This topic describes the spread and combination instrument types available on the CME Globex This topic describes the spread and combination instrument types available on the CME Globex platform.
A spread or combination instrument represents the simultaneous purchase and/or sale of two or more different but related instruments (legs), depending upon spread definition.
| Info |
|---|
All multilegged instruments are technically defined as 'Combinations' in CME Group reference data services, and are commonly referred to as Spreads. |
This table shows available exchange-recognized spread and combination types available on CME Globex.
BF Butterfly
SecuritySubType=BF
...
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
...
- Leg2= anchor price of 2653
- Leg1= 2653 +3.00 = 2656
MS BMD Strip
SecuritySubType=MS
...
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.
...
- 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
...
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
...
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
- To convert Leg1 from metric tons to bushels:
- Leg1 ((Traded Spread + CBOT Soybean Price) * 36.74))
...
- Leg1 has Fair Market Price of = 25210
- 25210 - 2583 = 22627
- Rounded to nearest 1000 - point increment = 23000
- Leg1 = 23000 + 2583 = 25583
- 25210 - 2583 = 22627
- 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 | ||
|---|---|---|
| ||
To convert leg2 to gallons use leg2/3.129 |
RB Butterfly
SecuritySubType=RB
...
| 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.
The Balanced Strip Butterfly spread will represent a differential spread composed of three legs having equidistant expirations—the near and deferred expirations of a Balanced Strip Butterfly on one side of the spread and twice the quantity of the middle expirations of a pack on the other side (1:2:1). The Balanced Strip Butterfly is aka a "spread of spreads".
A Balanced Strip Butterfly has:
- One Product
- Three legs
- Quantity/side ratio of the legs is +1:-2:+1
- Expiration of all legs must be different and symmetric
- Legs must be either FS Strip Spread, SB Balanced Strip Spread, AB Average Priced Bundle or SA Strip
- Buying a Balanced Strip Butterfly buys leg1, sells 2 * leg2, buys leg3
- Selling a Balanced Strip Butterfly sells leg1, buys 2 * leg2, sells leg3
Example
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
| Info |
|---|
Zero and at negative prices This spread can trade at zero and at negative prices. For more information regarding the component legs, see Spreads and Combinations Available on CME Globex regarding FS Strip Spread, SB Balanced Strip Spread, AB Average Priced Bundle or SA Strip. |
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
- Leg1 = 9466
- Leg2 = 9557
- Leg3 = -36 - 9466 + 19114
- Leg3= 9612
| Info |
|---|
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 in the Spreads and Combinations Available on CME Globex. |