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.

All multilegged instruments are technically defined as 'Combinations' in CME Group reference data services, and are commonly referred to as spreads.

Table of Instrument Types

This table shows the combination types supported on CME Globex.

Instrument Type

SecuritySubType

Futures

Options

Cash

Exchange Listed

User Defined

BF Butterfly

BF

(tick)

(tick)

BO Butterfly

BO

(tick)

(tick)

DF Double Butterfly

DF

(tick)

(tick)

SP Standard Calendar

SP

(tick)

(tick)

(tick)

EQ Calendar

EQ

(tick)

(tick)

FX Deferred Calendar

FX

(tick)

(tick)

SD Calendar

SD

(tick)

(tick)

EC Calendar

EC

(tick)

(tick)

CF Condor

CF

(tick)

(tick)

CO Condor

CO

(tick)

(tick)

C1 Crack One-One

C1

(tick)

(tick)

PK Pack

PK

(tick)

(tick)

RT Reduced Tick

RT

(tick)

(tick)

FS Strip

FS

(tick)

(tick)

(tick)

SA Average Price Strip

SA

(tick)

(tick)

(tick)

(tick)

SB Balanced Strip

SB

(tick)

(tick)

(tick)

SR Strip

SR

(tick)

(tick)

WS Unbalanced Strip

WS

(tick)

(tick)

(tick)

IS Inter-Commodity Futures 

IS

(tick)

(tick)

XS Inter-Commodity Strip

XS

(tick)

(tick)

(tick)

DI Inter-Commodity

DI

(tick)

(tick)

IV Implied Intercommodity

IV

(tick)

(tick)

BC Buy-Buy Inter-Commodity

BC

(tick)

(tick)

IP Inter-Commodity

IP

(tick)

(tick)

Reduced Tick Inter-Commodity Spread

RI

(tick)

(tick)

EO Reduced Tick Options

EO

(tick)

(tick)

SI Soy Crush

SI

(tick)

(tick)

MS BMD Strip

MS

(tick)

(tick)

IN Invoice Swap

IN

(tick)

(tick)

SC Invoice Swap Calendar

SC

(tick)

(tick)

SW Invoice Swap Switch

SW

(tick)

(tick)

TL Tail

TL

(tick)

(tick)

(tick)

EF Inter-Exchange Reduced Tick Ratio

EF

(tick)

(tick)

HO Calendar Horizontal

HO

(tick)

(tick)

DG Calendar Diagonal

DG

(tick)

(tick)

ST Straddle

ST

(tick)

(tick)

SG Strangle

SG

(tick)

(tick)

VT Vertical

VT

(tick)

(tick)

BX Box

BX

(tick)

(tick)

CC Conditional Curve

CC

(tick)

(tick)

DB Double

DB

(tick)

(tick)

HS Horizontal Straddle

HS

(tick)

(tick)

IC Iron Condor

IC

(tick)

(tick)

12 Ratio 1x2

12

(tick)

(tick)

13 Ratio 1x3

13

(tick)

(tick)

23 Ratio 2x3

23

(tick)

(tick)

RR Risk Reversal

RR

(tick)

(tick)

GD Average Priced Strip Combination

GD

(tick)

(tick)

XT Xmas Tree

XT

(tick)

(tick)

3W 3-Way

3W

(tick)

(tick)

3C 3-Way Straddle versus Call

3C

(tick)

(tick)

3P 3-Way Straddle versus Put

3P

(tick)

(tick)

IB Iron Butterfly

IB

(tick)

(tick)

JR Jelly Roll

JR

(tick)

(tick)

GT Guts

GT

(tick)

(tick)

CV Covered

CV

(tick)

(tick)

GN Generic

GN

(tick)

XF FX Link

XF

(tick)

(tick)

YF FX Link

YF

(tick)

(tick)

SS Straddle Strip

SS

(tick)

(tick)

AB Averaged Price Bundle

AB

(tick)

(tick)

BT South American Soybean - CBOT Soybean Inter-Commodity

BT

(tick)

(tick)

AE Fixed Price Ratio Inter-Commodity

AE

(tick)

(tick)

RV Curve Ratio

RV

(tick)

(tick)

TB Gasoil Crack 

TB

(tick)

(tick)

TG HOGO Inter-Commodity Ratio Futures

TG

(tick)

(tick)

RB Butterfly

RB

(tick)

(tick)

Balanced Strip Butterfly

BB

(tick)

(tick)

BF Butterfly

SecuritySubType=BF

A Butterfly is a differential spread composed of three legs having equidistant expirations—the near and deferred expirations of a product on one side of the spread, and twice the quantity of the middle expiration of a product on the other side (1:2:1).

A Butterfly has:

Example

Pricing

Leg Price Assignment

Pricing Example

 Butterfly trades at 13.5

Pricing Examples with Legs Calculated Outside of Daily Limits

Leg3 outside daily limit; leg3 reset to daily limit and leg 2 is recalculated

Butterfly trades at 13.5

Leg2 outside daily limit; leg2 reset to daily limit and leg1 recalculated

Butterfly trades at 13.5

Leg1 outside daily limit; leg1 is reset to daily limit and all legs are recalculated starting at leg3.

This process will continue for two rounds. If an on-tick price cannot be determined for the final leg (leg 1) after two attempts, the price stands. Customers can receive a non-settled price for the recalculated leg.

Leg1 outside daily limit; leg1 reset to daily limit and leg3 recalculated.

Butterfly trades at 13.5

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BO Butterfly

SecuritySubType=BO

The Butterfly is an options spread involving the simultaneous purchase (sale) of a call (put), the sale (purchase) of two calls (puts), and purchase (sale) of a call (put) at different equidistant strike prices with the same expirations.

A Butterfly has:

Example

The differential of the legs cannot be priced less than zero. Orders placed for at a price less than zero will be rejected. This spread cannot trade at a negative price.

Pricing

The BO Butterfly Trade Price is = leg1 – (2 * leg2) + leg3

Leg Price Assignment

Pricing Example – Equal Distribution

Butterfly trades at 57

Pricing Example – Unequal Distribution

Butterfly trades at 59

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DF Double Butterfly

SecuritySubType = DF

A Double Butterfly  is composed of two different Butterfly spreads with the nearest Butterfly expiration purchased (sold) and the furthest Butterfly expiration sold (purchased). The spacing of expirations in both Butterfly spreads needs to be identical, i.e. both need to be “three month” Butterflies. This causes the actual construction of the Double Fly to look like this:

Buy (sell) one of the nearest expiration, sell (buy) three of the second nearest expiration, buy (sell) three of the third nearest expiration, and sell (buy) one of the most deferred expiration.

A Double Butterfly has:

Example: Instrument Symbol = SR1:DF M9U9Z9H0

This spread can trade at zero and at a negative price.

Pricing

Leg Price Assignment

If leg1 recalculated price is outside the daily limit the price will stand.  Customers can receive a non-settled price for the recalculated leg.

Pricing Examples

Double Butterfly trades at 13.5

Pricing Example Legs Calculated Outside of Daily Limits

Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated

Double Butterfly trades at 13.5

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SecuritySubType=SP, EQ, FX, SD, EC

A Calendar spread consists of 2 instruments from a single product with different expiration months. There are variations in Calendar spreads based on the product. Each Calendar spread variation is designated through the use of a different spread type code.

Not all CME Group futures spread markets follow the convention where Buying the Spread indicates Buying the front expiration and selling the back expiration. The following markets use calendar spreads where Buying the Spread sells the front expiration month and buys the back expiration month:

  • CME FX

  • Equity

SP Standard Calendar

The Standard Calendar Spread is a futures spread involving the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration. The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of nearby expiration minus the deferred expiration.

