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Implied quantity follows these basic rules in all markets: - Implication requires at minimum two orders in related markets in the proper combination.
- Implied bids do not trade against implied offers.
- Implied bids can exist at the same or inverted price levels with implied offers. When this occurs, CME Globex ceases dissemination of the implied bid; however, the bid is still calculated and can be traded against.
- Implied OUT quantity will not disseminate when the leg value of the included spread is in a ratio greater than one. The price and quantity are still calculated and can be traded against.
5. - Implied quantity in futures markets does not have time priority.
6. - Implied quantity is not available:
- When the market is not in a matching state (e.g. Pre-Open)
- When implied calculation has been suspended (e.g. CME Globex detects a trade occurring outside of limits as a result of implication)
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The examples below show how implied orders are constructed in one market based on orders in another.
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In this scenario, the Ask for 10 in September at 9500 and the Bid for 5 at 9450 in December create an implied Ask at 50 for 5 in the Sept-Dec spread order book.
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| macroId | fe3b1be4-466b-4216-84fe-e75cacd51bd0 |
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| displayName | ExampleA |
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| name | example1 |
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| pagePin | 9 |
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Example: Implied OUT Orders
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In this scenario, the Ask order in Sept-Dec spread for 5 at 50 (i.e., simultaneously sell 5 September contracts and buy 5 December contracts) and the Offer order in December for 5 at 9450 create an implied Ask order in the September order book for 5 at 9500.
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| Gliffy |
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| macroId | da47f48a-e1e8-4b4a-96c9-ed913d783c5a |
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| displayName | ExampleB |
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| name | ExampleB |
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| pagePin | 4 |
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Stop-Limit Orders for Implied-Eligible Instruments
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