Vertical is an options spread involving the simultaneous purchase (sale) of buying a call (put) at one strike price and selling a call (put) at a different strike price within the same expiration.
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Leg1 has Fair Market Price of 9
Leg2 has Fair Market Price of 5
Spread Fair Market Price = 9 – 5 = 4
Spread Trade Price - Fair Market Price = 4.5 – 4= 0.5
There are .5 ticks to distribute.
Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
Leg1 = 9.25
Leg2 = 4.75
BX Box
SecuritySubType=BX
A Box is an options combination involving buying a call and selling a put at the same lower strike combined with buying a put and selling a call at the same higher strike within the same instrument and expiration. A Box is therefore composed of four outright options with restrictions on the buys, sells, puts, calls, and strikes allowed. The Box can also be understood as a buy of a call vertical and a buy of a put vertical in one instrument with consistent strikes between the two verticals.
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Leg1 has Fair Market Price of = 24775
Leg2 has Fair Market Price of = 3175
Leg3 has Fair Market Price of = 14950
Leg4 has Fair Market Price of = 1750
Spread Fair Trade Price = 24775 + 14950 – (3175 + 1750) = 34800
Spread Trade Price - Fair Market Price = 34775 – 34800 = 25
There is 1 tick to distribute
UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
Leg1 = 24775 – 25 = 24750
Leg2 = 3175
Leg3 = 14950
Leg4 = 1750
CC Conditional Curve
SecuritySubType=CC
A Conditional Curve is an options spread unique to CME SOFR options. A Conditional Curve involves the simultaneous purchase (sale) of a SOFR option and the sale (purchase) of a second SOFR option. Both options must be either calls or puts, within the same expiration, and must have different underlying futures.
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Leg1 has Fair Market Price of = 7
Leg2 has Fair Market Price of = 7.5
Spread Fair Market Price = 7 – 7.5 = – 0.5
Spread Trade Price - Fair Market Price = 1.0 – (-0.5) = 1.5
There are 3 ticks to distribute.
The adjustment is applied evenly as follows:
Leg1 = 7 + 1 = 8
Leg2 = 7.5 – .5 = 7
DB Double
SecuritySubType=DB
The Double is an option spread involving the simultaneous purchase of two calls or two puts with the same expiration.
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Leg1 has Fair Market Price of = 3500
Leg2 has Fair Market Price of = 2900
Spread Fair Market Price = 6400
Spread Trade Price - Fair Market Price = 6475 – 6400 = 75
There are 3 ticks to distribute.
The adjustment is applied as follows:
Leg1 = 3500 + 50 = 3550
Leg2 = 2900 + 25 = 2925
HS Horizontal Straddle
SecuritySubType=HS
The Horizontal Straddle is an options combination involving the simultaneous purchase (sale) of a call and a put at an identical strike price in a deferred month, and also selling a call and a put at another identical strike price in a nearby month. More specifically, the Horizontal Straddle consist of buying a Straddle in a deferred month and selling a Straddle in a nearby month.
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Leg1 has Fair Market Price of = 8500
Leg2 has Fair Market Price of = 7275
Leg3 has Fair Market Price of = 5750
Leg4 has Fair Market Price of = 6325
Spread Fair Market Price = 3700
Spread Trade Price - Fair Market Price = 3875 – 3700 = 175
There are 7 ticks to distribute
The adjustment is applied as follows:
Leg1 = 8500 + 100 = 8600
Leg2 = 7275 + 25 = 7350
Leg3 = 5750 – 25 = 5725
Leg4 = 6325 – 25 = 6300
IC Iron Condor
SecuritySubType=IC
The Iron Condor is an options combination involving the simultaneous purchase (sale) of a vertical call spread and a vertical put spread where all legs must be of same expiration. The strike prices must range from lowest to highest in order of the legs. Due to this restriction, the first leg of the spread is the sell of a put.
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Leg1 has Fair Market Price of = 11
Leg2 has Fair Market Price of = 12
Leg3 has Fair Market Price of = 444
Leg4 has Fair Market Price of = 409
Spread Fair Market Price = 36
Spread Trade Price - Fair Market Price = 39 – 36 = 3
There are 3 ticks to distribute.
The adjustment is applied as follows:
Leg1 = 11
Leg2 = 12 + 3 = 15
Leg3 = 444
Leg4 = 409
12 Ratio 1x2
SecuritySubType=12
The Ratio 1x2 is an options spread involving the simultaneous purchase (sale) of one call (put) and the sale (purchase) of two calls (puts) at different strike prices and same expirations.
