The rules apply to user-defined options spreads and combinations and user defined covered options spreads and combinations as described below.

To create a UDS security definition, there are two levels of validation:

1. Message validation - proposed UDS instrument is validly constructed.

2. Market State - market state allows creation of the UDS.

Message Validation

Security Definition Request or Message validation occurs at both the Session Layer and Business Layer.

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CME Globex validates all required tags; the message is rejected if a required tag:

• is not included

• is empty

• contains spaces

• exceeds the character limit

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The following restrictions apply to all options spreads and combinations—CME Globex will reject an iLink Security Definition Request (tag 35-MsgType=c) message that:

• Defines the same option instrument as both a Buy and a Sell; all instances of the given option must have the same side.

• Duplicates another user-defined options spread or combination.

• Defines a leg ratio in other than the lowest ratio terms. For example, a Security Definition Request message for a Butterfly spread must be submitted with tag 623-LegRatioQty defined in each respective repeating group as 1:2:1.

• Exceeds a total of 40 instruments as follows:

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• A user-defined exchange recognized Call Butterfly counts as three instruments toward the forty instrument limit.

• Covereds can have up to 39 futures legs.

Spread GTD Validation

For a UDS, a GTD order qualifier for an iLink New Order (tag 35-MsgType=D) or a Order Cancel/Replace Request (tag 35-MsgType=G) message cannot have a date later than the earliest expiring leg of the spread or combination.

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Covered Butterfly Spread UD:U$:CBO 0306123410 consists of:

• Leg 1 GE:BOU9 C958 963

• Leg 2 GEU9

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The following example shows the repeating group tags and sample values required to define a Covered outright option.

Covered Spread Example - Repeating Group Tags and Sample Values

The following example shows the repeating group tags and sample values required to define a Covered options spread.

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The iLink iLink 2 Security Definition Request message is accepted during the Pre-Open, No-Cancel, and Open market states only.

Options instruments defined in the iLink Security Definition Request (tag 35-MsgType=c) message are tradable only during the Open market state for that option instrument and instrument group.

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A proposed Covered instrument must adhere to the following rules:

• When the options instrument is a spread or combination and the instrument has only one expiration, then only one Covering future is accepted.

• When the options instrument is a spread or combination in which the options deliver into two or more different futures, then the customer can submit one covering future or two different covering futures.

• No covering future may be specified in the iLink Security Definition Request more than once.

• The message can contain up to 39 futures repeating groups.

In cases when an iLink message is submitted with erroneous content or structure, the CME Globex platform will reject the message with a iLink 2 Business Level Reject message. In such an instance, tag 380-BusinessRejectReason will contain the reason for the rejection.

Security Definition Acknowledgment

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The repeating groups in the Security Definition message are arranged in the following order:

1. Outright option or options spread or combination

2. Future (earlier expiration)

3. Future (latest expiration – when applicable)

Covered UDS Trade Notification

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