Effective Sunday, May 18 (trade date Monday, May 19), a new exchange-defined Averaged Price Implied Bundle spread will be made available for trading on CME Globex. The new spread will utilize a new strategy type (AI).
The new AI spread is a implied enabled futures spread involving the simultaneous purchase (sale) of futures positions at the averaged price of the legs.
This page provides technical specifications and additional details on the new AI strategy type.
Contents
Date | Description |
|---|---|
March 27, 2025 | Corrected effective/Production date to Sunday, May 18 (trade date Monday, May 19). |
March 5, 2025 | Initial publication. |
Date | Milestone |
|---|---|
March 24, 2025 | New Release |
May 18, 2025 | Production |
Certification is not required. Testing is strongly recommended.
New Strategy Type
Product Details
Spread Construction
SecuritySubType=AI
The new AI spread is a implied enabled futures spread involving the simultaneous purchase (sale) of futures positions at the averaged price of the legs.
The Averaged Price Implied spread is identified by FIX tag 762-SecuritySubType=AI in the MDP3 security definition message; and strategyType=AI in the CME Reference Data API.
The AI spread will launch with the following products:
New Averaged Price Implied Spreads | |||||
|---|---|---|---|---|---|
Product Name | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol | Leg Ratio | 762-SecuritySubType | MDP 3.0 Market Data Channel |
ESTR Futures | ESR | EY | +1:+1:+1:+1 | AI | 360 |
The Averaged Price Implied spreads will have 207-SecurityExchange=XCME.
Averaged Price Implied spread has:
One product
Minimum of four legs
Maximum of 40 legs
Expiration of all the legs must be consecutive quarterly outright futures
Quantity/side ratio +1:+1:+1:+1:…+1
Buying a Averaged Price Implied buys all legs of the spread
Selling a Averaged Price Implied sells all legs of the spread
Example:
Instrument Symbol = ESR: AI
Leg1 price = xxxx
Leg2 price = xxxx
Leg3 price = xxxx
Leg4 price = xxxx
Averaged Price Implied spread trade price is = (Leg1+Leg2+…LegN) / total number of legs
Leg price assignment:
Prior day settlement price will be rounded up to .50 tick
The difference between the total spread trade price (multiplying the trade price by the number of legs) and the sum of the spread prior days rounded settlement price is calculated:
[(Trade price * number of legs) – (Sum of the legs’ prior days rounded settlement price)]
The average differential from step 2 is applied to each leg’s prior days rounded settlement price
Legs may be adjusted to equal spread trade price
Any adjustment of the outright leg prices due to remainder will be assigned according to the Averaged Price Implied leg pricing assignment rules. The remainder will be applied in .50 increments starting with most deferred leg.
The below example is based on a Non-Implied Trade using prior days rounded settlement prices.
Pricing Example – Equal Distribution:
Averaged Price Implied trades at 9705.0
Leg1 prior days rounded settlement price = 9706.5
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
38820.0000 – 38818.0000 = 2
Apply average differential to each leg:
Leg1 = 9707.0
Leg2 = 9706.0
Leg3 = 9704.0
Leg4 = 9703.0
Pricing Example – Unequal Distribution:
Averaged Price Implied trades at 9700.0
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 Implied 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
The AI spreads will launch with
There will not be any second generation implication from outright futures legs to the AI Balanced Strip (SB) spreads and the AI Balanced Strip Butterfly (BB) Spreads. |
Leg Pricing Client's can expect different leg prices if trades are executed against a Non-Implied and/or an Implied trade.
|
Implied-IN AI Spread = (Leg1+Leg2+…LegN) / Number of legs
Sum of the legs Fair Market Price divided by the total number of legs
Calculated implied bid/ask may be rounded up or down if calculated implied prices are off tick
If the calculated Implied Bid is not on tick - round down to nearest tick
If the calculated Implied Ask is not on tick - round up to nearest tick
Pricing Example
Averaged Price Implied Bid in Spread
Leg1 Fair Market Price = 9600.5
Leg2 Fair Market Price = 9601.5
Leg3 Fair Market Price = 9602.5
Leg4 Fair Market Price = 9603
Total sum of legs Fair Market Price
38407.5/4 = 9601.875
Round down to nearest tick = 9601.75
Implied-OUT Leg1 = (Spread * Number of legs) - (Leg2+Leg3+…LegN)
Implied bid/ask price using Fair Market Value of the legs
Leg prices may be rounded up or down if calculated implied prices are off tick
If the calculated Implied Bid is not on tick - round down to nearest tick
If the calculated Implied Ask is not on tick - round up to nearest tick
Pricing Example
Averaged Price Implied Bid Price In LegX trades at 9600.25
(9600.25 * 4) - (9597 + 9601.5 + 9602.5)
38401 - 28801 = 9600
On tick no rounding required = 9600
Resultant Fills:
Spread = 9600.25
Leg1 = 9597
Leg2 = 9601.5
Leg3 = 9602.5
Additional information and examples of Implied-IN and Implied-OUT orders can be found in Implied Orders.
There are no Partner Exchange Impacts.
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).