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Leg1 has Fair Market Price of = 46.5
Leg2 has Fair Market Price of = 10.5 * 2 = 21
Spread Fair Trade Price = 46.5 – (2*10.5) = 25.5
Spread Trade Price - Fair Market Price = 24.5 – 25.5 = -1
Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly
There is a total of 2 whole ticks to distribute, but a tick to the second leg counts double
Because of this, the whole adjustment applies to leg 1 only
Leg1 = 46.5 – 1 = 45.5
Leg2 = -21 / 2 = 10.5
45.5 – (10.5 * 2) = 24.5
13 Ratio 1x3
SecuritySubType=13
The Ratio 1X3 is an options spread involving the simultaneous purchase (sale) of buying one call (put) and selling three calls (puts) at different strike prices and same expirations.
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Leg1 has Fair Market Price of = 800
Leg2 has Fair Market Price of = 185
Spread Fair Market Price = 800 – (185*3) = 245
Spread Trade Price – Fair Market Price = 260 – 245 = 15
There are 3 ticks to distribute, a tick to the second leg counts triple
UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
Leg1 = 800 + 15 = 815
Leg2 = 185
815 – (185*3) = 260
23 Ratio 2x3
SecuritySubType=23
The Ratio 2x3 is an options spread involving the simultaneous purchase (sale) of two calls (puts) and sale (purchase) of three calls (puts) at different strike prices with the same expirations.
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Leg1 has Fair Market Price of = 2350
Leg2 has Fair Market Price of = 1275
Spread Fair Market Price = (2*2350) – (3*1275) = 875
Spread Trade Price - Fair Market Price = 925 – 875 = 50
There are 2 ticks to distribute, a tick to the first leg counts double and a tick to the second leg counts triple
UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1
The adjustment is applied as follows:
Leg1 = 2350 + 25 = 2375
Leg2 = 1275
(2375*2) – (1275*3) = 925
RR Risk Reversal
SecuritySubType=RR
The Risk Reversal is an options combination involving the simultaneous purchase (sale) of a call and sale(purchase) of a put with the same expirations. The strike price of the put must be lower or equal to the strike price of the call.
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The Risk Reversal Trade Price is = Leg1 – Leg2
GD Average Priced Strip Combination
SecuritySubType=GD
The Average Priced Strip Combination is an options spread or combination involving the simultaneous purchase or sale of more than one Average Priced Strips (SA).
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One Product
Leg components made up of Averaged Price Strips
Minimum of two legs if recursive
The first leg (SA) must be a buy
The second leg can be buy or sell
Minimum of four legs if non-recursive:
All legs must be buy side options
Two calls with consecutive expirations
Two puts with consecutive expirations
All legs must have the same strike price
Maximum of 26 legs
Buying the Average Priced Strip Combination buys all buy components and sells all sell components
Selling the Average Priced Strip Combination sells all buy components and buys all sell components
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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 = 5
There are 5 ticks to distribute between two recognized Average Priced Strips
The adjustments are applied as follows:
First Average Priced Strip = 397 + 3 = 400
Leg’s 1, 2, and 3 are each assigned a price of 400
Second Average Priced Strip = 128 – 2 = 126
Leg’s 4, 5, and 6 are each assigned a price of 126
XT Xmas Tree
SecuritySubType=XT
The Xmas Tree is an options spread involving the simultaneous purchase (sale) of buying a call (put), selling a call (put), and selling another call (put) of equidistant strike prices within the same expirations.
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Leg1 has Fair Market Price of = 90
Leg2 has Fair Market Price of = 45
Leg3 has Fair Market Price of =30
Spread Fair Market Price = 90 – 45 – 30 = 15
Spread Trade Price - Fair Market Price = 25 – 15 = 10
There are 2 ticks to distribute.
The adjustment is applied as follows:
Leg1 = 90 + 10 = 100
Leg2 = 45
Leg3 = 30
100 – 45 – 30 = 25
3W 3-Way
SecuritySubType=3W
The Call 3-Way is an options combination involving the simultaneous purchase (sale) of a call, the sale (purchase) of a second call, and the sale (purchase) of a put. Leg1’s strike price must be between Leg2’s higher strike price and Leg3’s lower strike price. All legs must have the same expiration. More specifically, the 3-Way combination is the simultaneous purchase of a vertical call spread and sale of a put against it.
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Leg1 has Fair Market Price of = 10200
Leg2 has Fair Market Price of = 9300
Leg3 has Fair Market Price of = 405
Spread Fair Market Price = 495
Spread Trade Price - Fair Market Price = 550 – 495 = 55
There are 11 ticks to distribute.
