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.

CME Group defines a Futures Spread as any multi-legged instrument made up of outright futures and/or futures spreads.

CME Group defines an Options Combination as any multi-legged instrument made up of calls, puts and/or future(s).

CME Group defines an Options Spread as any multi-legged instrument made up of only calls or puts.

FB Bundle

SecuritySubType=FB

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

A Bundle has:

One Product

Minimum of eight legs

Maximum of 40 legs

Total legs in the Bundle must be evenly divisible by 4

Expiration of all the legs must be consecutive quarterly outright futures

Quantity/side ratio of the legs is +1:+1:+1+1:+1:+1+1:+1…+1

Buying a Bundle buys all components

buys all components Selling a Bundle sells all components

Example

Instrument Symbol = GE:FB 02Y M9

Leg1 = +1 GEM9



Leg2 = +1 GEU9



Leg3 = +1 GEZ9



Leg4 = +1 GEH0



Leg5 = +1 GEM0



Leg6 = +1 GEU0



Leg7 = +1 GEZ0



Leg8 = +1 GEH1

Note: this spread can trade at zero and at a negative price.

Pricing

The Bundle Trade Price is = Averaged net differential of all contracts compared to their respective prior day settlement prices

Leg Price Assignment

Obtain trade price of Bundle

Price obtained is the differential for all legs, averaged

Integer portion of the Bundle trade price is applied to all legs initially If the Bundle trades +1.25, all legs are initially assigned a price of +1 from their respective settles If the Bundle trades at -2.75, all legs are initially assigned a price of -2 from their respective settles

trade price is applied to all legs initially Adjust most deferred legs up or down a full point until the average differential of the legs is equal to the traded price of the Bundle .

. The following method calculates the number of legs of the Bundle that will not have any further adjustment to their prices.

If the traded Bundle price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the bundle is multiplied by 3.

price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the bundle is multiplied by 3.

If the traded Bundle price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the bundle is multiplied by 2.

price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the bundle is multiplied by 2.

If the traded Bundle price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the bundle is multiplied by 1.

price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the bundle is multiplied by 1. As a corollary, the number of legs that need to be adjusted up or down a point can be calculated by taking the result of the above calculation and subtracting it from the total number of legs in the product.

Examples

All pricing examples use the GE:FB 02Y M9 contract.

Components and settlement prices are as follows:

Leg1 = GEM9, prior day’s settle 9773



Leg2 = GEU9, prior day’s settle 9743



Leg3 = GEZ9, prior day’s settle 9708



Leg4 = GEH0, prior day’s settle 9678



Leg5 = GEM0, prior day’s settle 9643



Leg6 = GEU0, prior day’s settle 9603



Leg7 = GEZ0, prior day’s settle 9573



Leg8 = GEH1, prior day’s settle 9553

Bundle trades at 3.00

All legs are adjusted up 3 points



The decimal portion is zero, so no additional adjustments are needed



Results



GEM9, 9773 + 3 = 9776





GEU9, 9743 + 3 = 9746





GEZ9, 9708 + 3 = 9711





GEH0, 9678 + 3 = 9681





GEM0, 9643 + 3 = 9646





GEU0, 9603 + 3 = 9606





GEZ0, 9573 + 3 = 9576





GEH1, 9553 + 3 = 9556

Bundle trades at -2.5

All legs are adjusted down 2 points



The decimal portion is .5, so (2 years * 2 = 4) legs will not receive an additional adjustment, and 4 (8 total legs – 4 legs that are not changing) will need an additional adjustment



Apply additional adjustments to the most deferred legs



Results



GEM9, 9773 - 2 = 9771





GEU9, 9743 - 2 = 9741





GEZ9, 9708 - 2 = 9706





GEH0, 9678 - 2 = 9676





GEM0, 9643 - 3 = 9640





GEU0, 9603 - 3 = 9600





GEZ0, 9573 - 3 = 9570





GEH1, 9553 - 3 = 9550

Bundle trades at +1.25

All legs are adjusted up 1 point



The decimal portion is .25, so (2 years * 3 = 6) legs will not receive an additional adjustment, and 2 (8 total legs – 6 legs that are not changing) will need an additional adjustment



Apply additional adjustments to the most deferred legs



Results



GEM9, 9773 + 1 = 9774





GEU9, 9743 + 1 = 9744





GEZ9, 9708 + 1 = 9709





GEH0, 9678 + 1 = 9679





GEM0, 9643 + 1 = 9644





GEU0, 9603 + 1 = 9604





GEZ0, 9573 + 2 = 9575





GEH1, 9553 + 2 = 9555

Bundle trades at +1.25

All legs are adjusted up 1 point



The decimal portion is .25, so (2 years * 3 = 6) legs will not receive an additional adjustment, and 2 (8 total legs – 6 legs that are not changing) will need an additional adjustment



Apply additional adjustments to the most deferred legs



Results



GEM9, 9773 + 1 = 9774





GEU9, 9743 + 1 = 9744





GEZ9, 9708 + 1 = 9709





GEH0, 9678 + 1 = 9679





GEM0, 9643 + 1 = 9644





GEU0, 9603 + 1 = 9604





GEZ0, 9573 + 2 = 9575





GEH1, 9553 + 2 = 9555

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BS Bundle Spread

Spread type = BS

Bundle Spread (BS)

June 2008 2 - Year Bundle

March 2010 2 - Year Bundle

Buy 1 June 2008 Eurodollar

Buy 1 September 2008 Eurodollar

Buy 1 December 2008 Eurodollar

Buy 1 March 2009 Eurodollar

Buy 1 June 2009 Eurodollar

Buy 1 September 2009 Eurodollar

Buy 1 December 2009 Eurodollar

Buy 1 March 2010 Eurodollar

Buy 1 March 2010 Eurodollar

Buy 1 June 2010 Eurodollar

Buy 1 September 2010 Eurodollar

Buy 1 December 2010 Eurodollar

Buy 1 March 2011 Eurodollar

Buy 1 June 2011 Eurodollar

Buy 1 September 2011 Eurodollar

Buy 1 December 2011 Eurodollar





A Bundle Spread is a futures spread that simultaneously purchases (sells) a nearby Bundle (FB) with a corresponding sale (purchase) of a deferred Bundle (FB). The price for each individual bundle is quoted in terms of the average net change of each contract’s current price compared to its prior day’s settlement price. The Bundle Spread price is then the difference in prices between the individual Bundles. Formula:

Current Price = CP

Prior Day Settlement Price = PDS

Number of legs in each Bundle = Year code (see Symbol below) * 4





Bundle Price = [(Leg1 CP – Leg1 PDS)+(Leg2 CP – Leg2 PDS)+…(LegN CP – LegN PDS)]/number of legs in the Bundle

Bundle Spread Price = Price of nearby Bundle – Price of deferred Bundle





A Bundle Spread has:

One Product

Two legs Minimum of 8 quarterly expirations Maximum of 16 quarterly expirations Leg1 (buy leg) must be the nearby Bundle Leg2 (sell leg) must be the deferred Bundle

Each leg must be a Bundle of quarterly expirations

of quarterly expirations

Both Bundles must contain the same number of quarterly contracts

must contain the same number of quarterly contracts

The Bundles must contain different quarterly contracts (the same contract cannot be in both Bundles )

must contain different quarterly contracts (the same contract cannot be in both )

Each Bundle Leg:

Leg: Maximum order quantity of a Bundle Spread is 8000

is 8000 Quantity/side ratio of the Bundle legs is +1:-1

legs is +1:-1 Buying a Bundle Spread buys all components of Bundle Leg1 and sells all components of Bundle Leg2

buys all components of Leg1 and sells all components of Leg2 Selling a Bundle Spread sells all components of Bundle Leg1 and buys all components of Bundle Leg2





Example (with added explanation of the symbol)

Instrument Symbol = GE:BS 2YU9 2YU1 See FB Bundle for construction of the Bundle +1 GEU9 +1 GEZ9 +1 GEH0 +1 GEM0 +1 GEU0 +1 GEZ0 +1 GEH1 +1 GEM1 -1 GEU1 -1 GEZ1 -1 GEH2 -1 GEM2 -1 GEU2 -1 GEZ2 -1 GEH3 -1 GEM3

GE indicates this instrument is in product group GE



:BS indicates this instrument is a Bundle Spread



2YU9 indicates the nearby Bundle



2YU1 indicates the deferred Bundle



Bundle Leg1 = all of the following

Leg1 = all of the following

Bundle Leg2 = all of the following

Leg2 = all of the following Note how all of the rules mentioned above regarding construction apply to this instrument and the instrument legs.





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





Pricing

A Bundle Spread Trade Price is = Leg1 – Leg2





Leg Price Assignment

Obtain trade price of the Bundle Spread

Leg1 of the Bundle Spread is the anchor leg

is the anchor leg If no current trade price for the Bundle , use average net change between the most recent updated price and prior day’s settlement price of all components in the Bundle

, use average net change between the most recent updated price and prior day’s settlement price of all components in the Leg2 of the Bundle Spread is calculated:

is calculated: Leg2 = Leg1 – Bundle Spread Trade Price

Trade Price At this point, pricing for the Bundle legs of the Bundle Spread is complete. These prices will be used in the next steps for the respective Bundles .

legs of the is complete. These prices will be used in the next steps for the respective . For each Bundle , leg prices must be assigned to the individual components making up the respective Bundle . Process: If the Bundle was assigned a price of +1.25, all component legs of the Bundle are initially assigned a price of +1 from their respective settles If the Bundle was assigned a price of -1.25, all component legs of the Bundle are initially assigned a price of -1 from their respective settles

, leg prices must be assigned to the individual components making up the respective . Process: Integer portion of the Bundle leg price is applied to all components of the Bundle initially

leg price is applied to all components of the initially

Adjust most deferred legs of the respective Bundle up or down a full point until the average differential of the legs is equal to the traded price of the Bundle

up or down a full point until the average differential of the legs is equal to the traded price of the The following method calculates the number of legs of the Bundles that will not have any further adjustment to their prices.

that will have any further adjustment to their prices. If the traded Bundle price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 3.

price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 3.

