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legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the middle expiration compared to legs 1 and 3, and twice the quantity as leg 1 or leg 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be the most deferred expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-2:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration sequencing for ","type":"text"},{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":":","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 month < Leg 2 month < Leg 3 month","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"In addition, expirations differentials must be sequential and equal, Leg 2 month – Leg 1 month = Leg 3 month – Leg 2 month","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Example: SR1:BF M9–U9–Z9, the June – September – Decemberember butterfly, 9 – 6 = 12 – 9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are some exceptions to this (grains, meats)","type":"text","marks":[{"type":"strong"},{"type":"em"}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration sequencing for a ","type":"text"},{"type":"inlineExtension","attrs":{"extensionType":"com.atlassian.confluence.macro.core","extensionKey":"cfm-tooltip","parameters":{"macroParams":{"an.spaceKey":{"value":"EPICSANDBOX"},"text":{"value":"Expiration order is the same as the Butterfly but the equal expiration differential rule is waived."},"id":{"value":"v3ve8993pib"}},"macroMetadata":{"macroId":{"value":"6941f4cb-4304-4003-8168-0bef8c5432c7"},"schemaVersion":{"value":"1"},"indexedMacroParams":{"text":"Expiration order is the same as the Butterfly but the equal expiration differential rule is waived.","type":"text"},"placeholder":[{"type":"icon","data":{"url":"https://content-formatting.connect.apps.adaptavist.com/icons/CFMC_Kolekti_icon.svg"}}],"title":"Tooltip | Content Formatting Macros"}},"localId":"295c9427-422d-40d3-ab14-649c985b6bb5"}},{"text":"Broken Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" (aka Broken Fly):","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 month < Leg 2 month < Leg 3 month","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Example: SR1:BF H9–M9–Z9, the March - June - Decemberember broken butterfly, 6 - 3 != 12 - 9","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"fe6e9ed2-1436-41e8-a4be-81306980fd57"}}]},{"text":"Butterfly","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"fe6e9ed2-1436-41e8-a4be-81306980fd57"}},{"type":"strong"}]},{"text":" buys leg1, sells 2 * leg2, buys leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"fe6e9ed2-1436-41e8-a4be-81306980fd57"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"fe6e9ed2-1436-41e8-a4be-81306980fd57"}}]},{"text":"Butterfly","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"fe6e9ed2-1436-41e8-a4be-81306980fd57"}},{"type":"strong"}]},{"text":" sells leg1, buys 2 * leg2, sells leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"fe6e9ed2-1436-41e8-a4be-81306980fd57"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = SR1:BF M9–U9–Z9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1M4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -2 SR1U4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 SR1Z4","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – (2 * Leg2) + Leg3","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 and leg2 are the anchor legs and assigned fair market price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade Price + 2* Leg2 – Leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg3 price is outside the daily limits, Leg3 will be adjusted to daily limit and Leg2 is recalculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Trade Price + (2 * Leg2) – Leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = (Leg1 + Leg3 – Trade Price)/2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg2 is now outside the daily limits, leg2 will be adjusted to the daily limit and leg1 recalculated","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 9812.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 9857.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = ((Trade Price) – leg1 + (2 * leg2))","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9916","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Examples with Legs Calculated Outside of Daily Limits","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg3 outside daily limit; leg3 reset to daily limit and leg 2 is recalculated","type":"text"}]},{"type":"paragraph","content":[{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 9812.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9859.50","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9860","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has a Fair Market Price of = 9901","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg2 outside daily limit; leg2 reset to daily limit and leg1 recalculated","type":"text"}]},{"type":"paragraph","content":[{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Trade Price + (2 * Leg 2) - Leg 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 13.5 + 19740 – 9875.5 = 9878","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has a Fair Market Price of = 9870","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has a Fair Market Price of = 9875.5","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg1 outside daily limit; leg1 is reset to daily limit and all legs are recalculated starting at leg3.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Leg1 outside daily limit; leg1 reset to daily limit and leg3 recalculated.","type":"text"}]},{"type":"paragraph","content":[{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9814","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has a Fair Market Price of = 9870","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = ((Trade Price) – leg1 + (2 * leg2))","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9939.5","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"BO Butterfly","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"BO","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"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.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call ","type":"text"},{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call at the lowest strike price (herein known as strike1) for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call at the middle strike price (herein known as strike2) for a quantity of two lots","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be a call at the highest strike price (herein known as strike3) for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"strike2 – strike1 = strike3 – strike2","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put ","type":"text"},{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put at the highest strike price (herein known as strike1) for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at the middle strike price (herein known as strike2) for a quantity of two lots ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be a put at the lowest strike price (herein known as strike3) for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"strike1 – strike2 = strike2 – strike3","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All three legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-2:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f15e81a8-cb94-465d-a40c-9c6c7d179762"}}]},{"text":"Butterfly ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f15e81a8-cb94-465d-a40c-9c6c7d179762"}},{"type":"strong"}]},{"text":"buys leg1, sells leg2, and buys leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f15e81a8-cb94-465d-a40c-9c6c7d179762"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f15e81a8-cb94-465d-a40c-9c6c7d179762"}}]},{"text":"Butterfly ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f15e81a8-cb94-465d-a40c-9c6c7d179762"}},{"type":"strong"}]},{"text":"sells leg 1, buys leg2, and sells leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f15e81a8-cb94-465d-a40c-9c6c7d179762"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1N: BO 0808912345","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 LOU8 C6600","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -2 LOU8 C6800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 LOU8 C7000","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"BO Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"Trade Price is = leg1 – (2 * leg2) + leg3","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 57","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 141","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 46","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 12","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 141 + 12 – (2*46) = 61","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 57 – 61 = -4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 141 +1 = 142","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"27430422-d9b6-49a3-ad2d-a6e6e7b5f988"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 46 + 1 = 45 (Note: this leg is a two lot, so the price adjustment counts double)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 12 - 1 = 13","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 59","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 141","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 46","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 12","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 141 + 12 – (2*46) = 61","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 59 – 61 = -2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 2 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 141 -2 = 139","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 46","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 12","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"DF Double Butterfly","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType =","type":"text"},{"text":" DF","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Double Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":" is composed of two different ","type":"text"},{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" spreads with the nearest","type":"text"},{"text":" Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" expiration purchased (sold) and the furthest ","type":"text"},{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" expiration sold (purchased). The spacing of expirations in both ","type":"text"},{"text":"Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" spreads needs to be identical, i.e. both need to be “three month” ","type":"text"},{"text":"Butterflies","type":"text","marks":[{"type":"strong"}]},{"text":". This causes the actual construction of the ","type":"text"},{"text":"Double Fly","type":"text","marks":[{"type":"strong"}]},{"text":" to look like this:","type":"text"}]},{"type":"paragraph","marks":[{"type":"indentation","attrs":{"level":1}}],"content":[{"text":"Buy (sell) one of the nearest expiration, sell (buy) three of the second nearest expiration, buy (sell) three of the third nearest expiration, and sell (buy) one of the most deferred expiration.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Double Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the next nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be the third nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (sell leg) must be the most deferred expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-3:+3:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration sequencing for ","type":"text"},{"text":"Double Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":":","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 month < Leg2 month < Leg3 month < Leg4 month","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"In addition, expiration differentials must be sequential and equal, i.e. if Leg1 expires in June and Leg2 expires in September, the next two legs must have an expiration differential of three months as well, so Leg3 must expire in December. and Leg4 must expire in March of the next year (see symbol below for an example of this)","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]},{"text":": Instrument Symbol = SR1:DF M9U9Z9H0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1M4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -3 SR1U4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +3 SR1Z4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = -1 SR1H0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying of ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"769f218e-fff1-47dc-9f00-f7a33ed753d8"}}]},{"text":"Double Butterfly","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"769f218e-fff1-47dc-9f00-f7a33ed753d8"}},{"type":"strong"}]},{"text":" buys leg1, sells three of leg2, buys three of leg3, sells leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"769f218e-fff1-47dc-9f00-f7a33ed753d8"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling of ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"769f218e-fff1-47dc-9f00-f7a33ed753d8"}}]},{"text":"Double Butterfly","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"769f218e-fff1-47dc-9f00-f7a33ed753d8"}},{"type":"strong"}]},{"text":" sells leg1, buys three of leg2, sells three of leg3, buys leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"769f218e-fff1-47dc-9f00-f7a33ed753d8"}}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Double Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – (3 * Leg2) + (3 * Leg3) – Leg","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1, leg2 and leg3 are assigned most recent price update ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 is calculated using the differential of the traded spread price:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 – (3 * Leg2) + (3 * Leg3) – Trade Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Trade Price + (3 * Leg2) - (3 * Leg3) +Leg4","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If leg1 recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Double Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9812.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9857.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9857.0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"9812.5 – (3 * 9857.5) + (3 * 9857.0) – 13.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9797.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example Legs Calculated Outside of Daily Limits","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Double Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has a calculated price:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Trade Price + (3 * Leg2) - (3 * Leg3) +Leg4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 13.5 +29572.5 – 29571.0 + 9797.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9812.5","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9857.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9857.0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9797.5","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"SP, EQ, FX, SD, EC","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"A Calendar spread consists of 2 instruments from a single product with different expiration months. There are variations in Calendar spreads based on the product. Each Calendar spread variation is designated through the use of a different spread type code.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Not all CME Group futures spread markets follow the convention where ","type":"text"},{"text":"Buying the Spread","type":"text","marks":[{"type":"em"}]},{"text":" indicates Buying the front expiration and selling the back expiration. The following markets use calendar spreads where Buying the Spread sells the front expiration month and buys the back expiration month:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CME FX","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Equity","type":"text"}]}]}]}]},{"type":"heading","attrs":{"level":2},"content":[{"text":"SP Standard Calendar","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the deferred expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1, sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" sells leg1, buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = NGZ9-NGF0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NGZ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 NGF0","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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).","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg with the most recent price update (last price update or settlement price) is the anchor leg.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"In this example leg1 has the most recent price","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the anchor leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Leg1 – Trade Price of spread","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at -105","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = anchor price of 2558, therefore this is automatically assigned","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2558 – 105 = 2453","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"In this example leg2 has the most recent price","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the anchor leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Leg2 + Trade Price of spread","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" Standard Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at -105","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = anchor price of 2558, therefore this is automatically assigned","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 2558 + (-105) or Leg1 – 105 = 2453","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":2},"content":[{"text":"EQ Calendar","type":"text"}]},{"type":"paragraph","content":[{"text":"This ","type":"text"},{"text":"Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" 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 ","type":"text"},{"text":"Calendar Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"is a differential between the two expirations (deferred minus nearby).","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"This","type":"text"},{"text":" Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (sell leg) must be the nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be the furthest expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is -1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying this ","type":"text"},{"text":"Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" sells leg1, buys leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling this ","type":"text"},{"text":"Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1, sells leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = ESU9-ESZ9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = - 1 ESU9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 ESZ9","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This","type":"text"},{"text":" Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" 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).","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"This ","type":"text"},{"text":"Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg2 – Leg1","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of this ","type":"text"},{"text":"Calendar Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The anchor leg is the prior day settlement price of Leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 2 = Spread Price + Leg1 price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the calculated price is outside the daily limits, set the Leg2 price to its limit and recalculate the price of Leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Leg2 – Spread Price","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"This","type":"text"},{"text":" Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 80.65","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has a prior day’s settlement of 2880.30","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Trade Price + Leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"80.65 + ","type":"text"},{"text":"2880.30","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"b61f8128-a362-4f70-a2a1-9c6073d76d8c"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2960.95","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"This","type":"text"},{"text":" Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 80.65","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has a lower limit price of 2967.95","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Leg2 – spread trade price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2967.95 – 80.65","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2887.30","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":2},"content":[{"text":"FX Deferred Calendar","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType =","type":"text"},{"text":" FX","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Deferred Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" 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. 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.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Deferred Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the deferred expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the nearby expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Deferred Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1, sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Deferred Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" sells leg1, buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = GDX9-GDV9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 GDX9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 GDV9 ","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how the Globex Matching Engine assigns prices. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Deferred Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Deferred Calendar Spread","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The anchor leg is the prior day settlement for leg2.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Trade Spread Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the calculated price is outside the daily limits, set the leg1 price to its limit and calculate the price of leg2","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2= Leg1 - Trade Price of the spread","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"In this example leg2 has prior day’s settlement price","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Deferred Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 10","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 prior day settle is 39905","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"39905 + 10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 39915","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Leg2 + Trade Price of the spread","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":2},"content":[{"text":"SD Calendar","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType =","type":"text"},{"text":" SD","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"This ","type":"text"},{"text":"Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Spread","type":"text","marks":[{"type":"strong"}]},{"text":" 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 = ","type":"text"},{"text":"SD","type":"text","marks":[{"type":"strong"}]},{"text":" is specific to ","type":"text"},{"text":"FX Calendar spreads","type":"text","marks":[{"type":"strong"},{"type":"em"}]},{"text":". 