The adjustment is applied as follows:
Leg1 = 10200 + 25 = 10225
Leg2 = 9300 – 15 = 9285
Leg3 = 405 – 15 = 390
3C 3-Way Straddle versus Call
SecuritySubType=3C
The 3-Way Call Straddle is an options combination involving the simultaneous purchase (sale) of a call and a put at the same strike price, while selling an additional call at a different strike price. All legs must be of same expiration. More specifically, the 3-Way Call Straddle options combination is the simultaneous purchase (sale) of a Straddle and sale (purchase) of a call within the same expiration.
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Leg1 has Fair Market Price of = 1.5
Leg2 has Fair Market Price of = 19
Leg3 has Fair Market Price of = 1.5
Spread Fair Market Price = 1.5 + 19 - 1.5 = 19
Spread Trade Price - Fair Market Price = 21 – 19 = 2
There are 4 ticks to distribute.
The adjustment is applied evenly as follows:
Leg1 = 1.5 + 1 = 2.5
Leg2 = 19 + .5 = 19.5
Leg3 = 1.5 – .5 = 1
3P 3-Way Straddle versus Put
SecuritySubType=3P
The 3-Way Put Straddle is an options combination involving the simultaneous purchase (sale) of a call, and a put at the same strike price, while selling an additional put at a different strike price. All legs must be of the same expiration. The 3-Way Put Straddle options combination can be understood as the simultaneous purchase (sale) of a Straddle and sale (purchase) of a put within the same expiration.
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Leg1 has Fair Market Price of = 5
Leg2 has Fair Market Price of = 32
Leg3 has Fair Market Price of =13.5
Spread Fair Market Price = 23.5
Spread Trade Price - Fair Market Price = 24 – 23.5 =.5
There are 1 ticks to distribute.
The adjustment is applied evenly as follows:
Leg1 = 5 + .5 = 5.5
Leg2 = 32
Leg3 = 13.5
IB Iron Butterfly
SecuritySubType=IB
The Iron Butterfly is an options combination involving the simultaneous sale (purchase) of a put, the purchase (sale) of a second put, the purchase (sale) of a call, and the sale (purchase) of a second call. All components must have the same expiration. The first leg of the Iron Butterfly must be a sell. Although the strikes are not required to be consecutive or equidistant, the middle strikes of the buy put and buy call must be identical. The Iron Butterfly can also be understood as the simultaneous sale (purchase) of a Strangle (SG) and the purchase (sale) of a Straddle (ST).
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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 = 149 – 146 = 3
There are 3 ticks to distribute
The adjustment is applied as follows:
Leg1 = 27
Leg2 = 119 + 3
Leg3 = 65
Leg4 = 11
JR Jelly Roll
SecuritySubType=JR
The Jelly Roll is an options combination involves the simultaneous sale (purchase) of call and purchase (sale) of a put at one strike price in a nearby expiration while also making a purchase (sale) of a call and sale (purchase) of a put at another strike price in a deferred expiration. There is no additional requirement for the strike prices. The Jelly Roll can be understood as the simultaneous sale of a nearby same strike Risk Reversal and purchase of a deferred same strike Risk Reversal. It is important to note that, with this combination, the first leg is a sell leg.
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Leg1 has Fair Market Price of = 8725
Leg2 has Fair Market Price of = 5975
Leg3 has Fair Market Price of = 16850
Leg4 has Fair Market Price of = 12525
Spread Fair Market Price = 1575
Spread Trade Price - Fair Market Price = 1650 – 1575 = 75
There are 3 ticks to distribute
The adjustment is applied evenly as follows:
Leg1 = 8725
Leg2 = 5975 + 75 = 6050
Leg3 = 16850
Leg4 = 12525
GT Guts
SecuritySubType=GT
The Guts is an options combination involving the simultaneous purchase (sale) of call and a put within the same expiration. Unlike a Straddle and Strangle, a Guts combination has the strike price of the put higher than the strike price of the call.
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Leg1 has Fair Market Price of = 450
Leg2 has Fair Market Price of = 423
Spread Fair Market Price = 873
Spread Trade Price - Fair Market Price = 884 – 873 = 11
There are 11 ticks to distribute
The adjustment is applied as follows:
Leg1 = 450 + 6 = 456
Leg2 = 423 + 5 = 428
CV Covered
SecuritySubType=CV
The CV Covered is the simultaneous purchase or sale of outright options or options spreads or combination with one or more outright futures; for example, buying call options and selling futures or selling put options and selling futures. The creator of the UDS is responsible for defining the direction, delta, price, and expiration of the futures leg(s). Covereds pricing and leg assignments follow the rules of the options leg; i.e., an outright options covered with a future is priced following the rules of the option leg and a VT Vertical covered with a future is priced following the rules of the VT Vertical. The CV Covered is identified with tag 762-SecuritySubType=CV:XX, where XX is either "FO" for an outright option or the options spread type (e.g., "GN", "VT"). CV Covered is available as an options-futures User-Defined Spread only.