If the traded Bundle price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 2.

price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 2.

If the traded Bundle price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 1.

price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 1. As a corollary, the number of legs that need to be adjusted up or down a point can be calculated by taking the result of the above calculation and subtracting it from the total number of legs in the product.

Individual Leg Price Assignment





Pricing Example Using Contracts Above

Bundle – Leg1 Bundle – Leg2 Instrument Prior Day Settlement Instrument Prior Day Settlement GEU9 9887 GEU1 9887 GEZ9 9886 GEZ1 9886 GEH0 9885 GEH2 9885 GEM0 9884 GEM2 9884 GEU0 9883 GEU2 9883 GEZ0 9882 GEZ2 9882 GEH1 9881 GEH3 9881 GEM1 9880 GEM3 9880

Bundle Spread trades at 1.00

Leg1 is anchored at a price of 2.00. This can be by either method described above.

Leg2’s price is calculated:

Leg2 = Leg1 – Bundle Spread price



Leg2 = 2.00 – 1.00 =1.00

These Bundle Leg prices will be used in the next steps.

Bundle Leg1 = The decimal portion is zero, so no additional adjustment is needed. Only the integer portion is applied

Leg1 = The decimal portion is zero, so no additional adjustment is needed. Only the integer portion is applied +1 GEU9 = 9887 + 2 = 9889



+1 GEZ9 = 9886 + 2 = 9888



+1 GEH0 = 9885 + 2 = 9887



+1 GEM0 = 9884 + 2 = 9886



+1 GEU0 = 9883 + 2 = 9885



+1 GEZ0 = 9882 + 2 = 9884



+1 GEH1 = 9881 + 2 = 9883



+1 GEM1 = 9880 + 2 = 9882

Bundle Leg2 = The decimal portion is zero, so no additional adjustment is needed. Only the integer portion is applied

Leg2 = The decimal portion is zero, so no additional adjustment is needed. Only the integer portion is applied -1 GEU1 = 9887 +1 = 9888



-1 GEZ1 = 9886 +1 = 9887



-1 GEH2 = 9885 +1 = 9886



-1 GEM2 = 9884 +1 = 9885



-1 GEU2 = 9883 +1 = 9884



-1 GEZ2 = 9882 +1 = 9883



-1 GEH3 = 9881 +1 = 9882



-1 GEM3 = 9880 +1 = 9881

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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 expirations of a product on the other side (1:2:1).

A Butterfly has:

One Product

Three legs

Leg1 (buy leg) must be the nearest expiration



Leg2 (sell leg) must be the middle expiration compared to legs 1 and 3 for two lots



Leg3 (buy leg) must be the most deferred expiration

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

Expiration sequencing for Butterfly :

: Leg 1 month < Leg 2 month < Leg 3 month



In addition, expirations differentials must be sequential and equal, Leg 2 month – Leg 1 month = Leg 3 month – Leg 2 month



Example: GE:BF M9–U9–Z9, the June – Sept. – Dec. butterfly, 9 – 6 = 12 – 9



There are some exceptions to this (grains, meats)

Expiration sequencing for a Broken Butterfly (aka Broken Fly) is:

(aka Broken Fly) is: Leg 1 month < Leg 2 month < Leg 3 month



Example: GE:BF H9–M9–Z9



Note: expiration order is the same as the Butterfly , however the equal expiration differential rule is waived

, however the equal expiration differential rule is waived Buying a Butterfly buys leg1, sells 2 * leg2, buys leg3

buys leg1, sells 2 * leg2, buys leg3 Selling a Butterfly sells leg1, buys 2 * leg2, sells leg3

Example

Instrument Symbol = GE:BF M9–U9–Z9

Leg1 = +1 GEM9



Leg2 = -2 GEU9



Leg3 = +1 GEZ9

Pricing

The Butterfly Trade Price is = Leg1 – (2 * Leg2) + Leg3

Leg Price Assignment

Leg1 and leg2 are the anchor legs and assigned fair market price

Leg3 is calculated:

Trade Price + Leg 2* Leg2 – Leg1

If leg3 price is outside the daily limits, Leg3 will be adjusted to daily limit and Leg2 is recalculated Leg1 = Trade Price + (2 * Leg2) – Leg3

Leg2 = (Leg1 + Leg3 – Trade Price)/2



If leg2 is now outside the daily limits, leg2 will be adjusted to the daily limit and leg1 recalculated

Pricing Example

Butterfly trades at 13.5

Leg1 has Fair Market Price of = 9812.5

Leg2 has Fair Market Price of = 9857.5

Leg3 = ((Trade Price) – leg1 + (2 * leg2))

Leg3 = 9916

Pricing Example 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

Leg1 has Fair Market Price of = 9812.5

Leg2 = (Leg2 Settlement Price + Leg3 – Trade Price)/2 (calculated price of leg 2 is off tick since there are two legs. Round one leg up to the nearest on tick price and round one leg down to the nearest on tick price. Those two new prices should sum to the collective calculated price of leg 2)

Leg2 = 9859.50

Leg2 = 9860

Leg3 has a Fair Market Price of = 9901

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

Butterfly trades at 13.5

Leg1 = Trade Price + (2 * Leg 2) - Leg 3

Leg1 = 13.5 + 19740 – 9875.5 = 9878

Leg2 has a Fair Market Price of = 9870

Leg3 has a Fair Market Price of = 9875.5

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

Note: 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

Leg1 = 9814

Leg2 has a Fair Market Price of = 9870

Leg3 = ((Trade Price) – leg1 + (2 * leg2))

Leg3 = 9939.5

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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:

One Product

Three legs Leg1 (buy leg) must be a call at the lowest strike price (herein known as strike1) for a quantity of one lot Leg2 (sell leg) must be a call at the middle strike price (herein known as strike2) for a quantity of two lots Leg3 (buy leg) must be a call at the highest strike price (herein known as strike3) for a quantity of one lot The strikes must satisfy this equation (see below, strikes must be equidistant): strike2 – strike1 = strike3 – strike2

All three legs must be the same expiration



For a call Butterfly

For a put Butterfly strike1 – strike2 = strike2 – strike3



Leg1 (buy leg) must be a put at the highest strike price (herein known as strike1) for a quantity of one lot





Leg2 (sell leg) must be a put at the middle strike price (herein known as strike2) for a quantity of two lots





Leg3 (buy leg) must be a put at the lowest strike price (herein known as strike3) for a quantity of one lot





The strikes must satisfy this equation (see below, strikes must be equidistant):

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

Buying a Butterfly buys leg1, sells leg2, and buys leg3

buys leg1, sells leg2, and buys leg3 Selling a Butterfly sells leg 1, buys leg2, and sells leg3

Example

Instrument Symbol = UD:1N: BO 0808912345

Leg1 = +1 LOU8 C6600



Leg2 = -2 LOU8 C6800



Leg3 = +1 LOU8 C7000

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

Calculate Fair Price of the Butterfly based on fair prices of the legs.

based on fair prices of the legs. Calculate the difference between the Butterfly trade price and the calculated fair price of the spread.

trade price and the calculated fair price of the spread. Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.

Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.

Pricing Example – Equal Distribution

Butterfly trades at 57

Leg1 has Fair Market Price of = 141

Leg2 has Fair Market Price of = 46

Leg3 has Fair Market Price of = 12

Spread Fair Market Price = 141 + 12 – (2*46) = 61

Spread Trade Price - Fair Market Price = 57 – 61 = -4

There are 4 ticks to distribute

The adjustment is applied evenly as follows:

Leg1 = 141 +1 = 2



Leg2 = 46 + 1 = 45 (Note: this leg is a two lot, so the price adjustment counts double)



Leg3 = 12 - 1 = 13

Pricing Example – Unequal Distribution

Butterfly trades at 59

Leg1 has Fair Market Price of = 141

Leg2 has Fair Market Price of = 46

Leg3 has Fair Market Price of = 12

Spread Fair Market Price = 141 + 12 – (2*46) = 61

Spread Trade Price - Fair Market Price = 59 – 61 = -2

There are 2 ticks to distribute

The adjustment is applied as follows:

Leg1 = 141 -2 = 139



Leg2 = 46



Leg3 = 12

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DF Double Butterfly

SecuritySubType=DF

The Double Butterfly (DF) spread is a "calendar" spread between two future butterfly strategies where one butterfly is bought and a deferred month butterfly is sold. The second and third leg of the first butterfly are identical to the first and second leg of the second butterfly.

The resulting spread consists of positions in 4 equally distributed expiration months within the same product group consistent with the following pattern:

Buy 1 double butterfly = buy 1 of the closer expiration leg, sell 3 of the next expiration leg, buy 3 of the next expiration leg, sell 1 of the furthest expiration leg (e.g., Z7-H8-M8-U8).

Double Butterfly is equal to the price of Leg 1, minus the price of three Leg 2's, plus the price of three Leg 3s, minus the price of Leg 4.