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.","type":"text"}]},{"type":"paragraph","content":[{"text":"This","type":"text"},{"text":" Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the deferred expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the nearby expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying this ","type":"text"},{"text":"Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1, sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling this ","type":"text"},{"text":"Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" sells leg1, buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = 6BM7-6BJ7","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 6BM7","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = - 1 6BJ7","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This","type":"text"},{"text":" Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" 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 how the Globex Matching Engine assigns prices. It is common for member firms to designate a default way of handling price assignment to these legs ","type":"text"},{"text":"in Clearing","type":"text","marks":[{"type":"em"}]},{"text":". As a result, it is common to have different leg prices assigned by Clearing that will not match the prices obtained from Globex. This process that allows leg price adjustment on traded calendar spreads is commonly referred to as SLEDS (Single Line Entry of Differential Spreads).","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"This ","type":"text"},{"text":"Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Calendar","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg with the most recent price update is the anchor leg.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"In the event of no price updates, the leg with the nearest expiration will be determined to be the anchor leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"In this example leg1 has the most recent price","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"This ","type":"text"},{"text":"Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 10","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 14965","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 – Trade Price of the spread","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"14965 - 10","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 14955","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"In this example leg2 has the most recent price","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"This ","type":"text"},{"text":"Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 10","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 14960","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"14960 + 10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 14970","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Leg2 + Trade Price","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":2},"content":[{"text":"EC Calendar","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType =","type":"text"},{"text":" EC","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"EC Calendar Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"is a calendar future 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 the nearby expiration minus the deferred expiration.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The EC Calendar strategy type currently supports TAS,TAM and BTIC calendar spreads.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"EC Calendar Spread structure:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the deferred expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying an ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"9ac938a7-991b-4210-8ad7-31e368d0e61b"}}]},{"text":"EC Calendar Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"9ac938a7-991b-4210-8ad7-31e368d0e61b"}},{"type":"strong"}]},{"text":" buys leg1, sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"9ac938a7-991b-4210-8ad7-31e368d0e61b"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling an ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"9ac938a7-991b-4210-8ad7-31e368d0e61b"}}]},{"text":"EC Calendar Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"9ac938a7-991b-4210-8ad7-31e368d0e61b"}},{"type":"strong"}]},{"text":" sells leg1, buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"9ac938a7-991b-4210-8ad7-31e368d0e61b"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = CLTX1-CLTZ1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 CLTX1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 CLTZ1","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"EC Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"trade price is = Leg1 - Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the anchor leg and priced at zero","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 - Spread Trade Price","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"EC Calendar Spreads Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Trades executed in the EC Calendar spreads are at a to be determined price. The final leg prices are assigned by clearing.","type":"text"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is always priced at zero","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is always priced at zero minus the EC Calendar Spread traded price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the EC Calendar Spread traded price is zero, the resulting Leg2 price will be zero","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the EC Calendar Spread traded price is negative, the resulting Leg2 price will be positive","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the EC Calendar Spread traded price is positive, the resulting Leg2 price will be negative","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"The following examples are of the ","type":"text"},{"text":"EC Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":", using the underlying TAS futures outright contract settlement prices:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 TAS underlying contract CLX1 settle price = 4961","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 TAS underlying contract CLZ1 settle price = 4980","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" EC Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"traded price is 0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLTX1 is priced at 0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLTZ1 is priced at 0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Clearing assigns the following:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLX1 assigned price = 4961","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLZ1 assigned price = 4980","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":" EC Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"traded price is -2","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLTX1 is priced at 0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLTZ1 is priced at 2","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"0- (-2) = 2","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Clearing assigns the following:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 4980 + 2 = 4982","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLX1 assigned price = 4961","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLZ1 assigned price = 4980- (-2) = 4982","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":" EC Calendar","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"traded price is 3","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLTX1 is priced at 0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLTZ1 is priced at -3","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"0 – 3 = -3","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Clearing assigns the following:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLX1 assigned price = 4961","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLZ1 assigned price = 4980 -3 = 4977","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"CF Condor","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"CF","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" is a differential futures spread composed of one product with four different expirations. Buying (selling) a ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" buys (sells) the nearest and most deferred expirations while simultaneously selling (buying) the middle two expirations.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"In its purest form, a ","type":"text"},{"text":"Condor’s","type":"text","marks":[{"type":"strong"}]},{"text":" component expirations are equidistant and consecutive. On CME Globex, this is not the case with every listed ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":". As a result, the above definition represents what a customer may find as a listed ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" instrument on CME Globex.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the second nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be the third nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (buy leg) must be the most deferred expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1:-1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration sequencing for ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":":","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 month < Leg2 month < Leg3 month < Leg4 month","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Example: SR1:CF M9U9Z9H0","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"e4137e46-0ef4-4c59-ba9a-408528a50530"}}]},{"text":"Condor","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"e4137e46-0ef4-4c59-ba9a-408528a50530"}},{"type":"strong"}]},{"text":" buys leg1, sells leg2, sells leg3, buys leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"e4137e46-0ef4-4c59-ba9a-408528a50530"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"e4137e46-0ef4-4c59-ba9a-408528a50530"}}]},{"text":"Condor","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"e4137e46-0ef4-4c59-ba9a-408528a50530"}},{"type":"strong"}]},{"text":" sells leg1, buys leg2, buys leg3, sells leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"e4137e46-0ef4-4c59-ba9a-408528a50530"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = SR1:CF M9U9Z9H0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1M4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 SR1U4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 SR1Z4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = +1 SR1H4","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2 – Leg3 + Leg4","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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)","type":"text"}]}]}]},{"type":"orderedList","attrs":{"order":1},"content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Last traded price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Significant bid or offer that did not trade","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Settlement price","type":"text"}]}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Trade Price + leg2 + leg3 – leg4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg1 has a calculated price outside of the daily limit, leg1 is adjusted to daily limit and leg2 price is recalculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = leg1 – leg3 + leg4 – Trade Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg2 has a calculated price outside the daily limits, leg2 will be adjusted to the daily limit and leg3 recalculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = leg1 - leg2 + leg4 – Trade Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade Price – Leg1 + Leg2 + Leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 most recent price update = 9812.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 most recent price update = 9857.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 most recent price update = 9875.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade Price – leg1 + leg2 + leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"13.5 – 9812.5 = -9799 + 9857.5 + 9875.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9934","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example - Legs Calculated Outside of Daily Limits","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg4 outside daily limit; leg4 reset to daily limit and leg1 is recalculated","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is recalculated","type":"text","marks":[{"type":"strong"}]},{"text":":","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Trade Price + leg2 + leg3 – leg4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"13.5 + 9857.5 + 9875.5 – 9900","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9846.5","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price = 9857.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price = 9875.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = daily limit","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9900","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":" Leg1 outside daily limit; leg1 reset to daily limit and leg2 recalculated","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = daily limit","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9814","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is recalculated:","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = leg1 – leg3 + leg4 – Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"9814 – 9875.5 + 9900 – 13.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9825","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has a Fair Market Price of = 9875.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = daily limit","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9900","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":" Leg2 outside daily limit; leg2 reset to daily limit and leg3 recalculated","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9814","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = daily limit","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9870","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 is recalculated:","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = leg1 – leg2 + leg4 – Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"9814 – 9870 + 9900 – 13.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9830","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9900","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"CO Condor","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"CO","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call at a certain strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call at a higher strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a call at a higher strike price than leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (buy leg) must be a call at a higher strike price than leg3","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put at a certain strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at a lower strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a put at a lower strike price than leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (buy leg) must be a put at a lower strike price than leg3","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: CO 0911959621","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ESU8 C2870","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ESU8 C2875","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 ESU8 C2880","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = +1 ESU8 C2885","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade to a minimum price of zero.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = [Leg1+Leg4] – [Leg2+Leg3]","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Condor ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 150","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 2900","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 2550","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 2150","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 1850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = [2900+1850] – [2550+2150] = 50","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 150 – 50 = 100","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 2900 + 25 = 2925","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2550 – 25 = 2525","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 2150 – 25 = 2125","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 1850 + 25 = 1875","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 175","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 2900","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 2550","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 2150","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 1850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = [2900+1850] – [2550+2150] = 50","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 175 – 50 = 125","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 5 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 2900 + 50 = 2950","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2550 – 25 = 2525","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 2150 – 25 = 2125","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 1850 + 25 = 1875","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"C1 Crack One-One","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"C1","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Crack One-One ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":"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.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Crack One-One","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two different products belonging to the same product group (e.g. energy)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the distilled product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the raw product","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Crack One-One ","type":"text","marks":[{"type":"strong"}]},{"text":"buys leg1, sells 2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Crack One-One ","type":"text","marks":[{"type":"strong"}]},{"text":"sells leg1, buys 2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = ","type":"text"},{"text":"CL:C1 RB-CL M5","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ","type":"text"},{"text":"RBM5","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ","type":"text"},{"text":"CLM5","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Crack One-One","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = ","type":"text"},{"text":"(Leg1*42/100)-Leg2 price","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Crack One-One","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg with the most recent price update is determined to be the anchor leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg1 price must always be rounded to the nearest 50 tick increment","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg2 is used as anchor leg, leg2 must be re-calculated once leg1 price is calculated and rounded","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = [(Spread Price + Leg 2) *100/42], rounded to the nearest 50 tick increment","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = [(Leg1 * 42) / 100] – Spread Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If neither leg as a price update then the most recent settlement price of the legs will determine the anchor leg.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If a calculated leg price is outside the daily limits, additional processing will be applied.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Example: Leg1 as anchor leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Crack One-One ","type":"text","marks":[{"type":"strong"}]},{"text":" trades at ","type":"text"},{"text":"2620","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = ","type":"text"},{"text":"23120","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c946a0ba-2f33-4e14-a31c-afd801095b63"}},{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = ","type":"text"},{"text":"23120","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 23100 (rounded to nearest 50 tick)","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = (23100*42/100)-2620","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9702 -2620","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 7082","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Example: Leg2 anchor Leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Crack One-One ","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 2620","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has most recent price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 7112","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = (2620 + 7112) * 100/42","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 973200/42","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 23171.4286","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 23150 (rounded to nearest 50 tick)","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Leg2:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = (23150*42/100)-2620","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9723-2620","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 7103","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"PK Pack","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"d5cbc791-1867-4b5a-83af-d48931d48c0f"}},{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"PK","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Pack","type":"text","marks":[{"type":"strong"}]},{"text":" 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 ","type":"text"},{"text":"Pack","type":"text","marks":[{"type":"strong"}]},{"text":" is an average net differential between the current market price of the legs and the prior day settlement price of the legs.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Pack ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Total legs in the pack must be evenly divisible by 4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration of all the legs must be consecutive quarterly outright futures","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1:+1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Pack ","type":"text","marks":[{"type":"strong"}]},{"text":"buys all components","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Pack ","type":"text","marks":[{"type":"strong"}]},{"text":"sells all components","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = SR1:PK 01Y Z9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1Z3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 SR1H4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 SR1M4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = +1 SR1U4 ","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Pack ","type":"text","marks":[{"type":"strong"}]},{"text":"trade price is the average price of the differentials of each leg from its prior day’s settlement price","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Obtain trade price of ","type":"text"},{"text":"Pack","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Price obtained is the differential for all legs, ","type":"text"},{"text":"averaged","type":"text","marks":[{"type":"strong"},{"type":"em"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Integer portion of the ","type":"text"},{"text":"Pack","type":"text","marks":[{"type":"strong"}]},{"text":" trade price is applied to all legs initially","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the ","type":"text"},{"text":"Pack","type":"text","marks":[{"type":"strong"}]},{"text":" trades +1.25, all legs are initially assigned a price of +1 from their respective settles","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the Pack trades at -5.75, all legs are initially assigned a price of -5 from their respective settles","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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 ","type":"text"},{"text":"Pack","type":"text","marks":[{"type":"strong"}]},{"text":".","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The following method calculates the number of legs of the ","type":"text"},{"text":"Pack","type":"text","marks":[{"type":"strong"}]},{"text":" that will ","type":"text"},{"text":"not","type":"text","marks":[{"type":"underline"},{"type":"em"}]},{"text":" have any further adjustment to their prices.