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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
SecuritySubType=EO
The Reduced Tick Options Spread is an inter-commodity options spread which can also be constructed as a combination consisting of the simultaneous purchase(sale) of an American Style Natural Gas Option with the sale (purchase) of a European Style Natural Gas Option. There are no restrictions regarding option type, strike, or expiration for either leg.
Uniqueness and differences of the Reduced Tick Options Spread are highlighted in the table below:
Instrument | CME Globex Price example | CME Globex Settlement | CME Globex Tick Size | Notes |
|---|---|---|---|---|
ONX8 C3150 | 64 | 64 | 1 | Underlying product is NGX8, American Style option. |
LNEX8 C3150 | 630 | 633 | 10 | Underlying product is NGX8, European Style option.
|
Reduced Tick Options Spread UD:EO | 1 | .7 | .1 |
|
A Reduced Tick Options Spread has:
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Leg1 has Fair Market Price of = 64
Leg2 has Fair Market Price of = 630
Spread Fair Market Price = 64 – (630/10) = 1.0
Spread Trade Price - Fair Market Price = 2.9 – 1.0 = 1.9
There are 1.9 ticks to distribute.
The adjustment is applied as follows:
Leg1 = 64 + 1.9 = 65.9
Leg2 = 630
GN Generic
SecuritySubType=GN
If the spread or combination requested by the user is not identified as one of the CME Globex recognized spread types, but has a valid construction, the instrument will be created exactly as the user requested and designated in market data as 'GN' (generic).
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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.
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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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USD/CAD = T+1 business days, all other currency pairs are T+2 business days
Value date must be a valid day in both currencies’ calendars.
SS Straddle Strip
SecuritySubType=SS
The Straddle Strip is an options combination involving the simultaneous purchase (sale) of four consecutive quarterly Straddles at the same strike price.
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Leg1 has Fair Market Price of = 39.5
Leg2 has Fair Market Price of = 38
Leg3 has Fair Market Price of = 43
Leg4 has Fair Market Price of = 40
Leg5 has Fair Market Price of = 47.5
Leg6 has Fair Market Price of = 42.5
Leg7 has Fair Market Price of = 49.5
Leg8 has Fair Market Price of = 44
Spread Fair Market Price = 39.5 + 38 + 43 + 40 + 47.5 + 42.5 + 49.5 + 44 = 344
Spread Trade Price - Fair Market Price = 347.5 – 344 = 3.5
There are 7 ticks to distribute.
Leg Pricing Assignment rules applied – whole tick and remainder applied to leg1:
The adjustment is applied as follows:
Leg1 = 39.5 + 3.5 = 43
Leg2 = 38
Leg3 = 43
Leg4 = 40
Leg5 = 47.5
Leg6 = 42.5
Leg7 = 49.5
Leg8 = 44
AB Averaged Price Bundle
SecuritySubType=AB
The Averaged Price Bundle is a futures spread involving the simultaneous purchase (sale) of futures positions at the averaged price of the legs.
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Leg1 prior days rounded settlement price = 9706.0
Leg2 prior days rounded settlement price = 9705.5
Leg3 prior days rounded settlement price = 9703.5
Leg4 prior days rounded settlement price = 9702.5
Total spread trade price – sum of prior days rounded settlement price
38800.0 – 38817.5 = -17.5
Averaged Price Bundle remainder leg pricing assignment rules applied
Apply average differential to each leg
Apply remainder starting with most deferred leg
The legs are adjusted as follows:
Leg1 = 9702.0
Leg2 = 9701.0
Leg3 = 9699.0
Leg4 = 9698.0
BT South American Soybean - CBOT Soybean Inter-Commodity
SecuritySubType=BT
The BT spread is the simultaneous purchase (sale) of a South American Soybean FOB Santos Soybeans Financially Settled (Platts) futures contract and a CBOT Soybean futures.
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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 is calculated
Leg1 = ((15 + 1453.75) * 36.74))
Leg1 = 53961.875 metric ton
Leg1 = ((15 + 53961.875/36.74))
Leg1 = 1468.75 bushel
Leg2 = 1453.75
AE Fixed Price Ratio Inter-Commodity
SecuritySubType=AE
The AE spread is the simultaneous purchase(sale) of two contracts of different leg quantity ratios where the spread will trade at a fixed price ratio of 1:1.