Construction: Buy1exp1 Sell3exp2 Buy3exp3 Sell1exp4

Security Definition Example: ES:DF Z8H9M9U9

Example: Buy the Spread

Buy 1 December 2018 Eurodollar

Sell 3 March 2019 Eurodollar

Buy 3 June 2019 Eurodollar

Sell 1 Sept 2019 Eurodollar

Example: Sell the Spread

Sell 1 December 2018 Eurodollar

Buy 3 March 2019 Eurodollar

Sell 3 June 2019 Eurodollar

Buy 1 Sept 2019 Eurodollar

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Calendar Spreads

SecuritySubType=SP, EQ, FX, SD, EC

A Calendar spread consists of 2 instruments with the same product with different expiration months. There are variations in Calendar spreads base 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 expiry and selling the back expiry. The following markets use the logic for calendar spreads where Buying the Spread sells the front expiry month and buys the back expiry month: CME FX

Equity

SP Standard Calendar Spread

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:

One Product

Two legs

Leg1 (buy leg) must be the nearest expiration



Leg2 (sell leg) must be the deferred expiration

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

Buying a Standard Calendar Spread buys leg1, sells leg2

buys leg1, sells leg2 Selling a Standard Calendar Spread sells leg1, buys leg2

Example

Instrument Symbol = NGZ9-NGF0

Leg1 = +1 NGZ9



Leg2 = -1 NGF0

Note: 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

The Standard Calendar Spread Trade Price is = Leg1 – Leg2

Leg Price Assignment

Determine the anchor leg of the Standard Calendar Spread The leg with the most recent price update (last price update or settlement price) is the anchor leg. In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg

Calculate the non-anchor leg:

If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price



If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price

If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

Note: 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

Leg1 is the anchor leg

Leg2 is calculated:

Leg2 = Leg1 – Trade Price of spread

Pricing Example

Standard Calendar Spread trades at -105

Leg1 = anchor price of 2558, therefore this is automatically assigned

Leg2 = 2558 – (-105) or Leg2 = 2558 + 105 = 2663

In this example leg2 has the most recent price

Leg2 is the anchor leg

Leg1 is calculated:

Leg1 = Leg2 + Trade Price of spread

Pricing Example

Standard Calendar Spread trades at -105

Leg2 = anchor price of 2558, therefore this is automatically assigned

Leg1 = 2558 + (-105) or Leg1 – 105 = 245

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EQ Calendar Spread

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).

Note: 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:

One Product

Two legs

Leg1 (sell leg) must be the nearest expiration



Leg2 (buy leg) must be the furthest expiration

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

Buying this Calendar Spread sells leg1, buys leg2

sells leg1, buys leg2 Selling this Calendar Spread buys leg1, sells leg2

Example

Instrument Symbol = ESU9-ESZ9

Leg1 = - 1 ESU9



Leg2 = +1 ESZ9

Note: 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

This Calendar Spread Trade Price is = Leg2 – Leg1

Leg Price Assignment

Determine the anchor leg of this Calendar Spread The anchor leg is the prior day settlement price of Leg1

Calculate the non-anchor leg:

Leg 2 = Spread Price + Leg1 price

If the calculated price is outside the daily limits, set the Leg2 price to its limit and recalculate the price of Leg1

Leg1 = Leg2 – Spread Price

Note: 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

Leg1 has a prior day’s settlement of 2880.30

Leg2 = Trade Price + Leg1

80.65 + 2880.25

Leg2 = 2960.95

This Calendar Spread trades at 80.65

Leg2 has a lower limit price of 2967.95

Leg1 = Leg2 – spread trade price

2967.95 – 80.65

Leg2 = 2887.30

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FX Calendar Spread

Foreign Exchange (FX) consists of 2 instruments within the Foreign Exchange product group and with different expiration months. Due to tick differences between the spread and the outright markets, FX Leg prices from Spread trades may be allowed at non-standard tick increments.

Construction: Buy1exp2 Sell1exp1

Security Definition Example: 6EH9-6EZ8

Example: Buy the Spread

Buy 1 March 2019 CME EuroFX and

Sell 1 December 2018 CME EuroFX

Example: Sell the Spread

Sell 1 March 2019 EuroFX and

Buy 1 December 2018 EuroFX

The Goldman Sachs Commodity Index (GSCI) product, which is classified as an agricultural product, supports the Calendar spread FX spread.

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SD Calendar

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:

One Product

Two legs

Leg1 (buy leg) must be the deferred expiration



Leg2 (sell leg) must be the nearby expiration

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

Buying this Calendar buys leg1, sells leg2

buys leg1, sells leg2 Selling this Calendar sells leg1, buys leg2

Example

Instrument Symbol = 6BM7-6BJ7

Leg1 = +1 6BM7



Leg2 = - 1 6BJ7

Note: 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 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

This Calendar Trade Price is = Leg1 – Leg2

Leg Price Assignment

Determine the anchor leg of the Calendar

The leg with the most recent price update is the anchor leg.

In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg

Calculate the non-anchor leg:

If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price



If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price

If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

Note: 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

Leg1 = 14965

Leg2 is calculated

Leg1 – Trade Price of the spread



14965 - 10

Leg2 = 14955

In this example leg2 has the most recent price

This Calendar trades at 10

Leg2 = 14960

Leg1 is calculated 14960 + 10 Leg1 = 14970

Leg1 = Leg2 + Trade Price

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EC TAS Calendar Spread

SecuritySubType = EC





The TAS Calendar Spread is a Trade at Settlement (TAS) calendar futures spread involving the simultaneous purchase (sale) of one TAS product with a nearby expiration and a sale (purchase) of the same TAS 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.





A TAS Calendar Spread has:

One Product

Two legs

Leg1 (buy leg) must be the nearby expiration



Leg2 (sell leg) must be the deferred expiration

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

Buying an TAS Calendar Spread buys Leg1, sells Leg2

buys Leg1, sells Leg2 Selling an TAS Calendar Spread sells Leg1, buys Leg





Example

Instrument Symbol = CLTH0-CLTJ0

Leg1 = +1 CLTH0



Leg2 = -1 CLTJ0





This spread can trade at zero and at a negative price. Furthermore, the allowable price range tradeable in this product should be considered to be X number of ticks above and below the underlying product’s settlement price. The leg assignments below pertain to the price of the TAS outright. Clearing then completes the process at a designated time after settlement of the underlying contract with this formula: Underlying contract Settle price + TAS Leg assigned price = Assigned price to underlying contract

Pricing

The TAS Calendar Spread trade price is = Leg1 - Leg2





Leg Price Assignment

If the TAS Calendar Spread traded price is zero:

traded price is zero: Leg1 is priced at zero



Leg2 is priced at zero

If the TAS Calendar Spread traded price is a negative differential:

traded price is a negative differential: Leg1 is priced at zero



Leg2 is priced at the absolute value of the TAS Calendar Spread traded price

absolute value of the traded price If the TAS Calendar Spread traded price is a positive differential Leg2 is priced at zero Leg1 is priced at the TAS Calendar Spread traded price



Given for all of the following examples:

CLH0 settle price = 4961

CLJ0 settle price = 4980





And using this formula in Clearing:

Underlying contract settle price + TAS leg assigned price = Assigned price to underlying contract

TAS Calendar Spread traded price is 0

CLTH0 is priced at 0

CLTJ0 is priced at 0

Clearing assigns the following: CLH0 assigned price = 4961 CLJ0 assigned price = 4980



TAS Calendar Spread traded price is -2

CLTH0 is priced at 0

CLTJ0 is priced at 2

Clearing assigns the following: CLH0 assigned price = 4961 CLJ0 assigned price = 4980 + 2 = 4982



TAS Calendar Spread traded price is 3

CLTH0 is priced at 3

CLTJ0 is priced at 0

Clearing assigns the following: CLH0 assigned price = 4961 + 3 = 4964 CLJ0 assigned price = 4980



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CF Condor

Spread type=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:

One Product

Four legs

Leg1 (buy leg) must be the nearest expiration



Leg2 (sell leg) must be the second nearest expiration



Leg3 (sell leg) must be the third nearest expiration



Leg4 (buy leg) must be the most deferred expiration

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

Expiration sequencing for Condor :

: Leg1 month < Leg2 month < Leg3 month < Leg4 month



Example: GE:CF M9U9Z9H0

Buying a Condor buys leg1, sells leg2, sells leg3, buys leg4

buys leg1, sells leg2, sells leg3, buys leg4 Selling a Condor sells leg1, buys leg2, buys leg3, sells leg4





Example

Instrument Symbol = GE:CF M9U9Z9H0

Leg1 = +1 GEM9



Leg2 = -1 GEU9



Leg3 = -1 GEZ9



Leg4 = +1 GEH0





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





Pricing

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





Leg Price Assignment

Leg1, Leg2 and Leg3 are anchor legs and assigned prices based on one of the following rules (priority given to the lowest number rule that applies)

Last traded price Significant bid or offer that did not trade Settlement price

Leg4 is calculated: Leg1 = Trade Price + leg2 + leg3 – leg4 If leg1 has a calculated price outside of the daily limit, leg1 is adjusted to daily limit and leg2 price is recalculated Leg2 = leg1 – leg3 + leg4 – Trade Price If leg2 has a calculated price outside the daily limits, leg2 will be adjusted to the daily limit and leg3 recalculated Leg3 = leg1 - leg2 + leg4 – Trade Price

Trade Price – Leg1 + Leg2 + Leg3



If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated

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

Leg1 most recent price update = 9812.5

Leg2 most recent price update = 9857.5

Leg3 most recent price update = 9875.5

Leg4 is calculated:

Trade Price – leg1 + leg2 + leg3



13.5 – 9812.5 = -9799 + 9857.5 + 9875.5



Leg4 = 9934

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 is recalculated :