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the traded","type":"text"},{"text":" Pack","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the traded","type":"text"},{"text":" Pack","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If the traded","type":"text"},{"text":" Pack","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"In all pricing examples, we will be using the SR1:PK 01Y Z4 contract.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Components and settlement prices are as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = SR1M4, prior day’s settle 9873","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = SR1U4, prior day’s settle 9858.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = SR1Z4, prior day’s settle 9834.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = SR1H4, prior day’s settle 9821","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Pack ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs are adjusted up 5 points","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The decimal portion is zero, so no additional adjustments are needed","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Results","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9873 + 5 = 9878","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9858.5 + 5 = 9863.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9834.5 + 5 = 9839.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9821 + 5 = 9826","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Pack ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at -5.50","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs are adjusted by down 5 points","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The decimal portion is .50, 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","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Results","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9873 - 5 = 9868","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9858.5 - 5 = 9853.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9834.5 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"afb78de7-4bef-432a-8483-ab4313e5cf5f"}}]},{"text":"- 6 = 9828.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"97b77ccc-00d4-4c4e-b099-a33a5d5c3729"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"afb78de7-4bef-432a-8483-ab4313e5cf5f"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9821- 6 = 9815","type":"text"}]}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Pack ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at +5.25","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs are adjusted by up 5 points","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Results","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9873 + 5 = 9878","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9858.5 + 5 = 9863.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9834.5 + 5 = 9839.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9821+ 6 = 9827","type":"text"}]}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"RT Reduced Tick","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"RT","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" 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 ","type":"text"},{"text":"RT","type":"text","marks":[{"type":"strong"}]},{"text":" will have a smaller tick than their corresponding outright legs.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the nearest expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the deferred expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"800131b5-1ac3-447f-aa84-122b39fe1179"}}]},{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"800131b5-1ac3-447f-aa84-122b39fe1179"}},{"type":"strong"}]},{"text":" buys leg1, sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"800131b5-1ac3-447f-aa84-122b39fe1179"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"800131b5-1ac3-447f-aa84-122b39fe1179"}}]},{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"800131b5-1ac3-447f-aa84-122b39fe1179"}},{"type":"strong"}]},{"text":" sells leg1, buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"800131b5-1ac3-447f-aa84-122b39fe1179"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = ZNZ9-ZNH0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ZNZ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ZNH0","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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 ","type":"text"},{"text":"in Clearing","type":"text","marks":[{"type":"em"}]},{"text":". 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).","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"All prices below are in a fractional pricing format.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg with the most recent price update is the anchor leg.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"In the event of no recent price updates, the prior day settle of the nearby leg will be the anchor leg.","type":"text","marks":[{"type":"em"}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg1 is the anchor leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1040","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = anchor price of 129300","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 129300 – 1040 = 128260","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg2 is the anchor leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Reduced Tick Calendar Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1040","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = anchor price of 129310","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 129310 + 1040 = 130350","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"FS Strip","type":"text"}]},{"type":"paragraph","content":[{"text":"Spread type =","type":"text"},{"text":" FS","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"is the simultaneous purchase (sale) of one product in consecutive month expirations at the average of the price of the legs. A ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" may be Exchange- or User-Defined. For any single market, only an FS ","type":"text"},{"text":"or","type":"text","marks":[{"type":"strong"}]},{"text":" SA User-Defined Spread type will be recognized.","type":"text"}]},{"type":"paragraph","content":[{"text":"Spread types ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" (SA) and ","type":"text"},{"text":"Futures Strip (FS)","type":"text","marks":[{"type":"strong"}]},{"text":" are not supported in the same market. ","type":"text"},{"text":"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.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Minimum of two legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Maximum of 26 legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of +1:+1...+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must have same tick size ","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = ZQ:FS 03M H0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ZQH0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 ZQJ0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 ZQK0","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread cannot trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"Trade Price is = (Leg1 + Leg2 + Leg3…LegN)/Total number of legs","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate strip settlement price by averaging all of the legs' most recent settlement prices","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Subtract the result from step 1 from the Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Add the differential from step 2 to each leg's settlement price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg prices may not be identical","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" Strip","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 13490","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Average leg settlement price is 13550","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 last settle price is 13750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 last settle price is 13550","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 last settle price is 13350","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"13490 (Trade price) - 13550 (Average leg settlement price) = -60","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 13750 (last settle price) - 60 = 13690","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 13550 (last settle price) - 60 = 13490","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 13350 (last settle price) - 60 = 13290","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SA Average Price Strip","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"SA","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" is a CME recognized future or options spread type involving the simultaneous purchase (sale) of multiple ","type":"text"},{"text":"related","type":"text","marks":[{"type":"underline"},{"type":"em"}]},{"text":" legs priced as the average of all included legs. Customers trading this product will receive legs priced at the ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" spread traded price.","type":"text"}]},{"type":"paragraph","content":[{"text":"This pricing model is unique to this spread type. ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Products created with related legs and consecutive expirations will receive spread type ","type":"text"},{"text":"SA","type":"text","marks":[{"type":"strong"}]},{"text":" in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType). Products designated spread type ","type":"text"},{"text":"SA","type":"text","marks":[{"type":"strong"}]},{"text":" are priced ","type":"text"},{"text":"as an average","type":"text","marks":[{"type":"underline"}]},{"text":". ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Products created with related legs and non-consecutive expirations will receive spread type ","type":"text"},{"text":"GN","type":"text","marks":[{"type":"strong"}]},{"text":" in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType). Products designated spread type GN are priced ","type":"text"},{"text":"as additive","type":"text","marks":[{"type":"underline"}]},{"text":".","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Spread types ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" (SA) and ","type":"text"},{"text":"Futures Strip (FS)","type":"text","marks":[{"type":"strong"}]},{"text":" are not supported in the same market. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"An ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" has three different variations according to whether it is Exchange listed, a User Defined Instrument for futures, or a User Defined Spread for options:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Minimum of 2 legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Maximum of 26 legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a future ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be buy side futures","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All expirations will be consecutive","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expirations can be measured in days or months depending on the futures contained in the ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instruments can be exchange listed or user defined. See examples below for symbology.","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For an Option ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be buy side options","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be calls or puts","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must have the same strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All expirations must be consecutive","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expirations can be measured in days, weeks, or months depending on the Options contained in the ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1 for each individual leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying an ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" buys each individual leg of the spread","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling an ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" sells each individual leg of the spread","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Exchange listed Futures","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NGU9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 NGV9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 NGX9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First characters are the Futures Group (NG)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Colon separator immediately follows the Group","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Type follows the separator","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"A space character follows the Spread Type","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two digits after the space indicate the number of legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Following the digits is the period between the legs. M = Month, Y = Year, D = Day","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Last, a space followed by the expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = NG:SA 03M U9","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Exchange listed Futures","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"composed of Daily Futures","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 JDLV817","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 JDLV818","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 JDLV819","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First characters are the Futures Group (JDL)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Colon separator immediately follows the Group","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Type follows the separator","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"A space character follows the Spread Type","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two digits after the space indicate the number of legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Following the digits is the period between the legs. M = Month, Y = Year, D = Day","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Last, a space followed by the expiration (in this case, October 17, 2018)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = JDL:SA 03D 17V8","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"User defined Futures","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NGJ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 NGK9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 NGM9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = +1 NGN9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 = +1 NGQ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 = +1 NGV9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg7 = +1 NGX9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg8 = +1 NGZ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First characters indicate the instrument is User Defined (UD), followed by a separating colon","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Next two characters indicate the instrument Group. For User Defined Instruments containing Futures only, this will be the group code of the contained Futures","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Another colon separator follows the group","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Next, a space followed by the Spread Type, followed by another space","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The following four digits indicate when the date the User Defined Spread was created","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The next six digits are the CME Security ID","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:NG: SA 1015986004","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"User Defined Options Average Price Strip","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 LOF9 C8000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 LOG9 C8000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 LOH9 C8000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First characters indicate the instrument is User Defined (UD), followed by a separating colon","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Next two characters indicate the instrument Group. For User Defined Instruments containing Options, this will be the group code for the options spread","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Another colon separator follows the group","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The space or the C is followed by the Spread Type, followed by another space","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The following four digits indicate when the User Defined Spread was created","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The next six digits are the CME Security ID","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The symbol does not convey the number of legs or the expiration. This information must be obtained from the Security Definition message.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1N: SA 1015921428","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" cannot be priced below the lowest tick of an individual instrument. Orders submitted at a price less than this lowest tick will be rejected.","type":"text"},{"text":" ","type":"text","marks":[{"type":"em"}]},{"text":"For any single market, only FS ","type":"text"},{"text":"or ","type":"text","marks":[{"type":"strong"}]},{"text":"SA User-Defined Spreads will be recognized.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Average Price Strip","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = the average price of all included legs","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The Spread Trade Price is assigned to each leg","type":"text"}]},{"type":"paragraph","content":[{"text":"Pricing Example – Futures Spread Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Average Price Strip (SA) trades at 1657","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For illustration purposes, the spread in this example contains three legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The trade price is the average of the individual legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The trade price is applied equally to each of the legs as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 1657","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 1657","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 1657","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Futures Spread Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Average Price Strip (GN) trades at 1657","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For illustration purposes, the spread in this example contains three legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The trade price is the addition of the individual legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The trade price is applied equally to each of the legs as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 1657","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 1657","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 1657","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"For these spreads, there is no possibility of Unequal Distribution of Prices.","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SB Balanced Strip","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"SB","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The SB Balanced Strip Spread is the simultaneous purchase or sale of futures strips at the differential price of the legs. SB is only available in futures markets in both Exchange-Defined and User-Defined spreads.","type":"text"}]},{"type":"paragraph","content":[{"text":"An SB Strip has","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration of all legs must be different and symmetric","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Legs must be either FS Strips, SA Strips or AB Strips; no mixed Strip legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"FS, SA or AB Strips must have the same number of legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"FS, SA or AB Strips must not share any outright legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"FS, SA or AB Strips must have the same duration (3 months, 6 months, etc.)","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The Spread Trade Price is the differential of the strip legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg price assignment","type":"text"}]},{"type":"orderedList","attrs":{"order":1},"content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine anchor strip leg","type":"text"}]},{"type":"orderedList","attrs":{"order":1},"content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg with most recent trade, best bid/best offer, or Indicative Opening Price; else Leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"orderedList","attrs":{"order":1},"content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price","type":"text"}]}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"SB Balanced (SA) Strip Spread NG:SB 05M X6-X7 trades at 4","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strip Leg1 has the most recent trade at price 3229 and is designated the anchor","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strip Leg1 = 3229","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strip Leg2 = 3225 (Leg1 Price - Spread Trade Price)","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Individual legs will be assigned prices according to FS Strip, SA Strip or AB Average Priced Bundle leg pricing rules.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SR Strip","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"SR","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call Strip","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be a call in Exp1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 must be a call in Exp2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 must be a call in Exp3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 must be a call in Exp4","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put Strip","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be a put in Exp1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 must be a put in Exp2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 must be a put in Exp3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 must be a put in Exp4","type":"text"}]}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must have the same strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Each leg must be in consecutive equidistant expirations (Exp1, Exp2, Exp3, Exp4)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be buys","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1:+1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" buys all legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" sells all legs","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: SR 1203930561","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1Z3 C9675","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 SR1H4 C9675","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 SR1M4 C9675","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = +1 SR1U4 C9675","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The minimum tradeable price of a ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 + Leg2 + Leg3 + Leg4","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 206.