A Standard Calendar Spread has:

Example

This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to CME Globex match engine price assignment. Member firms can designate a default way to handle price assignment to these legs in Clearing. As a result, it is possible to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).

Pricing

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.

In this example leg1 has the most recent price

Pricing Example

Standard Calendar Spread trades at -105

In this example leg2 has the most recent price

Pricing Example

 Standard Calendar Spread trades at -105

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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).

While the contract symbol convention for this spread lists the deferred leg second, buying this spread represents purchase of the second leg and sale of the first leg. This is different from other Calendar Spreads listed on CME Globex.

This Calendar Spread has:

Example

This Calendar Spread may have a smaller minimum tick than the outright futures legs or the same tick for both as the legs. This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to CME Globex match engine price assignment. Member firms can designate a default way to handle price assignment to these legs in Clearing. As a result, it is possible to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).

Pricing

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.

Pricing Examples

This Calendar Spread trades at 80.65

This Calendar Spread trades at 80.65

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FX Deferred Calendar

SecuritySubType = FX

The Deferred Calendar Spread is a futures spread involving the simultaneous purchase (sale) of one product with a deferred expiration and a sale (purchase) of the same product at a nearby expiration. The listing convention of this spread and its corresponding symbol is to have the further expiration listed first and the nearby expiration listed second, creating a differential spread price of deferred expiration price minus the nearby expiration price.

A Deferred Calendar Spread has:

Example

This spread can trade at zero and at a negative price.  In addition, the pricing mechanics explained below correspond to how the Globex Matching Engine assigns prices. 

Pricing

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.

In this example leg2 has prior day’s settlement price

Deferred Calendar Spread trades at 10

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SD Calendar

SecuritySubType = SD

This Calendar Spread is a futures spread involving the simultaneous purchase (sale) of one product with a deferred expiration and a sale (purchase) of the same product at a nearby expiration.  SecuritySubType  = SD is specific to FX Calendar spreads.  The listing convention of this spread and its corresponding symbol is to have the further expiration listed first and the nearby expiration listed second, creating a differential spread price of deferred expiration price minus the nearby expiration price.

This Calendar has:

Example

This Calendar may have a smaller minimum tick than the outright futures legs or the same tick for both as the legs. This spread can trade at zero and at a negative price.  In addition, the pricing mechanics explained below correspond to how the Globex Matching Engine assigns prices.  It is common for member firms to designate a default way of handling price assignment to these legs in Clearing.  As a result, it is common to have different leg prices assigned by Clearing that will not match the prices obtained from Globex.  This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).

Pricing

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. 

In this example leg1 has the most recent price

This Calendar trades at 10

In this example leg2 has the most recent price

This Calendar trades at 10

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EC Calendar

SecuritySubType = EC

The EC Calendar Spread is a calendar future spread involving the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration. The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of the nearby expiration minus the deferred expiration.

The EC Calendar strategy type currently supports TAS,TAM and BTIC calendar spreads.

EC Calendar Spread structure:

Example

Pricing

Leg Price Assignment

EC Calendar Spreads Leg Price Assignment

Trades executed in the EC Calendar spreads are at a to be determined price. The final leg prices are assigned by clearing.

The following examples are of the EC Calendar Spread, using the underlying TAS futures outright contract settlement prices:

 EC Calendar Spread traded price is 0

 EC Calendar Spread traded price is -2

 EC Calendar Spread traded price is 3

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CF Condor

SecuritySubType=CF

A Condor is a differential futures spread composed of one product with four different expirations. Buying (selling) a Condor buys (sells) the nearest and most deferred expirations while simultaneously selling (buying) the middle two expirations.

In its purest form, a Condor’s component expirations are equidistant and consecutive. On CME Globex, this is not the case with every listed Condor. As a result, the above definition represents what a customer may find as a listed Condor instrument on CME Globex.

A Condor has:

Example

This spread can trade at zero and at a negative price.

Pricing

Leg Price Assignment

  1. Last traded price

  2. Significant bid or offer that did not trade

  3. Settlement price

If leg3 has a recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.

Pricing Example

Condor trades at 13.5

Pricing Example  - Legs Calculated Outside of Daily Limits

Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated

Condor trades at 13.5

 Leg1 outside daily limit; leg1 reset to daily limit and leg2 recalculated

Condor trades at 13.5

 Leg2 outside daily limit; leg2 reset to daily limit and leg3 recalculated

Condor trades at 13.5

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CO Condor

SecuritySubType=CO

The Condor is an options spread involving the simultaneous purchase (sale) of a call (put), sale (purchase) of a second call (put), sale (purchase) of a third call (put), and purchase (sale) of a fourth call (put). All strike prices must be equidistant (i.e. the interval between the first and second strike must match the interval between the second and third strike, as well as between the third and fourth strike), and of the same expiration.

A Condor has:

Example

This spread can trade to a minimum price of zero.

Pricing

The Condor Trade Price is = [Leg1+Leg4] – [Leg2+Leg3]

Leg Price Assignment

Pricing Example – Equal Distribution

Condor trades at 150

Pricing Example – Unequal Distribution

Condor trades at 175

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C1 Crack One-One

SecuritySubType=C1

The Crack One-One is a futures differential spread involving the simultaneous purchase (sale) of a distilled product (i.e. Gasoline or Ultra Low Sulfur Diesel) with a corresponding sale (purchase) of the raw product from which it was produced (i.e. WTI Crude Oil).  The Crack One-One is priced in terms of the raw product which necessitates a mathematical conversion of the distilled product’s price.

A Crack One-One has:

Examples

This spread can trade at zero and at a negative price.

Pricing

Leg Price Assignment

Pricing Examples

Example: Leg1 as anchor leg

Crack One-One  trades at 2620

Example: Leg2 anchor Leg

Crack One-One  trades at 2620

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PK Pack

SecuritySubType=PK

The Pack is a futures spread involving the simultaneous purchase (sale) of a series four consecutive quarterly instruments (in year duration groups) within the same product.  The Pack is an average net differential between the current market price of the legs and the prior day settlement price of the legs.

A Pack has:

Example

This spread can trade at zero and at a negative price. 

Pricing

Leg Price Assignment

Examples

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RT Reduced Tick

SecuritySubType=RT

The Reduced Tick Calendar Spread is the simultaneous purchase (sale) of one product with a nearby expiration and a sale (purchase) of the same product at a deferred expiration.  The listing convention of this spread and its corresponding symbol is to have the nearby expiration first and the deferred expiration second, creating a differential spread of nearby expiration minus the deferred expiration.  Spreads with SecuritySubType RT will have a smaller tick than their corresponding outright legs.

A Reduced Tick Calendar Spread has:

Example

This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how the CME Globex match engine assigns prices. Member firms can designate a default method to handle price assignment to these legs in Clearing. As a result, it is possible to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).

Pricing

All prices below are in a fractional pricing format.

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.

Pricing Examples

Leg1 is the anchor leg

Reduced Tick Calendar Spread trades at 1040

Leg2 is the anchor leg

Reduced Tick Calendar Spread trades at 1040

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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:

Example

This spread cannot trade at zero and at a negative price. 

Pricing

Leg Price Assignment

 Pricing Example

 Strip trades at 13490

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SA Average Price Strip

SecuritySubType=SA

The Average Price Strip is a CME recognized future or options spread type involving the simultaneous purchase (sale) of multiple related legs priced as the average of all included legs. Customers trading this product will receive legs priced at the Average Price Strip spread traded price.