: Leg1 = Trade Price + leg2 + leg3 – leg4



13.5 + 9857.5 + 9875.5 – 9900



Leg1 = 9846.5

Leg2 has Fair Market Price = 9857.5

Leg3 has Fair Market Price = 9875.5

Leg4 = daily limit

Leg4 = 9900

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

Condor trades at 13.5

Leg1 = daily limit

Leg1 = 9814

Leg2 is recalculated:

Leg2 = leg1 – leg3 + leg4 – Trade Price



9814 – 9875.5 + 9900 – 13.5



Leg2 = 9825

Leg3 has a Fair Market Price of = 9875.5

Leg4 = daily limit

Leg4 = 9900

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

Condor trades at 13.5

Leg1 = 9814

Leg2 = daily limit

Leg2 = 9870

Leg3 is recalculated:

Leg3 = leg1 – leg2 + leg4 – Trade Price



9814 – 9870 + 9900 – 13.5



Leg3 = 9830

Leg4 = 9900

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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:

One Product

Four legs Leg1 (buy leg) must be a call at a certain strike price Leg2 (sell leg) must be a call at a higher strike price than leg1 Leg3 (sell leg) must be a call at a higher strike price than leg2 Leg4 (buy leg) must be a call at a higher strike price than leg3 Leg1 (buy leg) must be a call at a certain strike price Leg2 (sell leg) must be a call at a lower strike price than leg1 Leg3 (sell leg) must be a call at a lower strike price than leg2 Leg4 (buy leg) must be a call at a lower strike price than leg3

All legs must be the same expiration



Strike prices must be equidistant of each strike price in leg1



For a call Condor



For a put Condor

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

Buying a Condor buys leg1, sells leg2, sells leg3, and buys leg4

buys leg1, sells leg2, sells leg3, and buys leg4 Selling a Condor sells leg1, buys leg2, buys leg3, and sells leg4

Example

Instrument Symbol =

Leg1 = +1



Leg2 = -1



Leg3 = -1



Leg4 = +1

Example

Instrument Symbol = UD:1V: CO 0911959621

Leg1 = +1 ESU8 C2870



Leg2 = -1 ESU8 C2875



Leg3 = -1 ESU8 C2880



Leg4 = +1 ESU8 C2885

This spread can trade to a minimum price of zero.

Pricing

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

Leg Price Assignment

Calculate Fair Price of the Condor based on fair prices of the legs.

based on fair prices of the legs. Calculate the difference between the Condor trade price and the calculated fair price of the spread.

trade price and the calculated fair price of the spread. Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.

Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.

Pricing Example – Equal Distribution

Condor trades at 150

Leg1 has Fair Market Price of = 2900

Leg2 has Fair Market Price of = 2550

Leg3 has Fair Market Price of = 2150

Leg4 has Fair Market Price of = 1850

Spread Fair Market Price = [2900+1850] – [2550+2150] = 50

Spread Trade Price - Fair Market Price = 150 – 50 = 100

There are 4 ticks to distribute.

The adjustment is applied evenly as follows:

Leg1 = 2900 + 25 = 2925



Leg2 = 2550 – 25 = 2525



Leg3 = 2150 – 25 = 2125



Leg4 = 1850 + 25 = 1875

Pricing Example – Unequal Distribution

Condor trades at 175

Leg1 has Fair Market Price of = 2900

Leg2 has Fair Market Price of = 2550

Leg3 has Fair Market Price of = 2150

Leg3 has Fair Market Price of = 1850

Spread Fair Market Price = [2900+1850] – [2550+2150] = 50

Spread Trade Price - Fair Market Price = 175 – 50 = 125

There are 5 ticks to distribute.

The adjustment is applied as follows:

Leg1 = 2900 + 50 = 2950



Leg2 = 2550 – 25 = 2525



Leg3 = 2150 – 25 = 2125



Leg4 = 1850 + 25 = 1875

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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:

Two different products belonging to the same product group (e.g. energy)

Two legs

Leg1 (buy leg) must be the distilled product



Leg2 (sell leg) must be the raw product

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

Buying a Crack One:One buys leg1, sells 2

buys leg1, sells 2 Selling a Crack One:One sells leg1, buys 2

Examples

Instrument Symbol = BZ:C1 HO F0-BZ G0

Leg1 = +1 HOF0



Leg2 = -1 BZG0

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

Pricing

The Crack One:One Trade Price is = [(42 * Leg 1)/100] – Leg 2

Leg Price Assignment

Determine the anchor leg of the Crack One:One

The leg with the most recent price update is determined to be the anchor leg

If neither leg as a price update then the most recent settlement price of the legs will determine the anchor leg

The anchor leg price must be within the daily limits. If the anchor leg is outside the daily limits, reset the anchor leg to the daily limit.



Leg1 = [(Spread Price + Leg 2) *100]/42



Leg2 = [ (Leg1 * 42) / 100] – Spread Price

The final anchor leg price must be rounded up to the nearest 50 point increment if the Low Limit was violated and rounded down to the nearest 50 point increment if the High Limit was violated

Pricing Examples

Example: Leg1 as anchor leg

Crack One:One trades at 105

Leg1 has Fair Market Price of = 14890

Leg1 = 14900

Leg2 is calculated

Leg2 = (42*14900)/100 – 105



Leg2 = 6258 -105



Leg2 = 6153

Example: Leg2 anchor Leg

Crack One:One trades at 105

Leg2 has most recent price

Leg2 = 6147

Leg1 is calculated:

Leg1 = [(105 + 6147) * 100]/42



Leg1 = 625200/42



Leg1 = 14885.72

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MP Month Pack

SecuritySubType=MP

Month-Pack consists of selling 1 pack with a later expiration and buying 4 outright instruments of the same instrument month with a expiration earlier than the front month of the pack.

The spread is listed with the month code followed by a space, then the pack code. For example, GE:MP Z8 1YZ9 would represent 4 of the GEZ8 futures vs. the Z9 1-year Pack (GEH9, GEM9, GEU9, GEZ9)

Construction: Buy4exp1 Sell (Pack)1exp2

Security Definition Example: GE:MP Z8 1YH9

Example: Buy the Spread

Buy 4 December 2018 Eurodollar Futures and

Sell 1 March 2019 Eurodollar Pack

Pack = March 2019, June 2019, Sept 2019, Dec 2019

Example: Sell the Spread

Sell 4 December 2018 Eurodollar Futures and

Buy 1 March 2019 Eurodollar Pack

Pack = March 2019, June 2019, Sept 2019, Dec 2019

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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:

One Product

Four legs

Total legs in the pack must be evenly divisible by 4

Expiration of all the legs must be consecutive quarterly outright futures

Quantity/side ratio of the legs is +1:+1:+1:+1

Buying a Pack buys all components

buys all components Selling a Pack sells all components

Example

Instrument Symbol = GE:PK 01Y Z9

Leg1 = +1 GEZ9



Leg2 = +1 GEH0



Leg3 = +1 GEM0



Leg4 = +1 GEU0

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

Pricing

The Pack trade price is the average price of the differentials of each leg from its prior day’s settlement price

Leg Price Assignment

Obtain trade price of Pack

Price obtained is the differential for all legs, averaged

Integer portion of the Pack trade price is applied to all legs initially If the Pack trades +1.25, all legs are initially assigned a price of +1 from their respective settles If the Pack trades at -5.75, all legs are initially assigned a price of -2 from their respective settles

trade price is applied to all legs initially Adjust most deferred legs up or down a full point until the average differential of the legs is equal to the traded price of the Pack .

. The following method calculates the number of legs of the Pack that will not have any further adjustment to their prices.

If the traded Pack price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 3.

price has a decimal of .25, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 3.

If the traded Pack price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 2.

price has a decimal of .50, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 2.

If the traded Pack price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 1.

price has a decimal of .75, the number of legs not given an additional point adjustment equals the number of years of the pack is multiplied by 1. As a corollary, the number of legs that need to be adjusted up or down a point can be calculated by taking the result of the above calculation and subtracting it from the total number of legs in the product.

Examples

In all pricing examples, we will be using the GE:PK 01Y Z9 contract.

Components and settlement prices are as follows:

Leg1 = GEM9, prior day’s settle 9873



Leg2 = GEU9, prior day’s settle 9858.5



Leg3 = GEZ9, prior day’s settle 9834.5



Leg4 = GEH0, prior day’s settle 9821

Pack trades at 5

All legs are adjusted up 5 points

The decimal portion is zero, so no additional adjustments are needed

Results

Leg1 = 9873 + 5 = 9878





Leg2 = 9858.5 + 5 = 9863.5





Leg3 = 9834.5 + 5 = 9839.5





Leg4 = 9821 + 5 = 9826

Pack trades at -5.50 All legs are adjusted by down 5 points The decimal portion is .25, so (1 year * 2 = 2) legs will not receive an additional adjustment, and 2 (4 total legs – 2 leg that are not changing) will need an additional adjustment Results

trades at -5.50

Leg1 = 9873 - 5 = 9868





Leg2 = 9858.5 - 5 = 9853.5





Leg3 = 9834.5 - 5 = 9829.5





Leg4 = 9821- 6 = 9815

Pack trades at +5.25 All legs are adjusted by up 5 points The decimal portion is .25, so (1 year * 3 = 3) legs will not receive an additional adjustment, and 1 (4 total legs – 3 leg that are not changing) will need an additional adjustment Results

trades at +5.25

Leg1 = 9873 + 5 = 9878





Leg2 = 9858.5 + 5 = 9863.5





Leg3 = 9834.5 + 5 = 9839.5





Leg4 = 9821+ 6 = 9827

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PB Pack Butterfly

Spread type = PB

A Pack Butterfly is a Butterfly (BF) spread with each of the legs consisting of a Pack (PK) buying (selling) the Pack Butterfly consists of buying (selling) the nearby Pack, selling (buying) 2 Packs of the middle expiration, and buying (selling) the Pack at the most deferred expiration. The Pack expirations must have the same differential between them sequentially, i.e. if the expiration difference between Leg1 and Leg2 is one year, then an additional requirement exists regarding the components of the Packs contained in the Pack Butterfly: no individual outright instrument can exist in more than one Pack contained in the Pack Butterfly.





