CBOT Treasury Futures Tail Spreads

The Treasury Tail UDS has a 1:1 calendar spread as leg 1 and a single future for leg 2. Leg 2 must be one of the 1:1 calendar spread's legs (i.e., if Leg 1 is ZFZ5-ZFH6, then Leg 2 must be either ZFZ5 or ZFH6).

The side of the outright leg must match the 1:1 calendar spread; Leg 2 must be on the buy side if it is the same as the front month of the calendar and on the sell side if it's the deferred month. Leg 1's price and quantity must be based on the order entry values and leg 2's quantity will be calculated at the time of match by multiplying the order quantity by the tail delta and applying the price associated with the contract as supplied by the customer at strategy creation.

Tail spreads utilize the Covered repeating group to define leg 2's quantity at execution and use Strategy Code tag 762=TL in MDP 3.0 messaging.

A TL spread expires at the close on day of creation in the same manner as a Covered. Good till Cancel (GTC) and Good till Date (GTD) orders will be rejected.

• Spread construct: Buy 1 ZFZ5-ZFH6, Buy 0.2 ZFZ5 at price 118.078125
• Security Definition Request and Security Definition messages
  • 762=COMBO
  • Leg 1
    • 620=ZFZ5-ZFH6
  • Leg 2
    • 620=ZFZ5
    • 566=118.078125
    • 1017=0.2