This pricing model is unique to this spread type. 

Spread types Average Price Strip (SA) and Futures Strip (FS) are not supported in the same market. 

An Average Price Strip has three different variations according to whether it is Exchange listed, a User Defined Instrument for futures, or a User Defined Spread for options:

Examples

The Average Price Strip cannot be priced below the lowest tick of an individual instrument. Orders submitted at a price less than this lowest tick will be rejected. For any single market, only FS or SA User-Defined Spreads will be recognized.

Pricing

The Average Price Strip Trade Price is = the average price of all included legs

Leg Price Assignment

The Spread Trade Price is assigned to each leg

Pricing Example – Futures Spread Equal Distribution

Average Price Strip (SA) trades at 1657

Pricing Example – Futures Spread Equal Distribution

Average Price Strip (GN) trades at 1657

For these spreads, there is no possibility of Unequal Distribution of Prices.

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SB Balanced Strip

SecuritySubType=SB

The SB Balanced Strip Spread is the simultaneous purchase or sale of futures strips at the differential price of the legs. SB is only available in futures markets in both Exchange-Defined and User-Defined spreads.

An SB Strip has

Pricing

Pricing Example

SB Balanced (SA) Strip Spread NG:SB 05M X6-X7 trades at 4

Individual legs will be assigned prices according to FS Strip, SA Strip or AB Average Priced Bundle leg pricing rules.

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SR Strip

SecuritySubType=SR

The Strip is an options spread involving the simultaneous purchase (sale) of a series of calls or puts at the same strike price comprised of four equidistant expirations.

A Strip has:

Example

The minimum tradeable price of a Strip is the sum of the minimum prices of the legs provided it results in a tradeable tick for the combination. Orders entered below this minimum price or at an untradeable tick will be rejected. This spread cannot trade zero or negative.

Pricing

The Strip Trade Price is = Leg1 + Leg2 + Leg3 + Leg4

Leg Price Assignment

Pricing Example – Equal Distribution

Strip trades at 206.5

Pricing Example – Unequal Distribution

Strip trades at 207.0

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WS Unbalanced Strip

SecuritySubType=WS

The Unbalanced Strip is a futures spread involving the simultaneous purchase (sale) of one Average Priced Strip (SA) against the sale (purchase) of a second Average Priced Strip (SA) with the same expiration. Each Averaged Priced Strip must contain a different number of component parts (i.e., two consecutive futures contracts versus three consecutive futures contracts), and each Average Priced Strip must be of the same intra-commodity product (i.e., the first Average Priced Strip is Henry Hub Natural Gas futures while the second Average Priced Strip Henry Hub Natural Gas futures).   

IMPORTANT!

Average Priced Strips trade as the average price of all components, and leg assignment to those components will be the price assigned to the Average Priced Strip.

An Unbalanced Strip has:

Example

This spread can trade at zero and at a negative price.  

Pricing

Leg Price Assignment 

Pricing Example

Unbalanced Strip Spread NG:WS X9-F0 trades at -325

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IS Inter-Commodity Futures 

SecuritySubType=IS

The Inter-Commodity is a futures spread involving the simultaneous purchase and sale of two instruments in different products with similar ticks. There can be variations in the leg pricing assignments in the Inter-Commodity futures spreads based on the components of the spread.

There are different methods for leg assignment depending on the products composing the Inter-commodity spread.

 A Inter-Commodity futures spread has:

Example

Pricing

The Inter-Commodity futures spread Trade Price is equal to Leg1-Leg2.

When a match occurs in an Inter-Commodity spread, the traded differential is applied to either Leg1 or Leg2 to arrive at the price of the other leg.

Nikkei Inter Commodity spread

Example

Leg Price Assignment

Pricing Example

Example1 – Leg1 as anchor leg  

Leg1 NKDU9 assigned Fair Market Price

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

Example2 – Leg1 as anchor leg  

Leg1 NKDU9 assigned Fair Market Price

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

                       = 21250-30

                       =21220

Differential applied to Leg2:

Example3 – Leg2 as anchor leg:           

Leg2 NIYU9 assigned Fair Market Price

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

                       = 30 + 21245

                       =21275

Differential applied to Leg1:

Example4 – Leg1 as anchor leg:           

Leg1 NKDU9 assigned Fair Market Price

Nikkei Inter-Commodity Spread -  NKDU9-NIYU9 trades at 30

                       = 21200 - 30

                       = 21170

Differential applied to Leg2:

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XS Inter-Commodity Strip

SecuritySubType=XS

The Cross-Commodity Strip Spread is a futures spread involving the simultaneous purchase (sale) of one Average Priced Strip (SA) against the sale (purchase) of a second Average Priced Strip (SA) with the same expiration. Each Averaged Priced Strip must contain the same number of component parts (i.e. three consecutive futures contracts), and each Average Priced Strip must be of a different but related product (i.e. the first Average Priced Strip is WTI Crude while the second Average Priced Strip is Brent Last Day Financial Crude). After the first month of the strip from the first leg of the Cross-Commodity Strip Spread expires, the leg becomes a “balance of” spread. The balance of the Cross-Commodity Strip Spread will continue to Decemberay until only one expiration month remains.

Important!

Average Priced Strips trade as the average price of all components, and leg assignment to those components will be the price assigned to the Average Priced Strip.

A Cross-Commodity Strip Spread has:

Example

This spread can trade at zero and at a negative price. 

Pricing

Leg Price Assignment

Pricing Example

In this example Leg1 has the most recent price.

Cross-Commodity Strip Spread WS:XS 02M CL-BZ G0 trades at -325

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DI Inter-Commodity

SecuritySubType=DI

The DSF Inter-Commodity Calendar is a futures spread involving the simultaneous purchase (sale) of one interest rate product with a corresponding sale (purchase) of a second interest rate product. Both products will have the same monthly expiration.  Both products will also have the same underlying term (i.e., both products will be five year notional instruments).

The DSF Inter-Commodity Calendar has:

Example

This spread can trade at zero and at a negative price. 

Pricing

All prices below are in a fractional pricing format.

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.

Pricing Examples

Example: Leg1 as anchor leg

 DSF Inter-Commodity Calendar trades at 50

Example: Leg2 as anchor leg

DSF Treasury Inter-Commodity Calendar trades at 50

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IV Implied Intercommodity

SecuritySubType=IV

The Implied Ratio Inter-Commodity Spread is an implied-enabled futures ratio spread involving the simultaneous purchase (sale) of two different products with the same expirations of different pre-determined ratios (e.g. 5:2).

Currently, IV spread type only supports US Treasury Futures. The IV spread will trade at a fixed price or as a ratio spread with implications.

  • IV - Spread to Spread trades at a fixed price; leg quantity ratios (e.g. 5:2) are not considered.

  • IV - Spread trading with Implied In and Out; leg quantity ratios (e.g. 5:2) are taken into consideration during leg pricing.

A Implied Inter-Commodity Spread has:

This spread can trade at zero and at a negative price. 

Spread to Spread Trade Pricing

The spread trades at a fixed priced where the leg quantity ratios are not considered.

The Implied Ratio Inter-Commodity Spread Trade Price is = Spread to Spread trade.

Leg Price Assignment

 

Current Price

Settlement Price

Spread

0030

0000

Leg1

129105

128265

Leg2

15717

15718

Pricing Examples 5:2 Ratio

Implied Ratio Inter-Commodity Spread trades at 30

Implied Spread Trading

The implied trade pricing takes the leg quantity ratios into consideration.

The Implied Ratio Inter-Commodity Spread Implied Price = (Leg1 Recent Price Update – Leg1 Settlement Price) – (Leg2 Recent Price Update – Leg2 Settlement Price/Ratio).