A Pack Butterfly has:

One Product

Three legs

Leg1 (buy leg) must be the Pack with the nearest quarterly expiration

with the nearest quarterly expiration

Leg2 (sell leg) must be the Pack with the middle expiration compared to legs 1 and 3 and with a multiple of two lots

with the middle expiration compared to legs 1 and 3 and with a multiple of two lots

Leg3 (buy leg) must be the Pack with the most deferred expiration

with the most deferred expiration Quantity/side ratio of the legs is +1:-2:+1

Buying a Pack Butterfly buys leg1, sells 2 * leg2, buys leg3

buys leg1, sells 2 * leg2, buys leg3 Selling a Pack Butterfly sells leg1, buys 2 * leg2, sells leg3





Example

Instrument Symbol = GE:PB Z0-Z1-Z2

Leg1 = +1 GE:PK 01Y Z0



Leg2 = -2 GE:PK 01Y Z1



Leg3 = +1 GE:PK 01Y Z2





This spread can trade at zero and at negative prices. For more information regarding the component legs, see the section on this page regarding Packs.





Pricing

The Pack Butterfly Trade Price is = Leg1 – (2 * Leg2) + Leg3





Leg Price Assignment

Leg1 and leg2 are the anchor legs and assigned the most recent updated price.

If no recent price update in either of the two legs; use the calculated value from the most recent price of the 4 individual legs of each pack.

Leg2 may be calculated; leg3 is calculated: Leg2 = Leg3 Calculated Price – Trade Price Leg3 = Leg1 Anchor Price + Trade Price Leg2 = Leg1 Anchor Price + (Trade Price * ¼) Leg3 = Trade Price – (Leg1 + 2 * leg2) Use the next most recent calculated pack to assign a value to the first leg of the spread and calculate Leg 2 and Leg 3 the same way as step 2 If there is no next most recent calculated Pack (PK), use settlement price for calculation

If price of the pack butterfly is greater than -1.0 and less than 1.0 use the same calculated price generated for the first leg and apply the entire price to the third leg of the butterfly.



If price of the pack butterfly is less than or equal to -1.0 or greater than or equal to 1.0, apply 1/4 of the price to the second leg and calculate the price of the third leg.



If no recent price update in the pack or underlying legs





Pricing Example Leg1 and Leg2; price greater than -1.0 and less than 1.0

Pack Butterfly trades at .5

Leg1 most recent price = 3.5

Leg2 most recent price = 3.5

Leg3 = 4.0





Pricing Example Leg1 and Leg2; price less than or equal to -1.0 or greater than or equal to 1.0

Pack Butterfly trades at 2.0

Leg1 = 3.5

Leg2 = Calculated

Leg2 = 5 + (2.0 * 1/4)

Leg2 = 0

Leg3 = Calculated

Leg3 = 2.0 – (leg1 + (2 *leg2)



Leg3 = 11.5

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PS Pack Spread

SecuritySubType=PS

The PS Pack Spread is the simultaneous purchase (sale) of a nearby PK Pack and sale (purchase) of a deferred PK Pack, priced as the differential of the PK Pack prices. PS Pack Spread is available as a futures Exchange-Defined Spread only.

A PS Pack Spread has

One product

Two PK Pack legs

expirations of legs must be different

Quantity/side ratio of +1:-1

Pricing

The PS Pack Spread Trade Price is the differential of the PK Pack leg prices The PK Pack prices are calculated following the PK rules



Leg price assignment Determine anchor PK Pack leg Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else the PK Pack leg with an outright futures leg with most recent trade, best bid/best offer, or Indicative Opening Price; else nearby PK Pack Subtract the PS Pack Spread Trade Price from the anchor PK Pack leg and assign to non-anchor PK Pack leg



Pricing Example

PS Pack Spread GE:PS M7-M8 trades at -2.25

GE:PK 01Y M7 Leg1 has the most recent trade at -1 and is designated the anchor GE:PK 07Y M8 Leg 2 = +1.25 (Leg1 Price - PS Pack Spread Trade Price)

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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:

One Product

Two legs

Leg1 (buy leg) must be the nearest expiration



Leg2 (sell leg) must be the deferred expiration

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

Buying a Reduced Tick Calendar Spread buys leg1, sells leg2

buys leg1, sells leg2 Selling a Reduced Tick Calendar Spread sells leg1, buys leg2

Example

Instrument Symbol = ZNZ9-ZNH0

Leg1 = +1 ZNZ9



Leg2 = -1 ZNH0

Note: 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

The Reduced Tick Calendar Spread Trade Price is = Leg1 – Leg2

Note: All prices below are in a fractional pricing format.

Leg Price Assignment

Determine the anchor leg of the Reduced Tick Calendar Spread The leg with the most recent price update is the anchor leg. In the event of no recent price updates, the prior day settle of the nearby leg will be the anchor leg.

Calculate the non-anchor leg:

If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price



If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price

If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

Note: 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

Leg1 = anchor price of 129300

Leg2 = 129300 – 1040 = 128260

Leg2 is the anchor leg

Reduced Tick Calendar Spread trades at 1040

Leg2 = anchor price of 129310

Leg1 = 129310 + 1040 = 130350

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FS Strip

SecuritySubType=FS

The Strip is the simultaneous purchase or sale of futures positions at the averaged price of the legs. FS is available in futures markets only in both Exchange- and User-Defined spreads.

An FS Strip has:

One product

Minimum of two legs

Maximum of 26 legs

Quantity/side ratio of +1:+1...+1

All legs must have the same tick size

For any single market, only FS or SA User-Defined Spreads will be recognized.

Pricing

Spread Trade Price = (Leg1+Leg2+...LegN)/Total number of legs

Leg price assignment Calculate strip settlement price by averaging all of the legs' most recent settlement prices and round to closest on-tick Subtract the result from step 1 from the Trade Price Add the differential from step 2 to each leg's settlement price Note: Leg prices may not be identical.



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.



Pricing Example

CU:FS 03M V6 trades at 13490

Given that

Average leg settlement price is 13550 Leg1 last settle price is 13750 Leg2 last settle price is 13550 Leg3 last settle price is 13350

13490 (Trade price) - 13550 (Average leg settlement price) = -60 Leg1 = 13750 (last settle price) - 60 = 13690 Leg2 = 13550 (last settle price) - 60 = 13490 Leg3 = 13350 (last settle price) - 60 = 13290



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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.

Products created with related legs and consecutive expirations will receive spread type SA in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType). Products designated spread type SA are priced as an average .

Products created with related legs and non-consecutive expirations will receive spread type GN in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType). Products designated spread type GN are priced as additive .

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:

One Product

Minimum of 2 legs

Maximum of 26 legs

For a future Average Price Strip

All legs must be buy side futures



All expirations will be consecutive



Expirations can be measured in days or months depending on the futures contained in the Average Price Strip



Instruments can be exchange listed or user defined. See examples below for symbology.

For an Option Average Price Strip

All legs must be buy side options



All legs must be calls or puts



All legs must have the same strike price



All expirations must be consecutive



Expirations can be measured in days, weeks, or months depending on the Options contained in the Average Price Strip

Quantity/side ratio of the legs is +1 for each individual leg

Buying an Average Price Strip buys each individual leg of the spread

buys each individual leg of the spread Selling an Average Price Strip sells each individual leg of the spread

Examples

Exchange listed Futures Average Price Strip Leg1 = +1 NGU9 Leg2 = +1 NGV9 Leg3 = +1 NGX9 First characters are the Futures Group (NG) Colon separator immediately follows the Group Spread Type follows the separator A space character follows the Spread Type Two digits after the space indicate the number of legs Following the digits is the period between the legs. M = Month, Y = Year, D = Day Last, a space followed by the expiration

Instrument Symbol = NG:SA 03M U9



Symbology points

Exchange listed Futures Average Price Strip composed of Daily Futures Leg1 = +1 JDLV817 Leg2 = +1 JDLV818 Leg3 = +1 JDLV819 First characters are the Futures Group (JDL) Colon separator immediately follows the Group Spread Type follows the separator A space character follows the Spread Type Two digits after the space indicate the number of legs Following the digits is the period between the legs. M = Month, Y = Year, D = Day Last, a space followed by the expiration (in this case, October 17, 2018)

Instrument Symbol = JDL:SA 03D 17V8



Symbology

User defined Futures Average Price Strip Leg1 = +1 NGJ9 Leg2 = +1 NGK9 Leg3 = +1 NGM9 Leg4 = +1 NGN9 Leg5 = +1 NGQ9 Leg6 = +1 NGV9 Leg7 = +1 NGX9 Leg8 = +1 NGZ9 First characters indicate the instrument is User Defined (UD), followed by a separating colon Next two characters indicate the instrument Group. For User Defined Instruments containing Futures only, this will be the group code of the contained Futures Another colon separator follows the group Next, a space followed by the Spread Type, followed by another space The following four digits indicate when the date the User Defined Spread was created The next six digits are the CME Security ID The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.

