Effective Sunday, July 28 (trade date, Monday July 29), a new exchange-defined Balanced Strip Butterfly futures spread will be listed for trading on CME Globex and for submission for clearing via CME ClearPort. 

The Balanced Strip Butterfly is the simultaneous purchase or sale of futures strips at the differential price of the legs.

Contents

Revision History

Key Events and Dates

Testing and Certification

Certification is not required. Testing is strongly recommended.

Summary of Impacts

• New Strategy Type

• Product Details

• Spread Construction

• Spread Pricing

New Strategy Type

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.

Spread Product Details

The Balanced Strip Butterfly spread strategy type will launch with the following products.

New Balanced Strip Butterfly Spreads:

Implied Functionality

The Balanced Strip Butterfly spread will launch with implied functionality enabled. Implied OUT quantity will not disseminate when the leg value of the included spread is in a ratio greater than one. The price and quantity are still calculated and can be traded against. Additional information and example of implied in and out orders can be found in Implied Orders.

Balanced Strip Butterfly Spread Construction

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:

• One Product

• Three legs

• Quantity/side ratio of the legs is +1:-2:+1

• Expiration of all legs must be different and symmetric

• Legs must be either FS Strip Spread, SB Balanced Strip Spread, AB Average Priced Bundle or SA Strip

• Buying a Balanced Strip Butterfly buys leg1, sells 2 * leg2, buys leg3

• Selling a Balanced Strip Butterfly sells leg1, buys 2 * leg2, sells leg3

Example

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

• Instrument Symbol = SR3:BB U3-U4-U5 

  • Leg1 = SR3:AB 01Y U3

  • Leg2 = SR3:AB 01Y U4

  • Leg3 = SR3:AB 01Y U5

Pricing

• The Balanced Strip Butterfly  Trade Price is the differential of the strip legs = Leg1 - 2*Leg2 + Leg3

• Leg Price Assignment

  • Leg1 and Leg2 are the anchor strip legs and assigned the most recent price

  • Leg3 is calculated:

    • Spread Trade Price - Leg1 + 2*Leg2

Pricing Example

The Balanced Strip Butterfly trades at -36

• Leg1 = 9466

• Leg2 = 9557

• Leg3 = -36 - 9466 + 19114

  • Leg3= 9612
    
    
    

Partner Exchange Impacts

There will be no impacts to partner exchanges with this launch.

Contact Information

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).