Please see Implied Intercommodity Ratio Spreads for examples.

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SI Soy Crush

Spread type = SI

The Soy Crush Spread is a differential spread involving the simultaneous purchase between the raw product (Soybeans), and the yield of its two processed products (Soybean Meal, Soybean Oil). The fixed ratio per leg represents the amount of processed products that can be obtained from the given amount of raw product.

This spread type is also known as the Soybean Crush.

A Soy Crush Spread has:

Example

This spread can trade at zero and at a negative price. 

The Soy Crush Spread trades at a reduced tick (.25) and is priced in terms of the raw product which necessitates a mathematical  conversion to convert Soybean Meal and Soybean oil into cents per bushel.

Pricing

Leg positions used in this example:

Leg1 – Soybean Meal Futures

Leg2 – Soybean Oil Futures

Leg3 – Soybean Futures

Leg Price Assignment

 Anchor legs are the  Fair Market Price of two of the three legs

This spread can trade at a negative price.

Pricing Example

Pricing Example Leg1 and Leg2 Anchor Legs

Soy Crush Spread trades at 1026

Pricing Example Leg2 and Leg3 Anchor Legs

Soy Crush Spread trades at 1026

Pricing Example Leg1 and Leg3 Anchor Legs

Soy Crush Spread trades at 1026

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BC Buy-Buy Inter-Commodity

SecuritySubType = BC

The Buy-Buy Inter-Commodity Spread is a futures spread involving the simultaneous purchase (sale) of two related products with the same expiration. The Buy-Buy Inter-Commodity Spread is constructed by buying 1 Henry Hub Natural Gas futures contract and buying 1 Henry Hub Natural Gas Index futures contract.

A Buy-Buy Inter-Commodity Spread has:

Example

This spread can trade at zero and at a negative price. 

Pricing

Leg Price Assignment

In this example leg1 has the most recent price

Pricing Example

Buy-Buy Inter-Commodity Spread trades at 4

In this example leg2 has the most recent price

 Pricing Example

 Buy-Buy Inter-Commodity Spread trades at 4

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IP Inter-Commodity

SecuritySubType = IP

The Inter-Commodity Spread (ICS) calendar spread for futures (commonly known as a “box spread") allows customers to trade Inter-commodity spreads as a single instrument, eliminating leg execution risk. The Inter-Commodity Spread is the net differential between the two ICS spreads.

An Inter-Commodity Spread has:

Example

This spread can trade at zero and at a negative price. The spread trade tick is smaller than outright legs.

Pricing

Leg Price Assignment

 Pricing Example

 Inter-Commodity Spread trades at 1

 Inter-Commodity Spread trades at 1

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Reduced Tick Inter-Commodity Spread

SecuritySubType = RI

The Reduced Tick Inter Commodity is a futures spread involving the simultaneous purchase (sale) of two products with a corresponding sale (purchase) of a second related product. Spreads with SecuritySubType RI will have a smaller tick than their corresponding outright legs.

A Reduced Tick Inter Commodity has:

Example

This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how CME Globex assigns prices. Member firms commonly designate a default way of handling price assignment to these legs in Clearing. As a result, it is not unusual to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process allowing leg price adjustment on traded calendar spreads is referred to as “SLEDS” (Single Line Entry Differential). 

Pricing

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.

Pricing Examples

 Leg1 is the anchor leg

Reduced Tick Inter Commodity trades at 3.00

Leg2 is the anchor leg

Reduced Tick Inter Commodity trades at 3.0

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MS BMD Strip

SecuritySubType=MS

The BMD futures strip consists of multiples of four consecutive, quarterly expirations of a single product with the legs having a +1:+1:+1:+1 ratio. A 1-year strip, for example, consists of an equal number of futures contracts for each of the four consecutive quarters nearest to expiration.

Construction: Buy1exp1  Buy1exp2  Buy1exp3 Buy1exp4

Security Definition Example: FKB3:MS 01Y M8

Example: Buy the Spread

Buy 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate
Buy 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate
Buy 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate

Example: Sell the Spread

Sell 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate

Sell 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate

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IN Invoice Swap

SecuritySubType=IN

An Invoice Swap is an Inter-commodity spread trade consisting of a long (short) Treasury futures contract and a long (short) non-tradeable Interest Rate Swap (IRS).

Construction

Buy 1 Invoice IRS spread buy 1 Treasury futures contract

Security Definition Example: IN:ZTM4L026220NOV14

Example: Buy the Spread

Buy 1 June 2014 2-Year Treasury Invoice Swap Spread, Buy 1 June Treasury Future

Example: Sell the Spread

Sell 1 June 2014 2-Year Treasury Invoice Swap Spread, Sell 1 June Treasury Future

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SC Invoice Swap Calendar

SecuritySubType=SC

An Invoice Swap calendar spread lists invoice swaps of the same tenor with consecutive quarters (e.g., 2 yr December 2015 vs. 2 yr March 2016) as two legs.

Security Definition Example: ZTU50317A-ZTM50317A

Example: Buy the Spread

Buy 1March 2016 5Y IN and sell 1 December 2015 5Y IN

Example: Sell the Spread

Sell 1March 2016 5Y IN and buy 1 December 2015 5Y IN

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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.

Security Definition Example: ZNM51221A-ZTM50317A

Example: Buy the Spread

Buy 1 March 2015 10Y IN and sell 1 March 2015 2Y IN

Example: Sell the Spread

Sell 1 March 2015 10Y IN and buy 1 March 2015 2Y IN

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TL Tail

SecuritySubType=TL

The Treasury Tail User Defined Spread 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 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 is the deferred month.

Example: Buy the Spread

Buy 1 ZFZ5-ZFH6, Buy 0.2 ZFZ5 at price 118.078125

Example: Sell the Spread

Sell 1 ZFZ5-ZFH6, Sell 0.2 ZFZ6 at price 118.078125

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EF Inter-Exchange Reduced Tick Ratio

SecuritySubType=EF

The EF strategy type involves trading 90-day short term interest rates in a single package across commodities or exchanges.

An EF inter-exchange reduced tick ratio spread has:

Construction: Buy3exp2com1 Buy3exp3com1 Sell10exp1com2

Security Definition Example:  ZQF8G8-SR1Z3

Pricing

The Inter-Commodity Reduced Tick Ratio Spread Trade Price is the average net differential between the current market price of the two legs of one commodity and one leg of another commodity.

Spread Trade Price = AvgPx(2 sets of Com1) – Com2

 If necessary, CME Globex will adjust Com1 leg prices to equal the spread price.

Leg Price Assignments

Example of trade with leg price adjustment

This example illustrates the leg price assignments after adjustment.

Spread ZQF8G8-SR1Z3 trades at 0.1425

(98.9750+98.9050) / 2 = 98.9425 - 98.8000 = 0.1400

Most Recent Market Prices: (98.9750 + 98.9100) / 2 = 98.9425 - (988.000/10) = 0.1425

Adjusted Leg Prices Assigned: 

 (98.9750 + 98.9100) / 2 = 98.9425 - 98.8000 = 0.1425

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HO Calendar Horizontal

SecuritySubType=HO

The Horizontal is an options spread involving the simultaneous purchase (sale) of buying a call (put) in a deferred expiration and selling a call (put) of the same strike in an earlier expiration

A Horizontal has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. In the event that it is not, orders using the price will be rejected. This spread can also trade at a negative price.