Instrument Symbol = UD:NG: SA 1015986004



Symbology

User Defined Options Average Price Strip Leg1 = +1 LOF9 C8000 Leg1 = +1 LOG9 C8000 Leg1 = +1 LOH9 C8000 First characters indicate the instrument is User Defined (UD), followed by a separating colon Next two characters indicate the instrument Group. For User Defined Instruments containing Options, this will be the group code for the options spread Another colon separator follows the group Next, there will either be a space or the letter C. The letter C indicates this User Defined Spread includes one or more covering futures in the package. The space or the C is followed by the Spread Type, followed by another space The following four digits indicate when the User Defined Spread was created The next six digits are the CME Security ID The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.

Instrument Symbol = UD:1N: SA 1015921428



Symbology

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

For illustration purposes, the spread in this example contains three legs

The trade price is the average of the individual legs

The trade price is applied equally to each of the legs as follows:

Leg1 = 1657



Leg2 = 1657



Leg3 = 1657

Pricing Example – Futures Spread Equal Distribution

Average Price Strip (GN) trades at 1657

For illustration purposes, the spread in this example contains three legs

The trade price is the addition of the individual legs

The trade price is applied equally to each of the legs as follows:

Leg1 = 1657



Leg2 = 1657



Leg3 = 1657

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

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SB Balanced Strip Spread

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 available in futures markets only in both Exchange- and User-Defined spreads.

An SB Strip has

One product

Two legs

Quantity/side ratio of +1:-1

Expiration of all legs must be different and symmetric

Legs will both be FS Strips or SA Strips; no FS vs SA Strip legs

FS or SA Strips must have the same number of legs FS or SA Strips must not share any outright legs FS or SA Strips must have the same duration (3 months, 6 months, etc.)



Pricing

The Spread Trade Price is the differential of the strip legs

Leg price assignment Determine anchor strip leg Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1 Subtract the Spread Trade Price from the non-anchor strip leg



Pricing Example

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

Strip Leg1 has the most recent trade at price 3229 and is designated the anchor Strip Leg1 = 3229 Strip Leg2 = 3225 (Leg1 Price - Spread Trade Price)

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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:

One Product

Four legs Leg1 must be a call in Exp1 Leg2 must be a call in Exp2 Leg3 must be a call in Exp3 Leg4 must be a call in Exp4 Leg1 must be a put in Exp1 Leg2 must be a put in Exp2 Leg3 must be a put in Exp3 Leg4 must be a put in Exp4

All legs must have the same strike price



Each leg must be in consecutive equidistant expirations (Exp1, Exp2, Exp3, Exp4)



All legs must be buys



For a call Strip



For a put Strip

Quantity/side ratio of the legs is +1:+1:+1:+1

Buying a Strip buys all legs

buys all legs Selling a Strip sells all legs

Example

Instrument Symbol = UD:U$: SR 1203930561

Leg1 = +1 GEZ9 C9675



Leg2 = +1 GEH0 C9675



Leg3 = +1 GEM0 C9675



Leg4 = +1 GEU0 C9675

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

Calculate Fair Price of the Strip based on fair prices of the legs.

based on fair prices of the legs. Calculate the difference between the Strip trade price and the calculated fair price of the spread.

trade price and the calculated fair price of the spread. Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.

Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.

Pricing Example – Equal Distribution

Strip trades at 206.5

Leg1 has Fair Market Price of = 41

Leg2 has Fair Market Price of = 48.5

Leg3 has Fair Market Price of = 54

Leg4 has Fair Market Price of = 59

Spread Fair Market Price = 202.5

Spread Trade Price - Fair Market Price = 206.5 – 202.5 = 4.0

There are 8 ticks to distribute.

The adjustment is applied evenly as follows:

Leg1 = 41 + 1 = 42



Leg2 = 48.5 + 1 = 49.5



Leg3 = 54 + 1 = 55



Leg4 = 59 + 1 = 60

Pricing Example – Unequal Distribution

Strip trades at 207.0

Leg1 has Fair Market Price of = 41

Leg2 has Fair Market Price of = 48.5

Leg3 has Fair Market Price of = 54

Leg4 has Fair Market Price of = 59

Spread Fair Market Price = 202.5

Spread Trade Price - Fair Market Price = 207.0 – 202.5 = 4.5

There are 9 ticks to distribute.

The adjustment is applied as follows:

Leg1 = 41 + 1.5 = 42.5



Leg2 = 48.5 + 1 = 49.5



Leg3 = 54 + 1 = 55



Leg4 = 59 + 1 = 60

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WS Unbalanced Strip

SecuritySubType=WS

Unbalanced Strip is a spread between two strips in the same product (Intra-commodity), but with differing durations (to allow for spreads between Winter and Summer, etc.). An Unbalanced Strip is constructed by buying the first expiring strip and selling the later expiring strip (Buy 1 stripExp1, Sell 1 stripExp2). The durations of each strip cannot be equal. The balance of the strip will continue to expire until only one expiration month remains.

Construction: Buy StripLeg1exp1 Sell StripLeg2exp2

Security Definition Example: GL:WS X2-J3

Example: Buy the Spread

Buy 1 November 2012 5Month Strip (GL:SA 05M X2) and

Sell 1 April 2013 7Month Strip (GL:SA 07M J3)

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Inter-Commodity Futures spread

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:

Two different products

Two legs

Leg1 is the buy leg



Leg2 is the sell leg

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

Buying an Inter-Commodity spread buys leg1 and sells leg2

spread buys leg1 and sells leg2 Selling an Inter-Commodity spread sells leg1 and buys leg2

Example

Instrument Symbol= NKDU9-NIYU9

Leg1 = +1 NKDU9



Leg2 = -1 NIYU9

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

Instrument Symbol= NKDU9-NIYU9

Leg1 = +1 NKDU9



Leg2 = -1 NIYU9

Leg Price Assignment

The anchor leg price must be determined first. It can be one of the following, and these rules are applied in order until one of them applies:

A recent significant bid or offer from either outright futures leg. To be significant, a bid must be greater than settle or the most recent traded price of the instrument, or an offer must be less than settle or the most recent traded price of the instrument.

An Indicative Opening Price can be a significant bid or offer in the prior rule.

Most recent traded outright leg in either NKD or NIY products pertaining to the spread in question, i.e. if the spread is NKDU9-NIYU9, an anchor price could be determined by the most recent trade in either NKDU9 or NIYU9.

The previous day’s settlement of the NKD outright futures

Calculate the non-anchor leg price:

If Leg1 is used as the anchor leg, then Leg2 = (Leg1 price – Spread Price)



If Leg2 is used as the anchor leg, then Leg1 = (Leg2 price + Spread Price)

Pricing Example

Example1 – Leg1 as anchor leg

Leg1 recent significant bid in NKDU9

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

Leg1 = 21260

Leg2 = Leg1 price – Spread price

= 21260-30

=21230

Differential applied to Leg2:

Leg1 = 21260

Leg2 = 21230

Example2 – Leg1 as anchor leg

Leg1 trade is the most recent

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

Leg1 = 21250

Leg2 = Leg1 price – Spread price

= 21250-30

=21220

Differential applied to Leg2:

Leg1 = 21250

Leg2 = 21220

Example3 – Leg2 as anchor leg:

Leg2 trade is the most recent

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

Leg2 = 21245

Leg1 price = Leg2 + Spread price

= 30 + 21245

=21275

Differential applied to Leg1:

Leg1 = 21275

Leg2 = 21245

Example4 – Leg1 as anchor leg:

Leg1 is prior day’s settle

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

Leg1 = 21200

Leg2 price = Leg1 price - Spread price

= 21200 - 30

= 21170

Differential applied to Leg2:

Leg1 = 21200

Leg2 = 21170

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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 decay until only one expiration month remains.

IMPORTANT NOTE: 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:

Two Products

Two legs

Each Leg is an Average Priced Strip with the same expiration and duration (number of component contracts)

with the same expiration and duration (number of component contracts) Leg1 (buy leg) must be one product



Leg2 (sell leg) must be a related but different product from Leg1

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

Buying an Cross-Commodity Strip Spread buys leg1, sells leg2

buys leg1, sells leg2 Selling an Cross-Commodity Strip Spread sells leg1, buys leg2

Example

Instrument Symbol = PW:XS 02M EJL-B6L X9 EJLX9 EJLZ9 B6LX9 B6LZ9

Leg1 = +1 EJL:SA 02M X9 (2 Month Strip)



Leg2 = -1 B6L:SA 02M X9 (2 Month Strip)

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

Pricing

The Cross-Commodity Strip Spread Trade Price is the differential between the two Average Priced Strips = Leg1 – Leg2

Leg Price Assignment

Determine the anchor leg of the Cross-Commodity Strip Spread The leg with the most recent price update of the strip (last price update or settlement price) is the anchor leg.

Calculate the non-anchor leg:

If Leg 1 is used as the anchor leg, then Leg2 = Leg1 price – Cross-Commodity Strip Spread Price

Price

If Leg 2 is used as the anchor leg, then Leg1 = Leg2 price + Cross-Commodity Strip Spread Price

Pricing Example

In this example Leg1 has the most recent price.

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

Leg1 traded at 5757 Leg1 is the anchor, and assigned a price of 5757 CLG0 is assigned a price of 5757 CLH0 is assigned a price of 5757

Leg2 has its price calculated Leg2 = 5757 – (–325) = 5757 + 325 = 6082 BZG0 is assigned a price of 6082 BZH0 is assigned a price of 6082



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DI Inter-Commodity Spread

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:

Two Products

Two legs This leg will have the same monthly expiration as Leg1 This leg will have the same underlying term as Leg1

Leg1 (buy leg) will be an interest rate product



Leg2 (sell leg) will be a different interest rate product

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

Buying the DSF Inter-Commodity Calendar buys leg1, sells leg2

buys leg1, sells leg2 Selling the DSF Inter-Commodity Calendar sells leg1, buys leg2

Example

Instrument Symbol = ZNZ9-N1UZ9

Leg1 = +1 ZNZ9



Leg2 = -1 N1UZ9

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

Pricing

The Interest Rate Inter-Commodity Spread Trade Price is = Leg1 – Leg2

Note All prices below are in a fractional pricing format.