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Assuming leg2 daily low limit is 2.6
Leg1 = 2.574
Leg2 is calculated:
Leg1 - Spread Trade Price
2.574 - 0.00025
Leg2 = 2.57375
Since leg2 is less than low limit, reset leg2 to daily low limit 2.6
Leg1 is calculated
Leg2 + Spread Trade Price
2.6 + 0.00025 = 2.60025
Leg1 Buy 8 lots of NGM2 at 2.60025
Leg2 Sell 1 lot of NNN2 at 2.6
RV Curve Ratio
SecuritySubType=RV
The Curve Ratio (RV) spread trades at a yield differential. The yield books will be inverted as in a typical yield market and the Curve Ratio (RV) spread quoted prices will be in basis points, represented in decimal notation (-43.750) of the yield as quoted in percentages: -.43750%. Although the spread is traded at a yield differential and quoted prices in decimal notation, the outright legs are quoted in conventional prices; this will require a price-to-yield and yield-to-price conversion for leg price assignments.
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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 | ||
|---|---|---|---|---|---|
Level | Price Type | Price | Price | Price Type | Level |
1 | Yield | -43.750 | -43.751 | Yield | 1 |
Leg Quantity Ratios
Curve Ratio (RV) spreads 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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Leg2 Quanity = 5 * 10 = 50
TB Gasoil Crack
SecuritySubType=TB
The Gasoil Crack spread is the differential spread involving the simultaneous purchase (sale) of a distilled product (e.g., Low Sulphur Gasoil) with a corresponding sale (purchase) of the raw product from which it was produced (e.g., Crude Oil). The Gasoil Crack spread will trade at a reduced tick (1) and is priced in terms of the raw product which necessitates a mathematical conversion of the distilled product's price.
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Leg2 has Fair Market Price of = 7778
7778 + 1121 = 8899
Rounded to nearest 20-point increment = 8900
8900 – 1121 = 7779
Leg1 is calculated using a mathematical conversion and rounded to the nearest 1 cent
8900 * 7.45 = 66305
Resulting legs:
Leg1 = Buy 4 lots of 7FV2 at 66305
Leg2 = Sell 3 lot of BZV2 at 7779
TG HOGO Inter-Commodity Ratio Futures
SecuritySubType=TG
The HOGO spread is the differential spread involving the simultaneous purchase (sale) a energy product (i.e., Heating Oil) with a corresponding sale (purchase) of a related energy product (i.e., Gas Oil).
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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
| Info |
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To convert leg2 to gallons use leg2/3.129 |
RB Butterfly
SecuritySubType=RB
The RB Butterfly is a 3-leg spread at a fixed ratio.
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RB Butterfly 3Y/5Y/7Y 2:8:5 trades 10 at 300 (the basis point notation of the yield as quoted in percentages: 3%). A ratio of 2:8:5 is being used as the leg price example.
Contract details:
Contract Type | Long Name | Ratio |
|---|---|---|
Spread | 3Y/5Y/7Y 2:8:5 | 2:8:5 |
Leg1 | 3 YEAR | 2 |
Leg2 | 5 YEAR | 8 |
Leg3 | 7 YEAR | 5 |
Leg2 = 99.0078125
Leg3 = 99.453125
Leg1 is calculated requiring a price to yield and yield to price conversion.
Example: Leg1 calculations:
Leg1 = Spread Trade Price + 2 * PtY(Leg2 Price) - PtY(Leg3 Price)
Trade Price of 300 converted to 3% percent for price conversion
3% + 2 * PtY(99.0078125) - PtY(99.453125)
3% + 2 * (3.4187995200941588)-(3.3284821616988167)
Trade Price of 3% converted to decimal for yield to price conversion
3.00 + 6.837599040188-3.3284821616988167
= 6.509116878489
Convert the calculated leg1 PtY back to YtP:
Leg1 = YtP(91.3209739126597500) (rounded to 91.32097391)
Example: Leg Quantity and Price Assignment
Execution Report Type | Quantity and Price |
|---|---|
Spread Fill | 10@300 (trade price) |
Leg1 Fill | 20@91.32097391 (calculated price) |
Leg2 Fill | 80@99.0078125 (anchor price) |
Leg3 Fill | 50@99.453125 (anchor price) |
Balanced Strip Butterfly
SecuritySubType=BB
The Balanced Strip Butterfly spread is identified by FIX tag 762-SecuritySubType=BB in the MDP3 security definition message; and strategyType=BB in the CME Reference Data API.
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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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| Info |
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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. |