A User Defined Spread (UDS) is a multi-legged instrument created by a client for trading on the CME Globex platform. The user submits a request proposing the attributes of the spread (e.g. legs, leg ratio, leg option delta, etc.) and CME Globex processes the request. If accepted, CME Globex disseminates the tradable instrument to the market.
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Since UDS instruments are user-defined and initially created from available outright instruments, a variety of spread spreads and combinations can combinations can be created and are classified according to their component instruments as described below.
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- Unrecognized UDS - Spread structure does not match the construction of any standard CME Globex spread type, disseminated as a Generic (GN) spread type.
- Recursive UDS - Spread having at least 1 leg that is a UDS. Only one level of recursion is allowed. UDS instruments constructed recursively can contain up to a maximum of 40 total outright instruments.
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For Futures UDS:
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- Covered UDS - Spread created by combining an outright option or options spread with up to 39 outright futures instruments, for a maximum of 40 instruments. Exchange-recognized spread types and unrecognized UDS can be used to construct a Covered spread, which is disseminated as a Covered (CV) spread type. A Covered spread is designed to be delta-neutral.
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- UDS futures are only supported for:
- TL spreads in CBOT treasury futures (ZT, Z3, ZF, ZN, ZU, ZB)
- GN, SB, WS, XS, SA, FS and SP spreads in Market Segments (tag 1300-MarketSegmentID) 78 and 80EXCEPT for the CL group, which does not support UDS
- Futures UDS cannot be implied.
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