Leg Price Assignment

The anchor leg will have the most recent price update; otherwise the prior day’s settlement price from Leg1 is the anchor leg

Calculate the non-anchor leg: Leg2 = Leg 1 price - Trade Price Leg 1 = Leg 2 price + Trade Price

If Leg 1 is used as the anchor leg



If Leg 2 is used as the anchor leg

If the calculated price is outside the daily limits, set the leg's price to its limit and recalculate the price of the anchor leg

Note: 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

Leg1 has the most recent trade at 130295

Leg2 is calculated:

Leg2 = Leg1 - Trade Price



130295 - 50

Leg2 = 130245

Example: Leg2 as anchor leg

DSF Treasury Inter-Commodity Calendar trades at 50

Leg2 has the most recent trade at 129290

Leg1 is calculated:

Leg1 = Leg2 + Trade Price



129290 + 50

Leg1 = 130020

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IV Implied Intercommodity Spread

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).

Note: Currently IV spreads only support US Treasury Futures.

A Implied Inter-Commodity Spread has:

Two Products

Two legs

Leg1 (buy leg) all quantities must be the same expiration as leg2



Leg2 (sell leg) all quantities must be the same expiration as leg1

Quantity/side ratio of the legs are pre-determined

A quantity side ratio of +5:-2 will be used in the below example

Buying an Implied Ratio Inter-Commodity Spread buys 5* leg1, sells 2* leg2

buys 5* leg1, sells 2* leg2 Selling an Implied Ratio Inter-Commodity Spread sells 2* leg1, buys 5* leg2

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

Pricing

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

Leg Price Assignment

Leg1 is calculated:

Leg1 = Leg1 Recent Price Update – Leg1 prior day’s settlement

Leg2 is anchor leg, and priced the prior day’s settlement price

Current Price Settlement Price Spread 0030 0000 Leg1 129105 128265 Leg2 15717 15718





Pricing Examples 5:2 Ratio

Instrument Symbol = NOB 05-02 Z9

Leg1 = +5 ZNZ9



Leg2 = -2 ZBZ9

Implied Ratio Inter-Commodity Spread trades at 30

Leg1 is calculated

Leg1 = Leg1 settlement – Spread Trade



Leg1 = 129105 - 30



Leg1 = 129075

Leg2 = 15717

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SI Intercommodity Spread

SecuritySubType=SI

This spread type, also known as the Soybean Crush, represents the price differential between the raw soybean product and the yield of its two processed products

Construction: Sell11exp1com1 Sell9exp1com2 Buy10exp1com3

Security Definition Example: SOM:SI N4-N4-N4

Example: Buy the Spread

Buy 11 July Soybean Meal

Buy 9 July Soybean Oil

Sell 10 July Soybeans

Example: Sell the Spread

Sell 11 July Soybean Meal

Sell 9 July Soybean Oil

Buy 10 July Soybeans

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BC Intercommodity

SecuritySubType=BC

This combination buys 1 Henry Hub Natural Gas futures contract and buys 1 Henry Hub Natural Gas Index futures contract with both contracts having the same expiration.

Example: Buy the Combination

Buy 1 HB:IN H7 =

Buy 1 Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) March 2017 expiration

Buy 1 Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (IN) March 2017 expiration

Example: Sell the Combination

Sell 1 HB:IN H7 =

Sell 1 Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) March 2017 expiration

Sell 1 Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (IN) March 2017 expiration

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IP Inter-Commodity Spread

SecuritySubType=IP



The Inter-commodity calendar spread for futures (commonly known as a “box spread") allows customers to trade calendar spreads on Inter-commodity spreads as a single instrument, eliminating leg execution risk.

Construction: Buy1com1exp1 Sell1com2exp1 Sell1com1exp2 Buy1com2exp2

Security Definition Example:

NG:HH Z7-F8

Example: Buy the Spread

Buy 1 December 2017 Henry Hub Natural Gas (NG)

Sell 1 December 2017 Henry Hub Natural Gas Last Day Financial Future (HH)

Sell 1 January 2018 Henry Hub Natural Gas (NG)

Buy 1 January 2018 Henry Hub Natural Gas Last Day Financial Future (HH)

Example: Sell the Spread

Sell 1 December 2017 Henry Hub Natural Gas (NG)

Buy 1 December 2017 Henry Hub Natural Gas Last Day Financial Future (HH)

Buy 1 January 2018 Henry Hub Natural Gas (NG)

Sell 1 January 2018 Henry Hub Natural Gas Last Day Financial Future (HH)

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RI Inter-Commodity Spread

SecuritySubType=RI



This spread allows a difference in tick size between the underlying instrument and the spread, where the underlying instrument trades at a larger tick size than the spread market.

Construction: Buy1com1exp1 Sell1com2exp1

Security Definition Example: HPH8-NGH8

Example: Buy the Spread

Buy 1 March 2018 Natural Gas (Henry Hub) Penultimate Financial Futures

Sell 1 March 2018 Natural Gas (Henry Hub) Last-day Financial Futures

Example: Sell the Spread

Sell 1 December 2018 Natural Gas (Henry Hub) Penultimate Financial Futures

Buy 1 December 2018 Natural Gas (Henry Hub) Last-day Financial Futures

These spreads are currently available for customer testing in New Release.

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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 Spread

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 Spread

SecuritySubType=SC

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

Security Definition Example: ZTU50317A-ZTM50317A

Example: Buy the Spread

Buy 1Mar 2016 5Y IN and sell 1 Dec 2015 5Y IN

Example: Sell the Spread

Sell 1Mar 2016 5Y IN and buy 1 Dec 2015 5Y IN

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SW Invoice Swap Switch Spread

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 Mar 2015 vs. 10 yr Mar 2015) as two legs.

Security Definition Example: ZNM51221A-ZTM50317A

Example: Buy the Spread

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

Example: Sell the Spread

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

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TL Tail Spread

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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An EF inter-exchange reduced tick ratio spread has:

Two products in two different DCMs Expiration 2 Expiration 3 Expiration 1

Interest Rate future (DCM 1)



Interest Rate future (DCM 2)

Expiration 1 shall be the nearest quarterly expiry month for Interest Rate future (DCM 2)

Expirations 2 and 3 shall be the nearest consecutive months for Interest Rate future (DCM 1) dated after Expiration 1

Sixteen legs

Quantity/side ratio of [+3:+3]:-10 (Quantity/side ratio constructed with a bid-side bias)

Construction: Buy3exp2com1 Buy3exp3com1 Sell10exp1com2

Security Definition Example: ZQF8G8-GEZ7

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

Leg 3 (Com2) is the anchor and assigned the most recent available price from the outright market; trade, best bid/best offer, or Indicative Opening Price.

Legs 1 and 2 (Com1) are assigned prices in line with the outright markets but adjusted if necessary to equal the Spread Trade Price.

Example of trade with leg price adjustment

This example illustrates the leg price assignments after adjustment.

Spread ZQF8G8-GEZ7 trades at 0.1425

ZQF8 Early Expiry = 98.9750

ZQG8 Later Expiry = 98.9050

GEZ7 Qtry Expiry = 98.8000

(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:

ZQF8 Early Expiry = 98.9750

ZQG8 Later Expiry = 98.9100

(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:

One Product

Two legs Both legs must be of different expiration First leg must be the deferred expiration to the second leg First leg must be a buy Both legs must have the same strike Both legs must be calls or puts

Buying the Horizontal buys leg1 and sells leg2

buys leg1 and sells leg2 Selling the Horizontal sells the leg1 and buys leg2

sells the leg1 and buys leg2 Quantity/side ratio of the legs is +1:-1

Example

Instrument Symbol = UD:1V: HO 0709947215

Leg 1 =+1 ESZ8 P2300



Leg 2 = -1 ESU8 P2300

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

Calculate Fair Price of the Horizontal based on fair prices of the legs.

Calculate the difference between the Horizontal trade price and the calculated fair price of the spread.

Spread Trade Price = Fair Market Price; no remainder to distribute to the legs

Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules

Pricing Example – Equal Distribution

Horizontal trades at 20

Leg1 has Fair Market Price of 130

Leg2 has Fair Market Price of 120

Spread Fair Market Price = 130-120 =10

Spread Trade Price – Fair Market Price = 10

There are 10 ticks to distribute

Leg1 = 130 +5 = 135



Leg2 = 120 - 5 = 115

Pricing Example – Unequal Distribution

Horizontal trades at 15

Leg1 has Fair Market Price of 130

Leg2 has Fair Market Price of 120

Spread Trade Price - Fair Market Price = 15 – 10 = 5

There are 5 ticks to distribute

Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1

Leg1 = 130 + 3 = 133



Leg2 = 120 - 2 = 118



133 - 118 = 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 put (call) in an earlier expiration. There are additional requirements for the strike prices based on whether puts or calls are used.

A Diagonal has:

One Product

Two legs

Both legs must be of different expirations



Both legs must be of different strike prices



First leg must be the deferred expiration compared to the second leg



For a Call Diagonal



First leg must be a buy of a call in a deferred expiration





Second leg must be a sell of a call in a nearby expiration (compared to leg1)



For a Put Diagonal



First leg must be a buy of a put in a deferred expiration





Second leg must be a sell of a put in a nearby expiration (compared to leg1)

Buying the Diagonal buys leg1 and sells leg2

buys leg1 and sells leg2 Selling the Diagonal sells the leg1 and buys leg2

sells the leg1 and buys leg2 Quantity/side ratio of the legs is +1:-1

Products created without following strike price construction rules below will receive spread type GN in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType).

