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Implied options are available on demand for a configurable time interval during a market’s trading session. Implied functionality for options is triggered by an RFQ (customer-initiated or engine-generated) for that instrument, and implied matching is available for the duration of the time interval. 

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  • An instrument is implied eligible if the market data Security Definition message (tag 35-MsgType=d) contains tag 872-InstAttribValue bit 19-Implied Matching Eligible=1.
  • Recognized User Defined Spreads (UDS) are eligible for Options Implied Functionality if the market data Security Definition message (tag 35-MsgType=d) contains tag 872-InstAttribValue bit 19-Implied Matching Eligible=1.
  • Implied options are initiated by customers via Request for Quote (RFQs) for a time interval which is configurable, by the GCC, per product.
Noteinfo

Inter-commodity spreads will only be allowed to imply as long as both outrights are included within a single Product Group and the spread type is eligible for implied options.

Market and Instrument States

Implied ON/OFF Security Status messages (tag 35-MsgType = f) WILL NOT be sent for Implied Options.

Implied functionality will be indicated by the dissemination of Implied Book Messages (35=X, 269=E and F) for options outrights and options spreads and combinations.

Spread Leg Eligibility

Implied functionality can only be turned on if all instruments in the Product Group are in an OPEN state.

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  1. From the Security Definition data file, the client system obtains market data for the March 2023 SOFR 9562 Call and March 2023 SOFR 9575 Call outright options.
  2. The client system submits an iLink Order Entry Security Definition Request (35=c) message to create the UDS, with each outright option as a leg of the desired spread: Implied Vertical (VT) options spread UD:U$VT0606922873.
  3. CME Globex sends a market data Security Definition (35=d) message containing instrument attributes for the Vertical (VT) options spread UD:U$: VT0606922873 to market participants.
  4. CME Globex sends a Request for Quote (35=R) message indicating the creation of the implied Vertical (VT) options spread UD:U$: VT0606922873 to market participants.
  5. The waiting period timer begins.
    Note: The
    Info

    The waiting period timer may be set to 0 seconds.



  6. The waiting period timer ends.
  7. The implied timer begins.
  8. CME Globex sends Implied Book Updates (35=X, 269=E or F) to market participants.
  9. If orders are matched; Trades, Volume, Book Updates, Statistics, and Implied Book Updates are sent to client systems.
  10. When the implied timer ends, Implied Book Update Delete messages are sent to client systems to remove the implied orders from the implied books.

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  • Implied Off-tick Bids are rounded down.
  • Implied Off-tick Offers are rounded up.

Example: Implied Off-Tick Bid

  • Tick Size = 10
  • Price = 9705
  • Rounded down to 9700

Example: Implied Off-Tick Offer

  • Tick size = 25
  • Price = 9720
  • Rounded up to 9725

VTT Market Data

When trades take place using rounded implied prices, the following messages will be sent for market data and order entry acknowledgments.

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