Pricing

The Horizontal Trade Price is = (Leg1-Leg2) the differential of the legs

Leg Price Assignment

Pricing Example – Equal Distribution

Horizontal trades at 20

Pricing Example – Unequal Distribution

Horizontal trades at 15

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DG Calendar Diagonal

SecuritySubType=DG

The Diagonal is an option spread involving the simultaneous purchase (sale) of a call (put) in a deferred expiration and a sale (purchase) of a call (put) in an earlier expiration. 

A Diagonal has:

Examples

The differential of the legs must be a tradeable tick for the new combined instrument.  In the event that it is not, orders using the price will be rejected.  This spread can trade to a minimum price of zero. This spread can also trade at a negative price.

Pricing

Leg Price Assignment

Pricing Example – Equal Distribution

Diagonal trades at 850

Pricing Example – Unequal Distribution

Diagonal trades at 825

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ST Straddle

SecuritySubType=ST

The Straddle is an options combination involving the simultaneous purchase (sale) of both a call and put of the same strike and expiration.

A Straddle has:

Example

The sum of the legs cannot be priced at or less than zero. Orders placed for at a price at or less than zero will be rejected. This spread cannot trade at a negative price.

Pricing

The Straddle Trade Price is = (Leg1+Leg2) the sum of both option legs

Leg Price Assignment

Pricing Example – Equal Distribution

Straddle trades at 127.5

Pricing Example – Unequal Distribution

Straddle trades at 128

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SG Strangle

SecuritySubType=SG

The Strangle is an options combination involving the simultaneous purchase (sale) of buying a put at a lower strike price and buying the call at a higher strike price of the same instrument and expiration.  

A Strangle has:

Example

The sum of the legs cannot be priced at or less than zero. Orders placed for at a price at or less than zero will be rejected. This spread cannot trade at a negative price.

Pricing

The Strangle Trade Price is = (Leg1+Leg2) the sum of both legs

Leg Price Assignment

Pricing Example – Equal Distribution

Strangle trades at 21.0

Pricing Example – Unequal Distribution

Strangle trades at 25.5

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VT Vertical

SecuritySubType=VT

The Vertical is an options spread involving the simultaneous purchase (sale) of buying a call (put) at one strike price and selling a call (put) at a different strike price within the same expiration.

A Vertical has:

Example

The differential of the legs cannot be priced less than zero. Orders placed for at a price less than zero will be rejected. This spread cannot trade at a negative price.

Pricing

The Vertical Trade Price is = (Leg1-Leg2) the differential of both option legs.

Leg Price Assignment

Pricing Example – Equal Distribution

Vertical trades at 4.0

Pricing Example – Unequal Distribution

Vertical trades at 4.5

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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.

A Box has:

Example

The differential of the legs cannot be priced less than zero. Orders placed for at a price less than zero will be rejected. This spread cannot trade at a negative price.

Pricing

Leg Price Assignment

Pricing Example – Equal Distribution

Box trades at 34700

Pricing Example – Unequal Distribution

Box trades at 34775

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CC Conditional Curve

SecuritySubType=CC

A Conditional Curve is an options spread unique to CME SOFR options. A Conditional Curve involves the simultaneous purchase (sale) of a SOFR option and the sale (purchase) of a second SOFR option. Both options must be either calls or puts, within the same expiration, and must have different underlying futures. 

A Conditional Curve has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. In the event that it is not, orders using the price will be rejected. This spread can trade to a minimum price of zero. This spread can also trade at a negative price.

Pricing

The Conditional Curve Trade Price is = Leg1 - Leg2

Leg Price Assignment

Pricing Example – Equal Distribution

Conditional Curve trades at 1.5

Pricing Example – Unequal Distribution

Conditional Curve trades at 1.0

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DB Double

SecuritySubType=DB

The Double is an option spread involving the simultaneous purchase of two calls or two puts with the same expiration.

A Double has:

Example

The price of the spread must be a tradeable tick. 

The lowest acceptable price for this spread is one of the following:

Pricing

Leg Price Assignment

Double trades at 6500

Pricing Example – Unequal Distribution

Double trades at 6475

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HS Horizontal Straddle

SecuritySubType=HS

The Horizontal Straddle is an options combination involving the simultaneous purchase (sale) of a call and a put at an identical strike price in a deferred month, and also selling a call and a put at another identical strike price in a nearby month. More specifically, the Horizontal Straddle consist of buying a Straddle in a deferred month and selling a Straddle in a nearby month.

A Horizontal Straddle has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This combination can trade to a minimum price of zero. This combination can also trade at a negative price.

Pricing

The Horizontal Straddle Trade Price is = Leg1 + Leg2 – Leg3 – Leg4

Leg Price Assignment

Pricing Example – Equal Distribution

Horizontal Straddle trades at 3900

Pricing Example – Unequal Distribution

Horizontal Straddle trades at 3875

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IC Iron Condor

SecuritySubType=IC

The Iron Condor is an options combination involving the simultaneous purchase (sale) of a vertical call spread and a vertical put spread where all legs must be of same expiration. The strike prices must range from lowest to highest in order of the legs. Due to this restriction, the first leg of the spread is the sell of a put.

An Iron Condor has:

Example

The sum of the legs cannot be priced less than zero. Orders placed for at a price less than zero will be rejected. This spread cannot trade at a negative price.

Pricing

The Iron Condor Trade Price is = Leg2 + Leg3 – Leg1 – Leg4

Leg Price Assignment

Pricing Example – Equal Distribution

Iron Condor trades at 40

Pricing Example – Unequal Distribution

Iron Condor trades at 39

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12 Ratio 1x2

SecuritySubType=12

The Ratio 1x2 is an options spread involving the simultaneous purchase (sale) of one call (put) and the sale (purchase) of two calls (puts) at different strike prices and same expirations.

A Ratio 1X2 has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. For example, with the above SR1 option legs a tradeable tick would be 46.5 - (2*10.5 )= 25.5 (Globex pricing). Because this price is a differential involving a ratio, the spread can trade at a negative price.

Pricing

The Ratio 1x2 Trade Price is = Leg1 – (2*Leg2)

Leg Price Assignment

Pricing Example – Equal Distribution

Ratio 1x2 trades at 24.0

Pricing Example – Unequal Distribution

Ratio 1x2 trades at 24.5

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13 Ratio 1x3

SecuritySubType=13

The Ratio 1X3 is an options spread involving the simultaneous purchase (sale) of buying one call (put) and selling three calls (puts) at different strike prices and same expirations.

A 13 Ratio 1X3 has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. For example, with the above option legs a fair value price would be 800 - (3*190 )= 430 (CME Globex pricing). The cited instrument trades with a VTT increment of 5 if the price is less than 500, so the price of 430 is valid. Because this price is a differential involving a ratio, the spread can trade at a negative price.

Pricing

The 13 Ratio 1X3 Trade Price is = (1*leg1) - (3*leg2)

Leg Price Assignment

Pricing Example – Equal Distribution

Ratio 1x3 trades at 265

The differential of the legs must be a tradeable tick for the new combined instrument.  In the event that it is not, orders using the price will be rejected. This spread can trade to a minimum price of zero. This spread can also trade at a negative price.

Pricing Example – Unequal Distribution

Ratio 1x3 trades at 260

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23 Ratio 2x3

SecuritySubType=23

The Ratio 2x3 is an options spread involving the simultaneous purchase (sale) of two calls (puts) and sale (purchase) of three calls (puts) at different strike prices with the same expirations.

A Ratio 2x3 has:

Example

Instrument Symbol = UD:1V: 23 0806947512

The differential of the legs must be a tradeable tick for the new combined instrument.  In the event that it is not, orders using the price will be rejected. This spread can trade to a minimum price of zero. This spread can also trade at a negative price.