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 41","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 48.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 54","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 59","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 202.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 206.5 – 202.5 = 4.0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 8 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 41 + 1 = 42","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 48.5 + 1 = 49.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 54 + 1 = 55","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 59 + 1 = 60","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Strip","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 207.0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 41","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 48.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 54","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 59","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 202.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 207.0 – 202.5 = 4.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 9 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 41 + 1.5 = 42.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 48.5 + 1 = 49.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 54 + 1 = 55","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 59 + 1 = 60","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"WS Unbalanced Strip","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"WS","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Unbalanced Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"is a futures spread involving the simultaneous purchase (sale) of one ","type":"text"},{"text":"Average Priced Strip (SA)","type":"text","marks":[{"type":"strong"}]},{"text":" against the sale (purchase) of a second ","type":"text"},{"text":"Average Priced Strip (SA) ","type":"text","marks":[{"type":"strong"}]},{"text":"with the same expiration. Each ","type":"text"},{"text":"Averaged Priced Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"must contain a different number of component parts (i.e., two consecutive futures contracts versus three consecutive futures contracts), and each ","type":"text"},{"text":"Average Priced Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"must be of the same intra-commodity product (i.e., the first ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" is Henry Hub Natural Gas futures while the second ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" Henry Hub Natural Gas futures). ","type":"text"}]},{"type":"panel","attrs":{"panelType":"warning"},"content":[{"type":"paragraph","content":[{"text":"IMPORTANT!","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Average Priced Strips","type":"text","marks":[{"type":"strong"}]},{"text":" trade as the average price of all components, and leg assignment to those components will be the price assigned to the ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":".","type":"text"}]}]},{"type":"paragraph","content":[{"text":"An ","type":"text"},{"text":"Unbalanced Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the nearest expiration ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the next deferred expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Unbalanced Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"buys leg1, sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling an ","type":"text"},{"text":"Unbalanced Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"sells leg1, buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = NG:WS X9-F0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NG:SA 02M X9 (2 Month Strip)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 NG:SA 03M F0 (3 Month Strip)","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Unbalanced Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"Trade Price is the differential of the strip legs = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment ","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Unbalanced Strip Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" The leg (the SA Strip) with the most recent price update is the anchor leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg2 = Leg1 price – ","type":"text"},{"text":"Unbalanced Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg1 = Leg2 price + ","type":"text"},{"text":"Unbalanced Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"Price","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Unbalanced Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"NG:WS X9-F0 ","type":"text"},{"text":"trades at -325","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 SA Strip is the anchor and assigned a price of 1939","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"NGX9 is assigned a price of 1939","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"NGZ9 is assigned a price of 1939","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has its price calculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 1939 – (–325) = 1939 + 325 = 2264","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"NGF0 is assigned a price of 2264","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"NGG0 is assigned a price of 2264","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"NGH0 is assigned a price of 2264","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"IS Inter-Commodity Futures ","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"IS","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The","type":"text"},{"text":" Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" 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 ","type":"text"},{"text":"Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" futures spreads based on the components of the spread.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"There are different methods for leg assignment depending on the products composing the Inter-commodity spread.","type":"text"}]}]},{"type":"paragraph","content":[{"text":" A","type":"text"},{"text":" Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" futures spread has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two different products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the buy leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the sell leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f961457f-1d4a-4331-99ff-a02dc358f772"}}]},{"text":" Inter-Commodity ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f961457f-1d4a-4331-99ff-a02dc358f772"}},{"type":"strong"}]},{"text":"spread buys leg1 and sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f961457f-1d4a-4331-99ff-a02dc358f772"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f961457f-1d4a-4331-99ff-a02dc358f772"}}]},{"text":" Inter-Commodity ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f961457f-1d4a-4331-99ff-a02dc358f772"}},{"type":"strong"}]},{"text":"spread sells leg1 and buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f961457f-1d4a-4331-99ff-a02dc358f772"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol= NKDU9-NIYU9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NKDU9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 NIYU9","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing ","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The","type":"text"},{"text":" Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" futures spread Trade Price is equal to Leg1-Leg2.","type":"text"}]},{"type":"paragraph","content":[{"text":"When a match occurs in an ","type":"text"},{"text":"Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" spread, the traded differential is applied to either Leg1 or Leg2 to arrive at the price of the other leg.","type":"text"}]},{"type":"paragraph","content":[{"text":"Nikkei Inter Commodity spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol= NKDU9-NIYU9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NKDU9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 NIYU9","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment ","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The anchor leg price is assigned at Fair Market Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg price:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg1 is used as the anchor leg, then Leg2 = (Leg1 price – Spread Price)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg2 is used as the anchor leg, then Leg1 = (Leg2 price + Spread Price)","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"An Indicative Opening Price can be a significant bid or offer in the prior rule.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The previous day’s settlement of the NKD outright futures","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg price:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg1 is used as the anchor leg, then Leg2 = (Leg1 price – Spread Price)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg2 is used as the anchor leg, then Leg1 = (Leg2 price + Spread Price)","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Example1 – Leg1 as anchor leg","type":"text","marks":[{"type":"underline"},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg1 NKDU9 assigned Fair Market Price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8efb2ae5-a73e-4161-9fb8-87efe20b0248"}},{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Nikkei Inter-Commodity Spread - ","type":"text"},{"text":"NKDU9-NIYU9","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 30","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 21260","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Leg1 price – Spread price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"= 21260-30","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"=21230","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Differential applied to Leg2:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 21260","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 21230","type":"text"}]}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Example2 – Leg1 as anchor leg","type":"text","marks":[{"type":"underline"},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg1 NKDU9 assigned Fair Market Price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8dea0af1-c192-4979-a16c-9fdbf17afb11"}},{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Nikkei Inter-Commodity Spread - ","type":"text"},{"text":"NKDU9-NIYU9","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 30","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 21250","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Leg1 price – Spread price","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" = 21250-30","type":"text"}]},{"type":"paragraph","content":[{"text":" =21220","type":"text"}]},{"type":"paragraph","content":[{"text":"Differential applied to Leg2:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 21250","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 21220","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example3 – Leg2 as anchor leg:","type":"text","marks":[{"type":"underline"},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg2 NIYU9 assigned Fair Market Price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"2b23def5-065f-4975-8384-d22f9faa97ee"}},{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Nikkei Inter-Commodity Spread - ","type":"text"},{"text":"NKDU9-NIYU9","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 30","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 21245","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 price = Leg2 + Spread price","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" = 30 + 21245","type":"text"}]},{"type":"paragraph","content":[{"text":" =21275","type":"text"}]},{"type":"paragraph","content":[{"text":"Differential applied to Leg1:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 21275","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 21245","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example4 – Leg1 as anchor leg:","type":"text","marks":[{"type":"underline"},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg1 NKDU9 assigned Fair Market Price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"d7f94a71-ae5e-479b-9926-195b21f70b1f"}},{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Nikkei Inter-Commodity Spread - ","type":"text"},{"text":"NKDU9-NIYU9","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 30","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 21200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 price = Leg1 price - Spread price","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" = 21200 - 30","type":"text"}]},{"type":"paragraph","content":[{"text":" = 21170","type":"text"}]},{"type":"paragraph","content":[{"text":"Differential applied to Leg2:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 21200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 21170","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"XS Inter-Commodity Strip","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"XS","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Cross-Commodity Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"is a futures spread involving the simultaneous purchase (sale) of one ","type":"text"},{"text":"Average Priced Strip (SA)","type":"text","marks":[{"type":"strong"}]},{"text":" against the sale (purchase) of a second ","type":"text"},{"text":"Average Priced Strip (SA) ","type":"text","marks":[{"type":"strong"}]},{"text":"with the same expiration. Each ","type":"text"},{"text":"Averaged Priced Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"must contain the same number of component parts (i.e. three consecutive futures contracts), and each ","type":"text"},{"text":"Average Priced Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"must be of a different but related product (i.e. the first ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" is WTI Crude while the second ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" is Brent Last Day Financial Crude). After the first month of the strip from the first leg of the ","type":"text"},{"text":"Cross-Commodity Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"expires, the leg becomes a “balance of” spread. The balance of the ","type":"text"},{"text":"Cross-Commodity Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"will continue to Decemberay until only one expiration month remains.","type":"text"}]},{"type":"panel","attrs":{"panelType":"warning"},"content":[{"type":"paragraph","content":[{"text":"Important!","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Average Priced Strips","type":"text","marks":[{"type":"strong"}]},{"text":" trade as the average price of all components, and leg assignment to those components will be the price assigned to the ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":".","type":"text"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Cross-Commodity Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Each Leg is an ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" with the same expiration and duration (number of component contracts)","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be one product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a related but different product from Leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying an ","type":"text"},{"text":"Cross-Commodity Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"buys leg1, sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling an ","type":"text"},{"text":"Cross-Commodity Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"sells leg1, buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = PW:XS 02M EJL-B6L X9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"EJLX9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"EJLZ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"B6LX9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"B6LZ9","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 EJL:SA 02M X9 (2 Month Strip)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 B6L:SA 02M X9 (2 Month Strip)","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Cross-Commodity Strip Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"Trade Price is the differential between the two ","type":"text"},{"text":"Average Priced Strips","type":"text","marks":[{"type":"strong"}]},{"text":" = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Cross-Commodity Strip Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg with the most recent price update of the strip (last price update or settlement price) is the anchor leg.","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg2 = Leg1 price – ","type":"text"},{"text":"Cross-Commodity Strip Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg1 = Leg2 price + ","type":"text"},{"text":"Cross-Commodity Strip Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Price","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"In this example Leg1 has the most recent price.","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Cross-Commodity Strip Spread WS:XS 02M CL-BZ G0 trades at -325","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 traded at 5757","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the anchor, and assigned a price of 5757","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLG0 is assigned a price of 5757","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CLH0 is assigned a price of 5757","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has its price calculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 5757 – (–325) = 5757 + 325 = 6082","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"BZG0 is assigned a price of 6082","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"BZH0 is assigned a price of 6082","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"DI Inter-Commodity","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"DI","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"DSF Inter-Commodity Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"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 ","type":"text"},{"text":"term","type":"text","marks":[{"type":"em"}]},{"text":" (i.e., both products will be five year notional instruments).","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"DSF Inter-Commodity Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"This leg will have the same monthly expiration as Leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"This leg will have the same underlying term as Leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) will be an interest rate product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) will be a different interest rate product","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1: -1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"DSF Inter-Commodity Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"buys leg1, sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"DSF Inter-Commodity Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"sells leg1, buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = ZNZ9-N1UZ9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ZNZ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 N1UZ9","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Interest Rate Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"Trade Price is = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph"},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"All prices below are in a fractional pricing format.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The anchor leg will have the most recent price update; otherwise the prior day’s settlement price from Leg1 is the anchor leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Leg 1 price - Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 = Leg 2 price + Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.","type":"text"}]}]},{"type":"paragraph"},{"type":"paragraph","content":[{"text":"Pricing Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Example: Leg1 as anchor leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" DSF Inter-Commodity Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 50","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has the most recent trade at 130295","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Leg1 - Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"130295 - 50","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 130245","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example: Leg2 as anchor leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"DSF Treasury Inter-Commodity Calendar ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 50","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has the most recent trade at 129290","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Leg2 + Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"129290 + 50","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 130020","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"IV Implied Intercommodity","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"IV","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Implied Ratio Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"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).","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Currently, IV spread type only supports US Treasury Futures. The IV spread will trade at a fixed price or as a ratio spread with implications.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"IV - Spread to Spread trades at a fixed price; leg quantity ratios (e.g. 5:2) are not considered.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"IV - Spread trading with Implied In and Out; leg quantity ratios (e.g. 5:2) are taken into consideration during leg pricing.","type":"text"}]}]}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Implied Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) all quantities must be the same expiration as leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) all quantities must be the same expiration as leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs are pre-determined","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"A quantity side ratio of +5:-2 will be used in the below example","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying an ","type":"text"},{"text":"Implied Ratio Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"buys 5* leg1, sells 2* leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling an ","type":"text"},{"text":"Implied Ratio Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]},{"text":" sells 2* leg1, buys 5* leg2","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Spread to Spread Trade Pricing","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The spread trades at a fixed priced where the leg quantity ratios are not considered.