| Anchor | ||||
|---|---|---|---|---|
|
...
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).
...
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
...
Leg2 prior day settle is 39905
Leg1 is calculated
39905 + 10
Leg1 = 39915
Leg1 = Leg2 + Trade Price of the spread
SD Calendar
SecuritySubType = SD
...
Leg2 = 14960
Leg1 is calculated
14960 + 10
Leg1 = 14970
Leg1 = Leg2 + Trade Price
EC Calendar
SecuritySubType = EC
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
For these spreads, there is no possibility of Unequal Distribution of Prices.
SB Balanced Strip
SecuritySubType=SB
...
| Info |
|---|
Individual legs will be assigned prices according to FS Strip, SA Strip or AB Average Priced Bundle leg pricing rules. |
SR Strip
SecuritySubType=SR
...
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
...
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
...
Differential applied to Leg2:
Leg1 = 21200
Leg2 = 21170
XS Inter-Commodity Strip
SecuritySubType=XS
...
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
...
Leg2 has the most recent trade at 129290
Leg1 is calculated:
Leg1 = Leg2 + Trade Price
129290 + 50
Leg1 = 130020
IV Implied Intercommodity
...
Please see Implied Intercommodity Ratio Spreads for examples.
SI Soy Crush
Spread type = SI
...
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
...
Leg1 = 4 - 1 = 3
Leg2 = anchor price of 1, therefore this is automatically assigned
IP Inter-Commodity
SecuritySubType = IP
...
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
...
Leg2= anchor price of 2653
Leg1= 2653 +3.00 = 2656
MS BMD Strip
SecuritySubType=MS
...
Sell 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate
IN Invoice Swap
SecuritySubType=IN
...
Sell 1 June 2014 2-Year Treasury Invoice Swap Spread, Sell 1 June Treasury Future
SC Invoice Swap Calendar
SecuritySubType=SC
...
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.
...
Sell 1 March 2015 10Y IN and buy 1 March 2015 2Y IN
TL Tail
SecuritySubType=TL
...
Sell 1 ZFZ5-ZFH6, Sell 0.2 ZFZ6 at price 118.078125
EF Inter-Exchange Reduced Tick Ratio
...
(98.9750 + 98.9100) / 2 = 98.9425 - 98.8000 = 0.1425
HO Calendar Horizontal
SecuritySubType=HO
...
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
...
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
...
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
...
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
...
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.
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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 Trade Price is = Leg1 – Leg2
GD Average Priced Strip Combination
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
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
...
Leg2 Sell 1 lot of NNN2 at 2.6
RV Curve Ratio
SecuritySubType=RV
...
Leg2 Quanity = 5 * 10 = 50
TB Gasoil Crack
SecuritySubType=TB
...
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
...
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 |
|---|
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 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 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
...
| 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. |