Pricing

The Ratio 2x3 Trade Price is = (2*leg1) – (3*leg2)

Leg Price Assignment

Pricing Example – Equal Distribution

Ratio 2x3 trades at 1000

Pricing Example – Unequal Distribution

Ratio 2x3 trades at 925

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RR Risk Reversal

SecuritySubType=RR

The Risk Reversal is an options combination involving the simultaneous purchase (sale) of a call and sale(purchase) of a put with the same expirations.  The strike price of the put must be lower or equal to the strike price of the call.

A Risk Reversal has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. In the event that it is not, orders using the price will be rejected. This combination can also trade at a negative price.

Pricing

The Risk Reversal Trade Price = Leg1 – Leg2

Leg Price Assignment

Pricing Example – Equal Distribution

Risk Reversal trades at -125

Pricing Example – Unequal Distribution

Risk Reversal trades at -120

Example

The differential of the legs must be a tradeable tick for the new combined instrument. In the event that it is not, orders using the price will be rejected. This spread can also trade at a negative price.

Pricing

The Risk Reversal Trade Price is = Leg1 – Leg2

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GD Average Priced Strip Combination

SecuritySubType=GD

The Average Priced Strip Combination is an options spread or combination involving the simultaneous purchase or sale of more than one Average Priced Strips (SA).

A GD Strip has:

Example

If all Average Priced Strip components in the Average Priced Strip Combination are buys, the instrument can only trade at a positive price. If at least one component of the Average Priced Strips is comprised of sell components, the resulting Average Priced Strip Combination can trade at a positive, negative, or zero price.

Pricing

Leg Price Assignment

The following examples use the above instrument UD:1N: GD 1114915128.

Pricing Example – Equal Distribution

Average Priced Strip Combination trades at 275

Pricing Example – Unequal Distribution

Average Priced Strip Combination trades at 274

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XT Xmas Tree

SecuritySubType=XT

The Xmas Tree is an options spread involving the simultaneous purchase (sale) of buying a call (put), selling a call (put), and selling another call (put) of equidistant strike prices within the same expirations.

An Xmas Tree has:

The difference in strikes must be equal, i.e. Strike1-Strike2=Strike2-Strike3

Example

Instrument Symbol = UD:1V: XT 0910958788

The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This spread can also trade at a negative price.

Pricing

The Xmas Trade Price = Leg1 - Leg2 - Leg3

Leg Price Assignment

Pricing Example – Equal Distribution

Xmas Tree trades at 30

Pricing Example – Unequal Distribution

Xmas Tree trades at 25

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3W 3-Way

SecuritySubType=3W

The Call 3-Way is an options combination involving the simultaneous purchase (sale) of a call, the sale (purchase) of a second call, and the sale (purchase) of a put. Leg1’s strike price must be between Leg2’s higher strike price and Leg3’s lower strike price. All legs must have the same expiration. More specifically, the 3-Way combination is the simultaneous purchase of a vertical call spread and sale of a put against it.

The Put 3-Way is an options combination involving the simultaneous purchase (sale) of a put, the sale (purchase) of a second put, and the sale (purchase) of a call. Leg1’s strike price must be between Leg2’s lower strike price and Leg3’s higher strike price. All legs must have the same expiration. More specifically, the 3-Way combination is the simultaneous purchase of a vertical put spread and sale of a call against it.

A 3-Way has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This spread can trade  at a price of zero. This spread can also trade at a negative price. Leg prices can be assigned at an untradeable ticks.

Pricing

The 3-Way Trade Price is = Leg1 – Leg2 – Leg3

Leg Price Assignment

Pricing Example – Equal Distribution

3-Way trades at 525

Pricing Example – Unequal Distribution

3-Way trades at 550

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3C 3-Way Straddle versus Call

SecuritySubType=3C

The 3-Way Call Straddle is an options combination involving the simultaneous purchase (sale) of a call and a put at the same strike price, while selling an additional call at a different strike price. All legs must be of same expiration. More specifically, the 3-Way Call Straddle options combination is the simultaneous purchase (sale) of a Straddle and sale (purchase) of a call within the same expiration.

A 3-Way Call Straddle has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. In the event that it is not, orders using the price will be rejected. This spread can trade at a price of zero. This spread can also trade at a negative price.

Pricing

The 3-Way Call Straddle Trade Price is = Leg1 + Leg2 – Leg3

Leg Price Assignment

Pricing Example – Equal Distribution

3-Way Call Straddle trades at 22

Pricing Example – Unequal Distribution

3-Way Call Straddle trades at 21

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3P 3-Way Straddle versus Put

SecuritySubType=3P

The 3-Way Put Straddle is an options combination involving the simultaneous purchase (sale) of a call, and a put at the same strike price, while selling an additional put at a different strike price. All legs must be of the same expiration. The 3-Way Put Straddle options combination can be understood as the simultaneous purchase (sale) of a Straddle and sale (purchase) of a put within the same expiration.

A 3-Way Put Straddle has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This spread can trade to at a price of zero. This spread can also trade at a negative price.

Pricing

The 3-Way Put Straddle Trade Price is = Leg1 + Leg2 – Leg3

Leg Price Assignment

Pricing Example – Equal Distribution

3-Way Put Straddle trades at 25

Pricing Example – Unequal Distribution

3-Way Put Straddle trades at 24

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IB Iron Butterfly

SecuritySubType=IB

The Iron Butterfly is an options combination involving the simultaneous sale (purchase) of a put, the purchase (sale) of a second put, the purchase (sale) of a call, and the sale (purchase) of a second call. All components must have the same expiration. The first leg of the  Iron Butterfly must be a sell. Although the strikes are not required to be consecutive or equidistant, the middle strikes of the buy put and buy call must be identical. The Iron Butterfly can also be understood as the simultaneous sale (purchase) of a Strangle (SG) and the purchase (sale) of a Straddle (ST).

A Iron Butterfly has:

Example

The differential of the legs cannot be priced less than zero. Orders placed at a price less than zero will be rejected. This combination cannot trade at a negative price.

Pricing

The Iron Butterfly Trade Price is = Leg2 + Leg3 – (Leg1 + Leg4)

Leg Price Assignment

Pricing Example – Equal Distribution

Iron Butterfly trades at 150

Pricing Example – Unequal Distribution

Iron Butterfly trades at 149

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JR Jelly Roll

SecuritySubType=JR

The Jelly Roll is an options combination involves the simultaneous sale (purchase) of call and purchase (sale) of a put at one strike price in a nearby expiration while also making a purchase (sale) of a call and sale (purchase) of a put at another strike price in a deferred expiration. There is no additional requirement for the strike prices. The Jelly Roll can be understood as the simultaneous sale of a nearby same strike Risk Reversal and purchase of a deferred same strike Risk Reversal. It is important to note that, with this combination, the first leg is a sell leg.

A Jelly Roll has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. Orders submitted with an untradeable tick will be rejected. This spread can trade at a price of zero. This spread can also trade at a negative price.

Pricing

The Jelly Roll Trade Price is = Leg2 + Leg3 – Leg1 – Leg4

Leg Price Assignment

Pricing Example – Equal Distribution

Jelly Roll trades at 1675

Pricing Example – Unequal Distribution

Jelly Roll trades at 1650

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GT Guts

SecuritySubType=GT

The Guts is an options combination involving the simultaneous purchase (sale) of call and a put within the same expiration. Unlike a Straddle and Strangle, a Guts combination has the strike price of the put higher than the strike price of the call.

