This topic describes the spread and combination instrument types available on the CME Globex platform.
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- Leg1 = +1 SR1M4
- Leg2 = -3 SR1U4
- Leg3 = +3 SR1Z4
- Leg4 = -1 SR1H0
- Buying aof Double Butterfly buys leg1, sells three of leg2, buys three off of leg3, sells leg4
- Selling aof Double Butterfly sells leg1, buys three of leg2, sells three off of leg3, buys leg4
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| This spread can trade at zero and at a negative price. |
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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
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- Two different products
- Two legs
- Leg1 is the buy leg
- Leg2 is the sell leg
- Quantity/side ratio of the legs is +1:-1
- Buying an Intera Inter-Commodity spread buys leg1 and sells leg2
- Selling an Intera Inter-Commodity spread sells leg1 and buys leg2
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- Two Products
- Four legs
- Leg1 (buy leg) is first leg of the first inter commodity calendar spread of near expiration
- Leg2 (sell leg) is second leg of first the inter commodity calendar spread with the same expiration as leg1
- Leg3 (sell leg) is first leg of the second inter commodity calendar spread of deferred expiration
- Leg4 (buy leg) is second leg of second inter commodity calendar spread with the same expiration as leg3
- Quantity/side ratio of the legs is +1:-1:-1:+1
- Buying ana Inter-Commodity Spread buys leg1 , sells leg2, sells leg3, buys leg4
- Selling ana Inter-Commodity Spread sells leg1, buys leg2, buys leg3, sells leg4
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- Leg2= anchor price of 2653
- Leg1= 2653 +3.00 = 2656
MS BMD Strip
SecuritySubType=MS
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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.
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- 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
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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
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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))
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- 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
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To convert leg2 to gallons use leg2/3.129 |
RB Butterfly
SecuritySubType=RB
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