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"4cae98bf-00c6-4694-a775-30b77a707191"}}]},{"text":"Implied Ratio Inter-Commodity Spread ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"4cae98bf-00c6-4694-a775-30b77a707191"}},{"type":"strong"}]},{"text":"Trade Price is = ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"4cae98bf-00c6-4694-a775-30b77a707191"}}]},{"text":"Spread to Spread trade.","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"4cae98bf-00c6-4694-a775-30b77a707191"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 price = Leg1 settle price+ spread price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"38577f20-b9c8-468f-8e2f-74e6e37541ea"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is anchor leg, and priced the prior day’s settlement price","type":"text"}]}]}]},{"type":"table","attrs":{"layout":"align-start","width":760.0,"localId":"dea921a9-52a7-4a3a-a0a4-c5fd5aea6039"},"content":[{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":" ","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Current Price","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Settlement Price","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Spread","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"0030","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"0000","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Leg1","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"129105","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"128265","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Leg2","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"15717","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"15718","type":"text"}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Examples 5:2 Ratio","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = NOB 05-02 Z9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +5 ZNZ9 ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -2 ZBZ9 ","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Implied Ratio Inter-Commodity Spread ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}},{"type":"strong"}]},{"text":"trades at 30","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Leg1 settlement + Spread Trade","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}}]},{"text":"128265","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" + 30","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 =","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}}]},{"text":"128295","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 15718","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Implied Spread Trading","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"553c109b-2694-4dc1-9c8a-b61adbfe1e84"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a665cb1c-4cba-4014-92ce-cd7a48afb734"}},{"type":"strong"}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The implied trade pricing takes the leg quantity ratios into consideration.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"The Implied Ratio Inter-Commodity Spread Implied Price = (Leg1 Recent Price Update – Leg1 Settlement Price) – (Leg2 Recent Price Update – Leg2 Settlement Price/Ratio).","type":"text"}]},{"type":"paragraph","content":[{"text":"Please see ","type":"text"},{"text":"Implied Intercommodity Ratio Spreads","type":"text","marks":[{"type":"link","attrs":{"href":"https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457092911"}}]},{"text":" for examples.","type":"text"}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SI Soy Crush","type":"text"}]},{"type":"paragraph","content":[{"text":"Spread type =","type":"text"},{"text":" SI","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Soy Crush Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"is a differential spread involving the simultaneous purchase between the raw product (Soybeans), and the yield of its two processed products (Soybean Meal, Soybean Oil). The fixed ratio per leg represents the amount of processed products that can be obtained from the given amount of raw product.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread type is also known as the ","type":"text"},{"text":"Soybean Crush","type":"text","marks":[{"type":"link","attrs":{"href":"https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457092911#ImpliedIntercommodityRatioSpreads-AgriculturalProducts-SoybeanCrushSpread"}}]},{"text":".","type":"text"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Soy Crush Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three different but related products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be of the same expiration","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a related processed product of leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a related processed product of leg3 but different from Leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be the raw but related product of leg1 and leg2","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}}]},{"text":"Soy Crush Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}},{"type":"strong"}]},{"text":" buys leg1, buys 2, sells leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}}]},{"text":"Soy Crush","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}}]},{"text":"Spread ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}},{"type":"strong"}]},{"text":"sells leg1, sells 2, buys leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a2df9178-5a7c-4bf5-bc6d-e218f8e88953"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = SOM:SI K3-K3-K3","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ZMK3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 ZLK3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 ZSK3","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Soy Crush Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at a reduced tick (.25) and is priced in terms of the raw product which necessitates a mathematical conversion to convert Soybean Meal and Soybean oil into cents per bushel.","type":"text"}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Soy Crush Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = (Price of leg1 * .22) + (Price of leg2 * .11) – (Price of leg3)","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg positions used in this example:","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg1 – Soybean Meal Futures","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg2 – Soybean Oil Futures","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg3 – Soybean Futures","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"Anchor legs are the Fair Market Price of two of the three legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If calculated price is off tick - Adjust to on tick- off tick price < half the tick round down otherwise round up.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If calculated price outside limits; round down for high limit violation and round up for low limit violation.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If calculated price is off tick - Adjust to on tick- off tick price < half the tick round down otherwise round up.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If calculated price outside limits; round down for high limit violation and round up for low limit violation.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If calculated price is off tick - Adjust to on tick- off tick price < half the tick round down otherwise round up.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If calculated price outside limits; round down for high limit violation and round up for low limit violation.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = (Trade Price + Leg3) – (Leg2 * .11)) / .22","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = (Trade Price + Leg3) – (Leg1 *.22)) / .11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = (Leg1 * .22) + (Leg2 * .11) – Trade Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 will be adjusted to the closest price that will yield an on-tick price for Leg3. Leg 2 price adjustments should be within 12 X (tick of 1) in the normal case","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Recalculate the Leg3","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Pricing Example Leg1 and Leg2 Anchor Legs","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Soy Crush Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1026","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price = 4221","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price = 6703","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = (4221*.22) + (6703*0.11) – Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 639.95 round up nearest .25 tick value 640","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 adjusted price:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 6708","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Recalculate Leg3 Price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = (4221*.22) + (6708*0.11) – 1026","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" Leg3 = 640.5","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Resulting legs:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Buy 11 lots at 4221","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Buy 9 lots at 6708","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = Sell 10 lots at 640.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example Leg2 and Leg3 Anchor Legs","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Soy Crush Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1026","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = (1026+640)-(6703*0.11))/0.22","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 4221.22727 rounded down to nearest tick value 4221","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price = 6703","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price = 640","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 adjusted price:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 6708","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Recalculate Leg3 Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Recalculate Leg3 Price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = (4221*.22) + (6708*0.11) – 1026","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 640.5","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Resulting legs:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Buy 11 lots at 4221","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Buy 9 lots at 6708","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = Sell 10 lots at 640","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example Leg1 and Leg3 Anchor Legs","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Soy Crush Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1026","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price = 4221","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price = 640","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = (1026 + 640) - (4221*0.22)) / 0.11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 6703.45 round down to nearest tick value","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 6703","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 adjusted price:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 6708","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Recalculate Leg3 Price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = (4221*.22) + (6708 * 0.11) – 1026","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" Leg3 = 640.5","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Resulting legs:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Buy 11 lots at 4221","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Buy 9 lots at 6708","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = Sell 10 lots at 640.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"BC Buy-Buy Inter-Commodity","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"bf5609cd-599f-4c4d-b0e0-61e0a368db44"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType =","type":"text"},{"text":" BC","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]},{"text":" is a futures spread involving the simultaneous purchase (sale) of two related products with the same expiration. The ","type":"text"},{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]},{"text":" is constructed by buying 1 Henry Hub Natural Gas futures contract and buying 1 Henry Hub Natural Gas Index futures contract.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be the monthly Henry Hub Natural Gas (Platts FERC) Basis futures","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cee80939-acd1-4f9e-8ea0-3cf93f550cff"}}]},{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cee80939-acd1-4f9e-8ea0-3cf93f550cff"}},{"type":"strong"}]},{"text":" buys leg1 , buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cee80939-acd1-4f9e-8ea0-3cf93f550cff"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cee80939-acd1-4f9e-8ea0-3cf93f550cff"}}]},{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cee80939-acd1-4f9e-8ea0-3cf93f550cff"}},{"type":"strong"}]},{"text":" sells leg1, sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cee80939-acd1-4f9e-8ea0-3cf93f550cff"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = HB-IN: HB-IN F0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 HBF0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 INF0","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is the summation of leg1 and leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg with the most recent price update (last price update or settlement price) is the anchor leg.","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg 2 = Spread Price - Leg 1 price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg 1 = Spread Price - Leg 2 price","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"In this example leg1 has the most recent price","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the anchor leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Trade Price of spread – leg1","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 4","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = anchor price of 1, therefore this is automatically assigned","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 4 – 1 = 3","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"In this example leg2 has the most recent price","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Trade Price of spread - Leg2","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the anchor leg","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" Buy-Buy Inter-Commodity Spread","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 4","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 4 - 1 = 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = anchor price of 1, therefore this is automatically assigned","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"IP Inter-Commodity","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType =","type":"text"},{"text":" IP","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Inter-Commodity Spread (ICS) ","type":"text","marks":[{"type":"strong"}]},{"text":"calendar spread for futures (commonly known as a “box spread\") allows customers to trade Inter-commodity spreads as a single instrument, eliminating leg execution risk. The ","type":"text"},{"text":"Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"is the net differential between the two ","type":"text"},{"text":"ICS","type":"text","marks":[{"type":"strong"}]},{"text":" spreads.","type":"text"}]},{"type":"paragraph","content":[{"text":"An ","type":"text"},{"text":"Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) is first leg of the first inter commodity calendar spread of near expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) is second leg of first the inter commodity calendar spread with the same expiration as leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) is first leg of the second inter commodity calendar spread of deferred expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (buy leg) is second leg of second inter commodity calendar spread with the same expiration as leg3","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1:-1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c793c822-de50-4670-b8f8-c9edf69b121c"}}]},{"text":"Inter-Commodity Spread ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c793c822-de50-4670-b8f8-c9edf69b121c"}},{"type":"strong"}]},{"text":"buys leg1 , sells leg2, sells leg3, buys leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c793c822-de50-4670-b8f8-c9edf69b121c"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c793c822-de50-4670-b8f8-c9edf69b121c"}}]},{"text":"Inter-Commodity Spread ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c793c822-de50-4670-b8f8-c9edf69b121c"}},{"type":"strong"}]},{"text":"sells leg1, buys leg2, buys leg3, sells leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c793c822-de50-4670-b8f8-c9edf69b121c"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = NG:HH K1-F2","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NGK1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 HHK1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 NGF2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = +1 HHF2","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. The spread trade tick is smaller than outright legs.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"Trade Price is the net differential between the two inter commodity calendar spreads = Leg1 – Leg2 – Leg3 + Leg4","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1, Leg2 and Leg3 are anchor legs and assigned the most recent update price.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Leg1 + Leg2 + Leg3","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg4 price is outside the daily limits, Leg4 will be adjusted to daily limit and Leg1 is recalculated","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = most recent price update 6889","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = most recent price update 7092","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = most recent price update 6834","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 is calculated:","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Leg1 + Leg2 + Leg3","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"1 – 6889 + 7092 + 6834","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 7038","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":" Inter-Commodity Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price + Leg2 + Leg3 – Leg 4","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = most recent price update 7092","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = most recent price update 6834","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 7038","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"Reduced Tick Inter-Commodity Spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"7eed0331-9e47-45cc-b555-ed8ae8b9ab98"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"40a72e4d-143f-4ffa-aff7-cdff349c53a8"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1df1b854-0ed1-44d6-894f-106d6b4719ab"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType =","type":"text"},{"text":" RI","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" is a futures spread involving the simultaneous purchase (sale) of two products with a corresponding sale (purchase) of a second related product. Spreads with SecuritySubType ","type":"text"},{"text":"RI","type":"text","marks":[{"type":"strong"}]},{"text":" will have a smaller tick than their corresponding outright legs.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two different products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the buy leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the sell leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a9c36a3-be7c-4eb3-b2a8-ee412378a0af"}}]},{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a9c36a3-be7c-4eb3-b2a8-ee412378a0af"}},{"type":"strong"}]},{"text":" buys leg1, sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a9c36a3-be7c-4eb3-b2a8-ee412378a0af"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a9c36a3-be7c-4eb3-b2a8-ee412378a0af"}}]},{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a9c36a3-be7c-4eb3-b2a8-ee412378a0af"}},{"type":"strong"}]},{"text":" sells leg1, buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a9c36a3-be7c-4eb3-b2a8-ee412378a0af"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = HPZ9-HHZ9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 HPZ9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 HHZ9 ","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative price. In addition, the pricing mechanics explained below correspond to how CME Globex assigns prices. Member firms commonly designate a default way of handling price assignment to these legs ","type":"text"},{"text":"in Clearing","type":"text","marks":[{"type":"em"}]},{"text":". As a result, it is not unusual to have different leg prices assigned by Clearing that will not match the prices obtained from CME Globex. This process allowing leg price adjustment on traded calendar spreads is referred to as “SLEDS” (Single Line Entry Differential). ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Determine the anchor leg of the ","type":"text"},{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The leg with the most recent price update is the anchor leg.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"In the event of no recent price updates, the prior day settle of the nearby leg will be the anchor leg.","type":"text","marks":[{"type":"em"}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the non-anchor leg:","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 1 is used as the anchor leg, then Leg 2 = Leg 1 price – Spread Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If Leg 2 is used as the anchor leg, then Leg 1 = Leg 2 price + Spread Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":" Leg1 is the anchor leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 3.00","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = anchor price of 2656","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2656 – 3.00 = 2653","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg2 is the anchor leg","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Reduced Tick Inter Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 3.0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2= anchor price of 2653","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1= 2653 +3.00 = 2656","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"MS BMD Strip","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"MS","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"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.","type":"text"}]},{"type":"paragraph","content":[{"text":"Construction:","type":"text","marks":[{"type":"strong"}]},{"text":" Buy1exp1 Buy1exp2 Buy1exp3 Buy1exp4","type":"text"}]},{"type":"paragraph","content":[{"text":"Security Definition Example:","type":"text","marks":[{"type":"strong"}]},{"text":" FKB3:MS 01Y M8","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Buy the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate","type":"text"},{"type":"hardBreak"},{"text":"Buy 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate","type":"text"},{"type":"hardBreak"},{"text":"Buy 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate","type":"text"},{"type":"hardBreak"},{"text":"Buy 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Sell the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Sell 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate","type":"text"}]},{"type":"paragraph","content":[{"text":"Sell 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate","type":"text"}]},{"type":"paragraph","content":[{"text":"Sell 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate","type":"text"}]},{"type":"paragraph","content":[{"text":"Sell 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate","type":"text"}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"IN Invoice Swap","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"IN","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"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).","type":"text"}]},{"type":"paragraph","content":[{"text":"Construction","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1 Invoice IRS spread buy 1 Treasury futures contract","type":"text"}]},{"type":"paragraph","content":[{"text":"Security Definition Example:","type":"text","marks":[{"type":"strong"}]},{"text":" IN:ZTM4L026220NOV14","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Buy the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1 June 2014 2-Year Treasury Invoice Swap Spread, Buy 1 June Treasury Future","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Sell the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Sell 1 June 2014 2-Year Treasury Invoice Swap Spread, Sell 1 June Treasury Future","type":"text"}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SC Invoice Swap Calendar","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"SC","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"An Invoice Swap calendar spread lists invoice swaps of the same tenor with consecutive quarters (e.g., 2 yr December 2015 vs. 2 yr March 2016) as two legs.","type":"text"}]},{"type":"paragraph","content":[{"text":"Security Definition Example:","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"ZTU50317A-ZTM50317A","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Example: Buy the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1March 2016 5Y IN and sell 1 December 2015 5Y IN","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Sell the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Sell 1March 2016 5Y IN and buy 1 December 2015 5Y IN","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SW Invoice","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"Swap Switch","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"SW","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]},{"type":"hardBreak"},{"text":"A Treasury Invoice Swaps Switch Spread lists invoice swaps of the same contract month with different tenors with consecutive quarters (e.g., 2 yr March 2015 vs. 10 yr March 2015) as two legs.