A Guts combination has:

Example

The minimum price of the spread is the sum of the minimum ticks of the legs. The resulting tick must be a tradeable tick or the price will be rejected.

Pricing

The Guts Trade Price is = Leg1 + Leg2

Leg Price Assignment

Pricing Example – Equal Distribution

Guts trades at 883

Pricing Example – Unequal Distribution

Guts trades at 884

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CV Covered

SecuritySubType=CV

The CV Covered is the simultaneous purchase or sale of outright options or options spreads or combination with one or more outright futures; for example, buying call options and selling futures or selling put options and selling futures. The creator of the UDS is responsible for defining the direction, delta, price, and expiration of the futures leg(s).  Covereds pricing and leg assignments follow the rules of the options leg; i.e., an outright options covered with a future is priced following the rules of the option leg and a VT Vertical covered with a future is priced following the rules of the VT Vertical. The CV Covered is identified with tag 762-SecuritySubType=CV:XX, where XX is either "FO" for an outright option or the options spread type (e.g., "GN", "VT"). CV Covered is available as an options-futures User-Defined Spread only.

A CV Covered has:

Pricing

Pricing Example

CV Covered trades 100 lots at 25

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EO Reduced Tick Options

SecuritySubType=EO

The Reduced Tick Options Spread  is an inter-commodity options spread which can also be constructed as a combination consisting of the simultaneous purchase(sale) of an American Style Natural Gas Option with the sale (purchase) of a European Style Natural Gas Option. There are no restrictions regarding option type, strike, or expiration for either leg.

Uniqueness and differences of the Reduced Tick Options Spread are highlighted in the table below:

Instrument

CME Globex Price example

CME Globex Settlement

CME Globex Tick Size

Notes

ONX8 C3150

64

64

1

Underlying product is NGX8, American Style option.

LNEX8 C3150

630

633

10

Underlying product is NGX8, European Style option. 

  1. Price lists an extra character

  2. The tick of 10 is equivalent to the tick of 1 in the ON

  3. During trading, this extra character will always be zero

  4. Settlement allows the last character to be any digit including zero

Reduced Tick Options Spread

UD:EO

1

.7

.1

  1. Product is priced in ON terms

  2. Spread price is ON – LNE with LNE converted to ON terms

  3. Conversion requires LNE price to be divided by 10

  4. Price assignment for the LNE leg can be an untradeable tick (the last digit may not be zero)

A Reduced Tick Options Spread has:

Example

The differential of the legs must be a tradeable tick for the new combined instrument. Orders submitted with an untradeable tick will be rejected. This spread can trade to a price of zero. This spread can also trade at a negative price.

Pricing

Leg Price Assignment

Pricing Example – Equal Distribution

EO Reduced Tick trades at 3.0

Pricing Example – Unequal Distribution

EO Reduced Tick trades at 2.9

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GN Generic

SecuritySubType=GN

If the spread or combination requested by the user is not identified as one of the CME Globex recognized spread types, but has a valid construction, the instrument will be created exactly as the user requested and designated in market data as 'GN' (generic).

Under the generic designation, the user can create options spread instruments composed of multiple spread types. For example, a unique options spread instrument can be created by combining the configurations of a Vertical options spread and Xmas tree options spread into a unique Generic instrument.

Generic spreads can contain up to 26 outrights. This count is irrespective of leg ratio. For example, when the user submits a proposed user defined spread to CME Globex containing an options butterfly (buy1, sell2, buy1) as a leg, CME Globex will count that instrument as 3 (buy/sell/buy) instruments against the 26 instrument limit.

For additional information, see User-Defined Spread (UDS).

For advanced information on UDS construction rules, see UDS - Validation and Messaging Rules.

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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 spreads are traded as a differential between FX Futures and OTC spot, with both legs expressed in OTC quote convention. Therefore, the spread construction is either non-inverted or inverted, depending on whether the quoting convention of the related futures leg is inverted or non-inverted with respect to the typical OTC convention for that currency pair.

With a non-inverted CME FX Link Spread (XF):

With an inverted CME FX Link Spread (YF):

Non-Inverted CME FX Link Spread (XF)

Construction: Buy1FXFutureExp1  Sell1FXOTCSpot

Security Definition Example: 6E:XF:EURUSD:M8 

Example: Buy the Spread

Buy 1 March 2018 CME Euro FX Future and

Sell 1 Euro / US Dollar Spot 

Example: Sell the Spread

Sell 1 March 2018 CME Euro FX Future and

Buy 1 Euro / US Dollar Spot 

Inverted CME FX Link Spread (YF)

Construction: Sell1FXFutureExp1  Sell1FXOTCSpot

Security Definition Example: 6J:YF:USDJPY:M8 

Example: Buy the Spread

Sell 1 March 2018 Japanese Yen Future and

Sell 1 US Dollar / Japanese Yen Spot 

Example: Sell the Spread

Buy 1 March 2018 Japanese Yen Future and

Buy 1 US Dollar / Japanese Yen Spot

Selling an inverted FX futures contract is the same as buying the contract in OTC terms.

Pricing

This section provides an overview of FX Link Pricing. For more detailed pricing information, consult the FX Link quotation and pricing guide. The full economic terms of the spot instrument will be available on CME STP.

Pricing Overview

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

Notional Calculations

Value Date

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SS Straddle Strip

SecuritySubType=SS

The Straddle Strip is an options combination involving the simultaneous purchase (sale) of four consecutive quarterly Straddles at the same strike price.

A Straddle Strip has:

Example

The minimum tradeable price of a Straddle Strip is the sum of the minimum prices of the legs provided it results in a tradeable tick for the combination.  Orders entered below this minimum price or at an untradeable tick will be rejected.  This combination cannot trade zero or negative.

Pricing

The Straddle Strip Trade Price is = Leg1 + Leg2 + Leg3 + Leg4 + Leg5 + Leg6 + Leg7 + Leg8

Leg Price Assignment

Pricing Example – Equal Distribution

Straddle Strip trades at 348

Pricing Example – Unequal Distribution

Straddle Strip trades at 347.5

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AB Averaged Price Bundle

SecuritySubType=AB

The Averaged Price Bundle is a futures spread involving the simultaneous purchase (sale) of futures positions at the averaged price of the legs.

This strategy is available as a futures exchange-defined spread only.

Averaged Price Bundle spread has:

Pricing:

Pricing Example – Equal Distribution:

Averaged Price Bundle trades at 9705.0

Pricing Example – Unequal Distribution:

Averaged Price Bundle trades at 9700.0

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BT South American Soybean - CBOT Soybean Inter-Commodity

SecuritySubType=BT

The BT spread is the simultaneous purchase (sale) of a South American Soybean FOB Santos Soybeans Financially Settled (Platts) futures contract and a CBOT Soybean futures. 

Construction

The South American Soybean/CBOT Soybean Inter-Commodity futures spread has:

Example

This spread can trade at zero and at a negative.

Pricing

  • SAS ticks at .20 in per metric ton

  • ZS Ticks 1/4 of one cent (0.0025) per bushel  

  • Spread Ticks 1/4 of one cent (0.0025) per bushel 

  • Conversion required to convert metric tons to bushels and bushels to metric tons

    • conversion factor: 36.74

  • Price assignment for Leg1 will be off-tick from outright futures leg

  • Leg1 calculated price can be priced outside the daily limit

Leg Price Assignment

If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. 

Leg Pricing Example

South American Soybean/CBOT Soybean Inter-Commodity spread trades at 15

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AE Fixed Price Ratio Inter-Commodity

SecuritySubType=AE

The AE spread is the simultaneous purchase(sale) of two contracts of different leg quantity ratios where the spread will trade at a fixed price ratio of 1:1. 

