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 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