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Security Definition Example: ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]},{"text":"ZNM51221A-ZTM50317A","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Example: Buy the Spread","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1 March 2015 10Y IN and sell 1 March 2015 2Y IN","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Example: Sell the Spread","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Sell 1 March 2015 10Y IN and buy 1 March 2015 2Y IN","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"TL Tail","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"TL","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"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.","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Buy the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1 ZFZ5-ZFH6, Buy 0.2 ZFZ5 at price 118.078125","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Sell the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Sell 1 ZFZ5-ZFH6, Sell 0.2 ZFZ6 at price 118.078125","type":"text"}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"EF Inter-Exchange Reduced Tick Ratio","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"EF","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The EF strategy type involves trading 90-day short term interest rates in a single package across commodities or exchanges.","type":"text"}]},{"type":"paragraph","content":[{"text":"An EF inter-exchange reduced tick ratio spread has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two products in two different DCMs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration 2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration 1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Interest Rate future (DCM 1)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Interest Rate future (DCM 2)","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration 1 shall be the nearest quarterly expiration month for Interest Rate future (DCM 2)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expirations 2 and 3 shall be the nearest consecutive months for Interest Rate future (DCM 1) dated after Expiration 1 ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Sixteen legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of [+3:+3]:-10 (Quantity/side ratio constructed with a bid-side bias)","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Construction: Buy3exp2com1 Buy3exp3com1 Sell10exp1com2","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Security Definition Example:","type":"text","marks":[{"type":"strong"}]},{"text":" ZQF8G8-SR1Z3","type":"text"}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"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.","type":"text"}]},{"type":"paragraph","content":[{"text":"Spread Trade Price = AvgPx(2 sets of Com1) – Com2","type":"text","marks":[{"type":"strong"}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":" If necessary, CME Globex will adjust Com1 leg prices to equal the spread price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignments","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"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. ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Legs 1 and 2 (Com1) are assigned prices in line with the outright markets but adjusted if necessary to equal the Spread Trade Price. ","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example of trade with leg price adjustment","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"This example illustrates the leg price assignments after adjustment.","type":"text"}]},{"type":"paragraph","content":[{"text":"Spread ZQF8G8-SR1Z3 trades at 0.1425","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"ZQF8 Early expiration = 98.9750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"ZQG8 Later expiration = 98.9050","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"SR1Z3 Qtry expiration = 98.8000","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"(98.9750+98.9050) / 2 = 98.9425 - 98.8000 = 0.1400","type":"text"}]},{"type":"paragraph","content":[{"text":"Most Recent Market Prices: (98.9750 + 98.9100) / 2 = 98.9425 - (988.000/10) = 0.1425","type":"text"}]},{"type":"paragraph","content":[{"text":"Adjusted Leg Prices Assigned: ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"ZQF8 Early expiration = ","type":"text","marks":[{"type":"strong"}]},{"text":"98.9750","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"ZQG8 Later expiration = 98.9100","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"paragraph","content":[{"text":" (","type":"text"},{"text":"98.9750 + 98.9100","type":"text","marks":[{"type":"strong"}]},{"text":") / 2 = 98.9425 - 98.8000 = ","type":"text"},{"text":"0.1425","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"HO Calendar Horizontal","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"HO","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"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","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Horizontal ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"52b5f334-e684-42ba-b2c2-3f7d64643ce2"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be of different expiration","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First leg must be the deferred expiration to the second leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First leg must be a buy","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must have the same strike","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be calls or puts","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"Horizontal","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1 and sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"Horizontal","type":"text","marks":[{"type":"strong"}]},{"text":" sells the leg1 and buys leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: HO 0709947215","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 =+1 ESZ8 P2300","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 2 = -1 ESU8 P2300","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Horizontal","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = (Leg1-Leg2) the differential of the legs","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the Horizontal based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the Horizontal trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Horizontal","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 20","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of 130","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of 120","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 130-120 =10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Fair Market Price = 10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 10 ticks to distribute","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 130 +5 = 135","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 120 - 5 = 115","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Horizontal ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 15","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of 130","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of 120","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 15 – 10 = 5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 5 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 130 + 3 = 133","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 120 - 2 = 118","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"133 - 118 = 15","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"DG Calendar Diagonal","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"DG","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Diagonal","type":"text","marks":[{"type":"strong"}]},{"text":" is an option spread involving the simultaneous purchase (sale) of a call (put) in a deferred expiration and a sale (purchase) of a ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"call (put)","type":"text","marks":[{"type":"strong"}]},{"text":" in an earlier expiration. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Diagonal ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a ","type":"text"},{"text":"Call Diagonal","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First leg must be a buy of a call in a deferred expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Second leg must be a sell of a call in a nearby expiration (compared to leg1)","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a ","type":"text"},{"text":"Put Diagonal","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First leg must be a buy of a put in a deferred expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Second leg must be a sell of a put in a nearby expiration (compared to leg1)","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be of different expirations","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be of different strike prices","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First leg must be the deferred expiration compared to the second leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"Diagonal","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1 and sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"Diagonal","type":"text","marks":[{"type":"strong"}]},{"text":" sells the leg1 and buys leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Products created without following strike price construction rules below will receive spread type ","type":"text"},{"text":"GN","type":"text","marks":[{"type":"strong"}]},{"text":" in their security definition message (both in the tags 55-Symbol and in tag 762-SecuritySubType).","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Examples","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: DG 1112959471","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 = +1 EWF9 C2940","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 2 = -1 EWX8 C2865","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Diagonal","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = (Leg1-Leg2) the differential of the legs","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Diagonal","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Diagonal","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Diagonal ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 850","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of 850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of 130","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 850-130 = 720","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Fair Market Price = 850 – 720 = 130","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 26 ticks to distribute (smallest tick is in the Leg2 price)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Ticks are divided up equally as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Diagonal ","type":"text","marks":[{"type":"strong"}]},{"text":"Leg1 = 850 + 65 = 915","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Diagonal ","type":"text","marks":[{"type":"strong"}]},{"text":"Leg2 = 130 – 65 = 65","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Diagonal ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 825","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of 850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of 130","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 850-130 = 720","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Fair Market Price = 825 – 720 = 105","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 21 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg2:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Diagonal ","type":"text","marks":[{"type":"strong"}]},{"text":"Leg1 = 850 + 50 = 900","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Diagonal ","type":"text","marks":[{"type":"strong"}]},{"text":"Leg2 = 130 – 55 = 75","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"ST Straddle","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"ST","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of both a call and put of the same strike and expiration.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be same expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must have the same strike","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One leg must be a call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One leg must be a put","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" buys both legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" sells both legs","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: ST 0625928966","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 = +1 SR1U4 C9712","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 2 = +1 SR1U4 P9712","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The Straddle Trade Price is = (Leg1+Leg2) the sum of both option legs","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the Straddle based on fair prices of the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the Straddle trade price and the calculated fair price of the spread","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 127.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of 119","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of 8.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 119 + 8.5 = 127.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 0 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 119 + 0 = 119","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 8.5 + 0 = 8.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 128","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of 119","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of 8.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price 119 + 8.5 = 127.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = .5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There is .5 tick to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" Leg1 = 119 + .5 = 119.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" Leg2 = 8.5+ 0 = 8.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SG Strangle","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"SG","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" 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. ","type":"text"}]},{"type":"paragraph","content":[{"text":"A Strangle has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The legs must be of same expirations","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must have different strikes","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be a put of a lower strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 must be a call of a higher strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of +1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" buys both legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" sells both legs","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: SG 0625930013","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1H4 P9712","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 SR1H4 C9725","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" buys the put at a lower strike price and buys the call at a higher strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" sells the put at a lower strike price and sells the call at a higher strike price","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The sum of the legs","type":"text"},{"text":" cannot be priced at or less than zero","type":"text","marks":[{"type":"em"}]},{"text":". Orders placed for at a price at or less than zero will be rejected. ","type":"text"},{"text":"This spread cannot trade at a negative price.","type":"text","marks":[{"type":"em"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = (Leg1+Leg2) the sum of both legs","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 21.0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg1 has Fair Market Price of 9.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg2 has Fair Market Price of 11.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price 9.5 + 11 = 21","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 0 ticks to distribute.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg1 = 9.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg2 = 11.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Strangle trades at 25.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg1 has Fair Market Price of 9.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg2 has Fair Market Price of 11.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price 9.0 + 11 = 21","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Trade Price – Fair Market Price = 4.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4.5 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg1 = 12.0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strangle Leg2 = 13.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"VT ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"VT","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" 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.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be same expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be calls or puts","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must have different strike prices","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a Call Vertical","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be a at a lower strike","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 must be a at a higher strike","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a Put Vertical","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be at a higher strike","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 must be at a lower strike","type":"text"}]}]}]}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" buys one leg1 and sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" sells one leg1 and buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: VT 0709922760","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 = +1 SR1U4 C9737","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 2 = -1 SR1U4 C9762","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs","type":"text"},{"text":" cannot be priced less than zero","type":"text","marks":[{"type":"em"}]},{"text":". Orders placed for at a price less than zero will be rejected. ","type":"text"},{"text":"This spread cannot trade at a negative price.","type":"text","marks":[{"type":"em"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = (Leg1-Leg2) the differential of both option legs.","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 4.0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 9 - 5 = 4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Fair Market Price = 4 – 4 = 0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 0 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Fair Market Price = 1 Fair Market Price; no remainder to distribute to the legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Vertical","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 4.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of 9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of 5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 9 – 5 = 4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 4.5 – 4= 0.