Construction

The Fixed Price Ratio Inter-Commodity futures spread is a a Fixed Price Ratio spread involving the simultaneous purchase (sale) of two different products with either the same or different expirations of different pre-determined leg ratios (e.g. 8:1).  

A Fixed Price Ratio Inter-Commodity futures spread has:

Example

Instrument Symbol = NGM2-NNN2

Pricing of the AE is at a Fixed Price Ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero. The spread can also trade at a reduced tick. 

Pricing 

The Fixed Price Ratio Inter-Commodity Trade Price = Leg1 - Leg2

Leg Price Assignment:

If the leg1 calculated price is outside the daily limit, the price will stand. Customers can receive a non-settled price for the recalculated leg1.

Leg pricing examples:
A quantity side ratio of +8:-1 will be used in the below example.

The Fixed Price Ratio Inter-Commodity trades at 0.00025

Resulting legs:

Pricing Example Leg2 Calculated Outside of Daily Limits

The Fixed Price Ratio Inter-Commodity trades at 0.00025

Assuming leg2 daily low limit is 2.6 

Leg1 Buy 8 lots of NGM2 at 2.60025

Leg2 Sell 1 lot of NNN2 at 2.6

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RV Curve Ratio

SecuritySubType=RV

The Curve Ratio (RV) spread trades at a yield differential. The yield books will be inverted as in a typical yield market and the Curve Ratio (RV) spread quoted prices will be in basis points, represented in decimal notation (-43.750) of the yield as quoted in percentages: -.43750%. Although the spread is traded at a yield differential and quoted prices in decimal notation, the outright legs are quoted in conventional prices; this will require a price-to-yield and yield-to-price conversion for leg price assignments.

Inverted Yield Book Example

Examples of an inverted yield book in a typical yield market are shown below.

Example: Inverted RV Curve Ratio Yield Book

In a typical yield market, the bid is higher than the ask.

Inverted Book in a Typical Yield Market

UB10:30

Bid

Ask

UB10:30

Level

Price Type

Price

Price

Price Type

Level

1

Yield

-43.750

-43.751

Yield

1

Leg Quantity Ratios 

Curve Ratio (RV) spreads support quantity ratios to keep approximate DV01 neutrality. The Curve Ratio (RV) spread leg ratios are static at the instrument level and dynamic at the product level based on spread construction. The ratios can be different for different spread instruments. The quantity ratio of legs is defined in the repeating group of the Curve Ratio (RV) spread MDP3 Security Definition (tag 35-MsgType=d) message in tags 623-LegRatioQty and tag 624-Side for the leg ratio.

Spread Construction

The Curve Ratio (RV) spread has:

Quantity Side Ratios

Ratios are static and predetermined based on spread construction.

Pricing Examples

The Curve Ratio (RV) spread is priced as the yield differential of two US Treasury Active tenors.

The RV Spread = Leg1 - Leg2

Price to Yield and Yield to Price Conversion

The spread is traded at a +- yield differential with inverted prices (bid higher than offer). The outright legs will trade in prices requiring price to yield and yield to price conversions.

Example: Curve Ratio (RV) Spread Trade and Leg Price Assignments

RV  Spread UB10:30 trades 5 at -43.750 (the decimal notation of the yield as quoted in percentages: -.43750%)

Leg Price Assignment

Leg Quantity Assignment

Leg1 quantity = Spread Trade Quantity * Leg1 Ratio

Leg2 quantity = Spread Trade Quantity * Leg2 Ratio

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TB Gasoil Crack 

SecuritySubType=TB

The Gasoil Crack spread is the differential spread involving the simultaneous purchase (sale) of a distilled product (e.g., Low Sulphur Gasoil) with a corresponding sale (purchase) of the raw product from which it was produced (e.g., Crude Oil). The Gasoil Crack spread will trade at a reduced tick (1) and is priced in terms of the raw product which necessitates a mathematical conversion of the distilled product's price.

The Gasoil Crack Spread has:

Example

Pricing of the Gasoil Crack spread is at a fixed price ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero price. The spread also trades at a reduced tick. 

Spread Pricing 

The Gasoil Crack spread Trade Price is = (Leg1 / 7.45) – Leg2 * 1

The Gasoil Crack spread is priced in terms of the raw product (e.g., Crude Oil) which necessitates a mathematical conversion of the distilled product’s (e.g., Low Sulphur Gasoil) price:

For Gasoil: 1 metric ton = 7.45 barrels

Leg Price Assignment Example

The same leg price will be applied to all legs on each side with a ratio, e.g., for 7F-BZ at 4:3, all 4 7F legs will be priced at the same price and all 3 BZ legs will be priced at the same price.

Leg Pricing Example

A quantity side ratio of +4:-3 is used in the example below.

The Gasoil Crack spread trades at 1121

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TG HOGO Inter-Commodity Ratio Futures

SecuritySubType=TG

The HOGO spread is the differential spread involving the simultaneous purchase (sale) a energy product (i.e., Heating Oil) with a corresponding sale (purchase) of a related energy product (i.e., Gas Oil).  

A HOGO spread has:

Example

Instrument Symbol = HOZ3-7FZ3

Important

Pricing of the HOGO spread is at a fixed price ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero. 

The HOGO spread trade tick (1), with leg2 (Gas Oil) will trade at a smaller tick (1) than outright trading tick (25).

Pricing 

The HOGO spread Trade Price is = Leg1 * 1 - Leg 2 *  1/3.129

Conversion Factor

The HOGO Spread is priced in terms of the gallons which necessitates a mathematical conversion of the price from metric tons to gallons.

  • Conversion factor 1 metric ton = 312.9 gallons

  • Conversion factor used in spread trade price = 3.129 gallons

Leg Price Assignment:

The same leg price will be applied to all legs on the side with a ratio, e.g., for HO-7F at 3:4, all 3 HO legs will be priced at the same price; and all 4 7F legs will be priced at the same price.

Leg Pricing Examples:

A quantity side ratio of +3:-4 will be used in the below example.

The HOGO spread trades at 2583

To convert leg2 to gallons use leg2/3.129

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RB Butterfly

SecuritySubType=RB

The RB Butterfly is a 3-leg spread at a fixed ratio.

The RB Butterfly spreads are constructed using three separate US Active tenors.

Quantity Side Ratios

  • Quantity/side ratio of +X:-Y:+Z Ratios are static and predetermined based on spread construction.

The RB Butterfly spreads are priced as the yield differential in basis points of three US Treasury Active Active tenors. The minimum price increment is 1/10th of one basis point. 

The RB Butterfly spreads = Leg1 – (2 * Leg2) + Leg3

Price to Yield and Yield to Price Conversion

RB Butterfly spreads must be traded as a +- yield differential with a +1:-2:+1 leg price ratio (in yield). US Treasury Actives legs are traded in price, requiring price to yield and yield to price conversions.

Example: Leg Price Assignment

RB Butterfly  3Y/5Y/7Y 2:8:5 trades 10 at 300 (the basis point notation of the yield as quoted in percentages: 3%). A ratio of 2:8:5 is being used as the leg price example. 

Contract details:

Contract Type

Long Name

Ratio

Spread

3Y/5Y/7Y 2:8:5

2:8:5

Leg1

3 YEAR

2

Leg2

5 YEAR

8

Leg3

7 YEAR

5

Example: Leg Quantity and Price Assignment

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)

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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:

Example

The below example is for illustrative purposes only--using the Average Priced Bundle Packs as the butterfly legs.

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

Pricing Example

The Balanced Strip Butterfly trades at -36

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.

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