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Reduced Tick Intercommodity Option Spread

Reduced Tick Intercommodity Option Spread

CME Globex supports the Reduced Tick Intercommodity Option Spread (EO) with a tenth-tick (1/10) between Natural Gas American Style Option (ON) and Natural Gas European Style Option (LNE) energy contracts. Implied option functionality is enabled for the Reduced Tick Intercommodity Option Spread (EO) energy spread. When a trade occurs for a Reduced Tick Intercommodity Option Spread (EO) spread the legs are assigned and cleared as individual legs.  

Contents

Contracts  

Product Name

MDP 3.0: tag 6937-Asset

iLink tag 55-Symbol
MDP 3.0 tag 1151 - Security Group

MDP 3.0 tag 969-MinPriceIncrement

MDP 3.0 tag 9787-Display Factor

Product Name

MDP 3.0: tag 6937-Asset

iLink tag 55-Symbol
MDP 3.0 tag 1151 - Security Group

MDP 3.0 tag 969-MinPriceIncrement

MDP 3.0 tag 9787-Display Factor

Natural Gas Options (American style)

ON

ON, 1T

 1

 0.001

Natural Gas Options (European style)

LNE

LG, 1T

 10

 0.0001

Reduced Tick Intercommodity Option Spread (EO)

For UDS creation a Reduced Tick Intercommodity Option Spread (EO) spread consists of buying one American Natural Gas Option (ON) and selling one European Natural Gas Option (LNE) with a reduced tick. Strike prices and months do not have to be consecutive, and either leg can be a call or a put.

Buy Spread Ratio: (Buy 1 ON: Sell 1 LNE)

Example 1

 Buy 1 April 2017 ON Natural Gas Option (American) 2750 Call

 Sell 1 April 2017 LNE Natural Gas Option (European) 2750 Call

Example 2

Buy1 March 2017 ON Natural Gas Option (American) 3100 Call

Sell 1 April 2017 LNE Natural Gas Option (European) 2950 Put

Reduced Tick Intercommodity Option Spread (EO) - Implied Enabled

The ON/LNE Reduced Tick Intercommodity Option Spread (EO) will support implied option functionality.

CME Globex Price Examples

The following section contains CME Globex pricing exampes for Reduced Tick Intercommodity Option Spread (EO) user defined spreads.

CME Globex Reduced Tick Intercommodity Option Spread (EO) Pricing Example 1 - Standard Spread

The client sy