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are .5 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9.25","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 4.75","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"BX ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"BX","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" 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 ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" is therefore composed of four outright options with restrictions on the buys, sells, puts, calls, and strikes allowed. The ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" can also be understood as a buy of a call ","type":"text"},{"text":"vertical","type":"text","marks":[{"type":"strong"}]},{"text":" and a buy of a put ","type":"text"},{"text":"vertical","type":"text","marks":[{"type":"strong"}]},{"text":" in one instrument with consistent strikes between the two ","type":"text"},{"text":"verticals","type":"text","marks":[{"type":"strong"}]},{"text":".","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Box ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a ","type":"text"},{"text":"call","type":"text","marks":[{"type":"em"}]},{"text":" at a strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a ","type":"text"},{"text":"put","type":"text","marks":[{"type":"em"}]},{"text":" at same strike price as leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be a ","type":"text"},{"text":"put","type":"text","marks":[{"type":"em"}]},{"text":" at a higher strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (sell leg) must be a ","type":"text"},{"text":"call","type":"text","marks":[{"type":"em"}]},{"text":" at same strike price as leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All four legs must be the same expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs must be calls and two legs must puts","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1:+1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" buy Leg1, sell Leg2, buy Leg3, sell Leg4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" sell Leg1, buy Leg2, sell Leg3, buy Leg4","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: BX 0806948120","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ESU8 C2500","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ESU8 P2500","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 ESU8 P2800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = -1 ESU8 C2800","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs","type":"text"},{"text":" cannot be priced less than zero","type":"text","marks":[{"type":"em"}]},{"text":". Orders placed for at a price less than zero will be rejected. ","type":"text"},{"text":"This spread cannot trade at a negative price.","type":"text","marks":[{"type":"em"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = sum of Buy legs – sum of Sell legs, or","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 – Leg2 + Leg3 – Leg4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 + Leg3 – (Leg2 + Leg4)","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Box ","type":"text","marks":[{"type":"strong"}]},{"text":"trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 34700","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 24775","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 3175","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 14950","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 1750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Trade Price = 24775 + 14950 – (3175 + 1750) = 34800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 34700 – 34800 = -100","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 24775 – 25 = 24750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 3175 + 25 = 3200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 14950 – 25 = 14925","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 1750 + 25 = 1775","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Box","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 34775","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 24775","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 3175","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 14950","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 1750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Trade Price = 24775 + 14950 – (3175 + 1750) = 34800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 34775 – 34800 = 25","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There is 1 tick to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 24775 – 25 = 24750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 3175","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 14950","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 1750","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"CC ","type":"text"},{"text":"Conditional Curve","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"CC","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" is an options spread unique to ","type":"text"},{"text":"CME SOFR options","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a8c10afb-5893-4201-a1fa-e6aa747e9532"}}]},{"text":". A ","type":"text"},{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" involves the simultaneous purchase (sale) of a SOFR option and the sale (purchase) of a second SOFR option. Both options must be either calls or puts, within the same expiration, and must have ","type":"text"},{"text":"different underlying futures","type":"text","marks":[{"type":"underline"}]},{"text":". ","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Products","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One product must be a ","type":"text"},{"text":" SOFR mid-curve option","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"7eb9071e-969a-4c6e-ad7e-e9a7afad56e2"}},{"type":"link","attrs":{"href":"https://www.cmegroup.com/trading/interest-rates/secured-overnight-financing-rate-options.html"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One product must be a SOFR","type":"text"},{"text":" option or SOFR ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"94cbb2bf-ef21-4cfa-8c52-03b899949ebd"}}]},{"text":"mid-curve option","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both products must support the ","type":"text"},{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" options spread","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a Call Conditional Curve","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call with an earlier underlying expiration compared to Leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call with a later underlying expiration compared to Leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a Put Conditional Curve","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put with an earlier underlying expiration compared to Leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put with a later underlying expiration compared to Leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must have the same expiration date","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be calls or puts","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"No specific requirement on strike price. Typically, the strikes are close together or equal.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The legs must have different underlying products","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"edf609b1-cdcf-4a1e-9443-dfa78bb20a93"}}]},{"text":"Conditional Curve","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"edf609b1-cdcf-4a1e-9443-dfa78bb20a93"}},{"type":"strong"}]},{"text":" buys leg1 and sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"edf609b1-cdcf-4a1e-9443-dfa78bb20a93"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"edf609b1-cdcf-4a1e-9443-dfa78bb20a93"}}]},{"text":"Conditional Curve","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"edf609b1-cdcf-4a1e-9443-dfa78bb20a93"}},{"type":"strong"}]},{"text":" sells leg1 and buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"edf609b1-cdcf-4a1e-9443-dfa78bb20a93"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD: U$: CC 0917923556","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1H4 P9478","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5b7d9aa2-f13f-4c05-91a7-5c2ede6c3ac9"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 SR3Z3 P9472","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5b7d9aa2-f13f-4c05-91a7-5c2ede6c3ac9"}}]}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 - Leg2","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Conditional Curve ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 7","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 7.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 7 – 7.5 = – 0.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 1.5 – (-0.5) = 2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 7 + 1 = 8","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 7.5 – 1 = 6.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Conditional Curve","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1.0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 7","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 7.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 7 – 7.5 = – 0.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 1.0 – (-0.5) = 1.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 7 + 1 = 8","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 7.5 – .5 = 7","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"DB Double","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"DB","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Double","type":"text","marks":[{"type":"strong"}]},{"text":" is an option spread involving the simultaneous purchase of two calls or two puts with the same expiration.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Double","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call ","type":"text"},{"text":"Double","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a call at a higher strike price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put ","type":"text"},{"text":"Double","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a put at a lower strike price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c1f81a83-85f6-4313-b63e-eceec45529be"}}]},{"text":"Double","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c1f81a83-85f6-4313-b63e-eceec45529be"}},{"type":"strong"}]},{"text":" buys leg1, buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c1f81a83-85f6-4313-b63e-eceec45529be"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c1f81a83-85f6-4313-b63e-eceec45529be"}}]},{"text":"Double","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c1f81a83-85f6-4313-b63e-eceec45529be"}},{"type":"strong"}]},{"text":" sells leg1, sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c1f81a83-85f6-4313-b63e-eceec45529be"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: DB 1010944618","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ESZ8 C2865","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 ESZ8 C2880","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The price of the spread must be a tradeable tick. ","type":"text"}]}]},{"type":"paragraph","content":[{"text":"The lowest acceptable price for this spread is one of the following:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Since the instruments will have the same tick rules, twice the minimum tick","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Twice the value of cabinet is acceptable provided the resulting price is a valid tradeable tick","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Double","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 + Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Double ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Double","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"},{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"paragraph","content":[{"text":"Double","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 6500","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 3500","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 2900","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 6400","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 6500 – 6400 = 100","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 3500 + 50 = 3550","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2900 + 50 = 2950","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Double","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 6475","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 3500","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 2900","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 6400","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 6475 – 6400 = 75","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 3500 + 50 = 3550","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2900 + 25 = 2925","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"HS Horizontal Straddle","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"HS","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of a call and a put at an identical strike price in a deferred month, and also selling a call and a put at another identical strike price in a nearby month. More specifically, the ","type":"text"},{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" consist of buying a ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" in a deferred month and selling a ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" in a nearby month.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be a buy of a call in a deferred expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 must be a buy of a put with the same expiration and strike as Leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 must be a sell of a call in a nearby expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 must be a sell of a put with the same expiration and strike as Leg3","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1:-1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1, buys leg2, sells leg3, and sells leg4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" sells leg1, sells leg2, buys leg3, and buys leg4","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: HS 1010946400","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 EWZ8 C2840","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 EWZ8 P2840","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 EWX8 C2850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = -1 EWX8 P2850","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This combination can trade to a minimum price of zero. This combination can also trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 + Leg2 – Leg3 – Leg4","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Horizontal Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 3900","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 8500","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 7275","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 5750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 6325","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 3700","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 3900 – 3700 = 200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 8 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 8500 + 50 = 8550","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 7275 + 50 = 7325","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 5750 – 50 = 5700","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 6325 – 50 = 6275","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Horizontal Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 3875","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 8500","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 7275","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 5750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 6325","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 3700","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 3875 – 3700 = 175","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 7 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 8500 + 100 = 8600","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 7275 + 25 = 7350","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 5750 – 25 = 5725","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 6325 – 25 = 6300","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"IC Iron Condor","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"IC","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Iron","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of a vertical call spread and a vertical put spread where all legs must be of same expiration. The strike prices must range from lowest to highest in order of the legs. ","type":"text"},{"text":"Due to this restriction, the first leg of the spread is the sell of a put.","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"An ","type":"text"},{"text":"Iron","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (sell leg) must be a put","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a put at a higher strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be a call at a higher strike price than leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (sell leg) must be a call at a higher strike price than leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is -1:+1:+1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying an ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}}]},{"text":"Iron","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}}]},{"text":"Condor","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}},{"type":"strong"}]},{"text":" sells leg1, buys leg2, buys leg3, and sells leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling an ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}}]},{"text":"Iron","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}}]},{"text":"Condor","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}},{"type":"strong"}]},{"text":" buys leg1, sells leg2, sells leg3, and buys leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"93919aae-c242-43c2-a573-2400bb90f01e"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1N: IC 1008910354","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = -1 LOZ8 P6150","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 LOZ8 P6200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 LOZ8 C7000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = -1 LOZ8 C7050","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The sum of the legs","type":"text"},{"text":" cannot be priced less than zero","type":"text","marks":[{"type":"em"}]},{"text":". Orders placed for at a price less than zero will be rejected. ","type":"text"},{"text":"This spread cannot trade at a negative price.","type":"text","marks":[{"type":"em"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Iron","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg2 + Leg3 – Leg1 – Leg4","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Iron","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Condor ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Iron","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Iron Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 40","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 12","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 444","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 409","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 36","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 40 – 36 = 4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 11 – 1 = 10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 12 + 1 = 13","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 444 + 1 = 445","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 409 – 1 = 408","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Iron Condor","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 39","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 12","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 444","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 409","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 36","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 39 – 36 = 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 12 + 3 = 15","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 444","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 409","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"12 Ratio 1x2","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"12","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Ratio 1x2","type":"text","marks":[{"type":"strong"}]},{"text":" is an options spread involving the simultaneous purchase (sale) of one call (put) and the sale (purchase) of two calls (puts) at different strike prices and same expirations.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Ratio","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"1X2","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call 1x2","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call at a lower strike price for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call at a higher strike price for a quantity of two lots","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put 1x2","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put at a higher strike price for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at a lower strike price for a quantity of two lots","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}}]},{"text":"Ratio","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}}]},{"text":"1x2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}},{"type":"strong"}]},{"text":" buys leg1 and sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}}]},{"text":"Ratio 1x2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}},{"type":"strong"}]},{"text":" sells leg1 and buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f2d93fb6-bbe4-4317-9d3b-1151ed7a7f2d"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: 12 0716928272","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1U4 P9800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -2 SR1U4 P9762","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. For example, with the above SR1 option legs a tradeable tick would be 46.5 - (2*10.5 )= 25.5 (Globex pricing). Because this price is a differential involving a ratio, the spread can trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Ratio 1x2","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – (2*Leg2)","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Ratio","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"1x2","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Ratio 1x2","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Ratio 1x2","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 24.0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 46.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 10.5 * 2 = 21","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Trade Price = (1*46.5) – (2*10.5) = 25.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 24.0 – 25.5 = -1.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There is a total of 3 ticks to distribute, but a tick to the second leg counts double","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment can be applied evenly as a result","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 46.5 - .5 = 46","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = (21 + 1) / 2 = 11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"46 – (11*2) = 24","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Ratio 1x2","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 24.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 46.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 10.5 * 2 = 21","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Trade Price = 46.5 – (2*10.5) = 25.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 24.5 – 25.5 = -1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There is a total of 2 whole ticks to distribute, but a tick to the second leg counts double","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Because of this, the whole adjustment applies to leg 1 only","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 46.5 – 1 = 45.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -21 / 2 = 10.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"45.5 – (10.5 * 2) = 24.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"13 Ratio 1x3","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"13","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Ratio 1X3","type":"text","marks":[{"type":"strong"}]},{"text":" is an options spread involving the simultaneous purchase (sale) of buying one call (put) and selling three calls (puts) at different strike prices and same expirations.