Examples

Instrument Symbol = UD:1V: DG 1112959471

Leg 1 = +1 EWF9 C2940



Leg 2 = +1 EWX8 C2865

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

Leg Price Assignment

Calculate Fair Price of the Diagonal based on fair prices of the legs.

based on fair prices of the legs. Calculate the difference between the Diagonal trade price and the calculated fair price of the spread.

trade price and the calculated fair price of the spread. Spread Trade Price = Fair Market Price; no remainder to distribute to the legs

Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules

Pricing Example – Equal Distribution

Diagonal trades at 850

Leg1 has Fair Market Price of 850

Leg2 has Fair Market Price of 130

Spread Fair Market Price = 850-130 = 720

Spread Trade Price – Fair Market Price = 850 – 720 = 130

There are 26 ticks to distribute (smallest tick is in the Leg2 price)

Ticks are divided up equally as follows:

Diagonal Leg1 = 850 + 65 = 915

Leg1 = 850 + 65 = 915

Diagonal Leg2 = 130 – 65 = 65

Pricing Example – Unequal Distribution

Diagonal trades at 825

Leg1 has Fair Market Price of 850

Leg2 has Fair Market Price of 130

Spread Fair Market Price = 850-130 = 720

Spread Trade Price – Fair Market Price = 825 – 720 = 105

There are 21 ticks to distribute

Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg2:

Diagonal Leg1 = 850 + 50 = 900

Leg1 = 850 + 50 = 900

Diagonal Leg2 = 130 – 55 = 75

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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:

One Product

Two legs

Both legs must be same expiration



Both legs must have the same strike



One leg must be a call



One leg must be a put

Quantity/side ratio of the legs is +1:+1

Buying the Straddle buys both legs

buys both legs Selling the Straddle sells both legs

Example

Instrument Symbol = UD:U$: ST 0625928966

Leg 1 = +1 GEU9 C9712



Leg 2 = +1 GEU9 P9712

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

Calculate Fair Price of the Straddle based on fair prices of the legs

Calculate the difference between the Straddle trade price and the calculated fair price of the spread

Spread Trade Price = Fair Market Price; no remainder to distribute to the legs

Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules

Pricing Example – Equal Distribution

Straddle trades at 127.5

Leg1 has Fair Market Price of 119

Leg2 has Fair Market Price of 8.5

Spread Fair Market Price = 119 + 8.5 = 127.5

There are 0 ticks to distribute.

Trade Price = Fair Market Price; no remainder to distribute to the legs

Leg1 = 119 + 0 = 119



Leg2 = 8.5 + 0 = 8.5

Pricing Example – Unequal Distribution

Straddle trades at 128

Leg1 has Fair Market Price of 119

Leg2 has Fair Market Price of 8.5

Spread Fair Market Price 119 + 8.5 = 127.5

Spread Trade Price - Fair Market Price = .5

There is .5 tick to distribute.

Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1

Leg1 = 119 + .5 = 119.5



Leg2 = 8.5+ 0 = 8.5

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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:

One product

Two legs The legs must be of same expirations Both legs must have different strikes Leg1 must be a put of a lower strike price Leg2 must be a call of a higher strike price Quantity/side ratio of +1:+1 Buying the Strangle buys both legs Selling the Strangle sells both legs



Example

Instrument Symbol = UD:U$: SG 0625930013

Leg1 = +1 GEH9 P9712



Leg2 = +1 GEH9 C9725



Buying the Strangle buys the put at a lower strike price and buys the call at a higher strike price

buys the put at a lower strike price and buys the call at a higher strike price

Selling the Strangle sells the put at a lower strike price and sells the call at a higher strike price

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

Calculate Fair Price of the Strangle based on fair prices of the legs

based on fair prices of the legs Calculate the difference between the Strangle trade price and the calculated fair price of the spread

trade price and the calculated fair price of the spread Spread Trade Price = Fair Market Price; no remainder to distribute to the legs

Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules

Pricing Example – Equal Distribution

Strangle trades at 21.0

Strangle Leg1 has Fair Market Price of 9.5

Strangle Leg2 has Fair Market Price of 11.5

Spread Fair Market Price 9.5 + 11 = 21

Spread Trade Price = Fair Market Price; no remainder to distribute to the legs

There are 0 ticks to distribute. Strangle Leg1 = 9.5 Strangle Leg2 = 11.5



Pricing Example – Unequal Distribution

Strangle trades at 25.5

Strangle Leg1 has Fair Market Price of 9.5

Strangle Leg2 has Fair Market Price of 11.5

Spread Fair Market Price 9.0 + 11 = 21

Strangle Trade Price – Fair Market Price = 4.5

There are 4.5 ticks to distribute.

Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1

Strangle Leg1 = 12.0



Strangle Leg2 = 13.5

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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:

One Product

Two legs

Both legs must be same expiration



Both legs must be calls or puts



Both legs must have different strike prices For a Call Vertical Leg1 must be a at a lower strike Leg2 must be a at a higher strike

For a Put Vertical Leg1 must be at a higher strike Leg2 must be at a lower strike

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

Buying the Vertical buys one leg1 and sells leg2

buys one leg1 and sells leg2 Selling the Vertical sells one leg1 and buys leg2

Example

Instrument Symbol = UD:U$: VT 0709922760

Leg 1 = +1 GEU9 C9737



Leg 2 = -1 GEU9 C9762

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

Calculate Fair Price of the Vertical based on fair prices of the legs

based on fair prices of the legs Calculate the difference between the Vertical trade price and the calculated fair price of the spread

trade price and the calculated fair price of the spread Spread Trade Price = Fair Market Price; no remainder to distribute to the legs

Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules

Pricing Example – Equal Distribution

Vertical trades at 4.0

Leg1 has Fair Market Price of = 9

Leg2 has Fair Market Price of = 5

Spread Fair Market Price = 9 - 5 = 4

Spread Trade Price – Fair Market Price = 4 – 4 = 0

There are 0 ticks to distribute.

Spread Trade Price – Fair Market Price = 1 Fair Market Price; no remainder to distribute to the legs

Leg1 = 9



Leg2 = 5

Pricing Example – Unequal Distribution

Vertical trades at 4.5

Leg1 has Fair Market Price of 9

Leg2 has Fair Market Price of 5

Spread Fair Market Price = 9 – 5 = 4

Spread Trade Price - Fair Market Price = 4.5 – 4= 0.5

There are .5 ticks to distribute.

Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1

Leg1 = 9.25



Leg2 = 4.75

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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:

One Product

Four legs Leg1 (buy leg) must be a call at a strike price Leg2 (sell leg) must be a put at same strike price as leg1 Leg3 (buy leg) must be a put at a higher strike price than leg1 Leg4 (sell leg) must be a call at same strike price as leg3

All four legs must be the same expiration



Two legs must be calls and two legs must puts

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

Buying a Box buy Leg1, sell Leg2, buy Leg3, sell Leg4

buy Leg1, sell Leg2, buy Leg3, sell Leg4 Selling a Box sell Leg1, buy Leg2, sell Leg3, buy Leg4

Example

Instrument Symbol = UD:1V: BX 0806948120

Leg1 = +1 ESU8 C2500



Leg2 = -1 ESU8 P2500



Leg3 = +1 ESU8 P2800



Leg4 = -1 ESU8 C2800

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 Box Trade Price is = sum of Buy legs – sum of Sell legs, or

Leg1 – Leg2 + Leg3 – Leg4

Leg1 + Leg3 – (Leg2 + Leg4)

Leg Price Assignment

Calculate Fair Price of the Box based on fair prices of the legs.

based on fair prices of the legs. Calculate the difference between the Box trade price and the calculated fair price of the spread.

trade price and the calculated fair price of the spread. Spread Trade Price = Fair Market Price; no remainder to distribute to the legs

Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules

Pricing Example – Equal Distribution

Box trades at 34700

Leg1 has Fair Market Price of = 24775

Leg2 has Fair Market Price of = 3175

Leg3 has Fair Market Price of = 14950

Leg4 has Fair Market Price of = 1750

Spread Fair Trade Price = 24775 + 14950 – (3175 + 1750) = 34800

Spread Trade Price - Fair Market Price = 34700 – 34800 = -100

There are 4 ticks to distribute.

Leg1 = 24775 – 25 = 24750



Leg2 = 3175 + 25 = 3200



Leg3 = 14950 – 25 = 14925



Leg4 = 1750 + 25 = 1775

Pricing Example – Unequal Distribution

Box trades at 34775

Leg1 has Fair Market Price of = 24775

Leg2 has Fair Market Price of = 3175

Leg3 has Fair Market Price of = 14950

Leg4 has Fair Market Price of = 1750

Spread Fair Trade Price = 24775 + 14950 – (3175 + 1750) = 34800

Spread Trade Price - Fair Market Price = 34775 – 34800 = 25

There is 1 tick to distribute

UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1

Leg1 = 24775 – 25 = 24750



Leg2 = 3175



Leg3 = 14950



Leg4 = 1750

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CC Conditional Curve

SecuritySubType=CC

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

A Conditional Curve has:

Two Products

One product must be a Eurodollar mid-curve option



One product must be a Eurodollar option or Eurodollar mid-curve option



Both products must support the Conditional Curve options spread

options spread Two Legs Leg1 (buy leg) must be a call with an earlier underlying expiration compared to Leg2 Leg2 (sell leg) must be a call with a later underlying expiration compared to Leg1 Leg1 (buy leg) must be 