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"13 Ratio 1X3","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call ","type":"text"},{"text":"1x3","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call at a lower strike price for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call at a higher strike price for a quantity of three lots","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put ","type":"text"},{"text":"1x3","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put at a higher strike price for a quantity of one lot","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at a lower strike price for a quantity of three lots","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Ratio","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"1x3","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1 and sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Ratio 1x3","type":"text","marks":[{"type":"strong"}]},{"text":" sells leg1 and buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: 13 0730958091","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 1 = +1 ESZ8 P2200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg 2 = -3 ESZ8 P1700","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. For example, with the above option legs a fair value price would be 800 - (3*190 )= 430 (CME Globex pricing). The cited instrument trades with a VTT increment of 5 if the price is less than 500, so the price of 430 is valid. Because this price is a differential involving a ratio, the spread can trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"13 Ratio 1X3","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = (1*leg1) - (3*leg2)","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Ratio","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"1x3","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Ratio 1x3","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Ratio 1x3","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 265","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 185","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = (800*1) – (185*3) = 245","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 265 – 245 = 20","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute, a tick to the second leg counts triple","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Distribute whole tick value to each leg evenly","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 800 + 5 = 805","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 185 – 5 = 180","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"805 - (180*3) = 265","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Note – 805 is an untradeable tick for this instrument, however it is legal for leg assignment","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"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.","type":"text"}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Ratio 1x3","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 260","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 185","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 800 – (185*3) = 245","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price – Fair Market Price = 260 – 245 = 15","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute, a tick to the second leg counts triple","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 800 + 15 = 815","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 185","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"815 – (185*3) = 260","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"23 Ratio 2x3","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"23","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Ratio 2x3","type":"text","marks":[{"type":"strong"}]},{"text":" is an options spread involving the simultaneous purchase (sale) of two calls (puts) and sale (purchase) of three calls (puts) at different strike prices with the same expirations.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Ratio","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"2x3","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call ","type":"text"},{"text":"2x3","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call at a lower strike price for a quantity of two lots","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call at a higher strike price for a quantity of three lots","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put ","type":"text"},{"text":"2x3","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put at a higher strike price for a quantity of two lots","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at a lower strike price for a quantity of three lots","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +2:-3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}}]},{"text":"Ratio","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}}]},{"text":"2x3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}},{"type":"strong"}]},{"text":" buys leg1 and sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}}]},{"text":"Ratio 2x3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}},{"type":"strong"}]},{"text":" sells leg1 and buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ba856365-54b6-4732-a9c0-872fa15ff452"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: 23 0806947512","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +2 ESU8 P2800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -3 ESU8 P2725","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Ratio 2x3","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = (2*leg1) – (3*leg2)","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Ratio","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"2X3","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Ratio 2X3","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Ratio 2x3","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1000","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 2350","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 1275","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = (2*2350) – (3*1275) = 875","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 1000 – 875 = 125","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 5 ticks to distribute, a tick to the first leg counts double and a tick to the second leg counts triple.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 2350 + 25 = 2375","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 1275 – 25 = 1250","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"(2375*2) – (1250*3) = 1000","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Ratio 2x3","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 925","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 2350","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 1275","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = (2*2350) – (3*1275) = 875","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 925 – 875 = 50","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 2 ticks to distribute, a tick to the first leg counts double and a tick to the second leg counts triple","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"UDS Leg Pricing Assignment rules applied – distribute whole tick value to each leg evenly, remainder applied to leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 2350 + 25 = 2375","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 1275","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"(2375*2) – (1275*3) = 925","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"RR Risk Reversal","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"RR","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of a call and sale(purchase) of a put with the same expirations. The strike price of the put must be lower or equal to the strike price of the call.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call at a strike price equal to or higher than the put","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at a strike price equal to or lower than the call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be the same expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One leg must be a call and one leg must be a put","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ed67e8a4-bb2c-4620-b13e-e6476ea08d3a"}}]},{"text":"Risk Reversal","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ed67e8a4-bb2c-4620-b13e-e6476ea08d3a"}},{"type":"strong"}]},{"text":" buys leg1 and sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ed67e8a4-bb2c-4620-b13e-e6476ea08d3a"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ed67e8a4-bb2c-4620-b13e-e6476ea08d3a"}}]},{"text":"Risk Reversal","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ed67e8a4-bb2c-4620-b13e-e6476ea08d3a"}},{"type":"strong"}]},{"text":" sells leg1 and buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ed67e8a4-bb2c-4620-b13e-e6476ea08d3a"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: RR 0910956914","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ESU8 C2920","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ESU8 P2775","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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 combination can also trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price = Leg1 – Leg2","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" trades at -125","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 260","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 335","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 260 – 335 = -75","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = -125 – (-75) = -50","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 10 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 260 – 25 = 235","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 335 + 25 = 360","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"235 – 360 = -125","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" trades at -120","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 260","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 335","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 260 – 335 = -75","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = -120 – (-75) = -45","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 9 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 260 – 25 = 235","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 335 + 20 = 355","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"235 – 355 = -120","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: RR 0910956914","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ESU8 C2920","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ESU8 P2775","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2","type":"text"}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"GD Average Priced Strip Combination","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"GD","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Average Priced Strip Combination ","type":"text","marks":[{"type":"strong"}]},{"text":"is an options spread or combination involving the simultaneous purchase or sale of more than one ","type":"text"},{"text":"Average Priced Strips (SA)","type":"text","marks":[{"type":"strong"}]},{"text":".","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]},{"text":"GD Strip","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}},{"type":"strong"}]},{"text":" has:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg components made up of ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]},{"text":"Averaged Price Strips","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}},{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Minimum of two legs if recursive","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"3c83e5ad-a870-432e-acc3-7514111332d1"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The first leg (SA) must be a buy","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The second leg can be buy or sell","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Minimum of four legs if non-recursive:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be buy side options","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"173b8a89-a764-4687-b649-386c5170f90d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two calls with consecutive expirations","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two puts with consecutive expirations","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must have the same strike price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Maximum of 26 legs","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]},{"text":"Average Priced Strip Combination","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}},{"type":"strong"}]},{"text":" buys all buy components and sells all sell components","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]},{"text":"Average Priced Strip Combination","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}},{"type":"strong"}]},{"text":" sells all buy components and buys all sell components","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"acecf603-3765-4a77-a665-3119edcac1d1"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1N: GD 1114915128","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Globex identifies the following components as the first ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":":","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"+1 LOF9 P5800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"+1 LOG9 P5800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"+1 LOH9 P5800","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Globex identifies the following components as the second ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":":","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"- 1 LOF9 P5000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"- 1 LOG9 P5000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"- 1 LOH9 P5000","type":"text"}]}]}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If all Average Priced Strip components in the Average Priced Strip Combination are buys, the instrument can only trade at a positive price. If at least one component of the Average Priced Strips is comprised of sell components, the resulting Average Priced Strip Combination can trade at a positive, negative, or zero price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The Average Priced Strip Combination minimum tradeable price is the sum of the minimum prices of the Average Priced Strip components. ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Average Priced Strip Combination","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = The sum of the ","type":"text"},{"text":"Average Priced Strips","type":"text","marks":[{"type":"strong"}]},{"text":" components in the combination","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Each Leg is then assigned the price of the ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the fair value of the ","type":"text"},{"text":"Average Priced Strip Combination ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Average Priced Strip Combination","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment to the ","type":"text"},{"text":"Averaged Price Strips","type":"text","marks":[{"type":"strong"}]},{"text":" due to remainder will be assigned according to ","type":"text"},{"text":"Averaged Priced Strip Combination","type":"text","marks":[{"type":"strong"}]},{"text":" leg pricing assignment rules.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Apply adjusted ","type":"text"},{"text":"Averaged Price Strips","type":"text","marks":[{"type":"strong"}]},{"text":" prices to each of the components legs","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"The following examples use the above instrument UD:1N: GD 1114915128.","type":"text"}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Average Priced Strip Combination","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 275","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 321","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 420","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 451","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The first recognized ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" price is = (321+420+451)/3 = 397.3 or 397 after rounding","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 72","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 has Fair Market Price of = 131","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 has Fair Market Price of = 181","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The second recognized ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" price is = (72+131+181)/3 = 128","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 397 – 128 = 269","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 275 – 269 = 6","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 6 ticks to distribute between two recognized Average Priced Strips","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustments are applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" = 397 + 3 = 400","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Legs 1, 2, and 3 are each assigned a price of 400","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Second ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" = 128 – 3 = 125","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Legs 4, 5, and 6 are each assigned a price of 125","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Average Priced Strip Combination","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 274","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 321","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 420","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 451","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The first recognized ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" price is = (321+420+451)/3 = 397.3 or 397 after rounding","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 72","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 has Fair Market Price of = 131","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 has Fair Market Price of = 181","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The second recognized ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" price is = (72+131+181)/3 = 128","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 397 – 128 = 269","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 275 – 269 = 5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 5 ticks to distribute between two recognized Average Priced Strips","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustments are applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"First ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" = 397 + 3 = 400","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg’s 1, 2, and 3 are each assigned a price of 400","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Second ","type":"text"},{"text":"Average Priced Strip","type":"text","marks":[{"type":"strong"}]},{"text":" = 128 – 2 = 126","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg’s 4, 5, and 6 are each assigned a price of 126","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"XT Xmas Tree","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"XT","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" is an options spread involving the simultaneous purchase (sale) of buying a call (put), selling a call (put), and selling another call (put) of equidistant strike prices within the same expirations.","type":"text"}]},{"type":"paragraph","content":[{"text":"An ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be the same expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call at a certain strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call at a higher strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a call at a higher strike price than leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The difference in strikes must be equal, i.e. Strike3-Strike2=Strike2-Strike1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put at a certain strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at a lower strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a put at a lower strike price than leg2","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"The difference in strikes must be equal, i.e. Strike1-Strike2=Strike2-Strike3","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1 and sells leg2 and leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" sells leg1 and buys leg2 and leg3","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: XT 0910958788","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ESU8 C2950","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ESU8 C2975","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 ESU8 C3000","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This spread can also trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Xmas","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price = Leg1 - Leg2 - Leg3","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to UDS leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 30","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 90","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 45","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 30","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 90 – 45 – 30 = 15","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 30 – 15 = 15","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 90 + 5 = 95","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 45 – 5 = 40","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 30 – 5 = 25","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"95 – 40 – 25 = 30","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Xmas Tree","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 25","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 90","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 45","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of =30","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 90 – 45 – 30 = 15","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 25 – 15 = 10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 2 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 90 + 10 = 100","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 45","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 30","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"100 – 45 – 30 = 25","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"3W 3-Way","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"3W","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Call","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of a call, the sale (purchase) of a second call, and the sale (purchase) of a put. Leg1’s strike price must be between Leg2’s higher strike price and Leg3’s lower strike price. All legs must have the same expiration. More specifically, the 3-Way combination is the simultaneous purchase of ","type":"text"},{"text":"a vertical call spread","type":"text","marks":[{"type":"strong"}]},{"text":" and sale of a put against it.","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Put","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of a put, the sale (purchase) of a second put, and the sale (purchase) of a call. Leg1’s strike price must be between Leg2’s lower strike price and Leg3’s higher strike price. All legs must have the same expiration. More specifically, the 3-Way combination is the simultaneous purchase of a ","type":"text"},{"text":"vertical put spread","type":"text","marks":[{"type":"strong"}]},{"text":" and sale of a call against it.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a call ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a call at a higher strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a put at a lower strike price than leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"For a put ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a put","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be a put at a lower strike price than leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a call at a higher strike price than leg1","type":"text"}]}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be the same expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cb6f0ab8-c670-4b98-84e0-dfeed9e7f3de"}}]},{"text":"3-Way","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cb6f0ab8-c670-4b98-84e0-dfeed9e7f3de"}},{"type":"strong"}]},{"text":" buys leg1, sells leg2, sells leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cb6f0ab8-c670-4b98-84e0-dfeed9e7f3de"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cb6f0ab8-c670-4b98-84e0-dfeed9e7f3de"}}]},{"text":"3-Way","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cb6f0ab8-c670-4b98-84e0-dfeed9e7f3de"}},{"type":"strong"}]},{"text":" sells leg1, buys leg2, buys leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cb6f0ab8-c670-4b98-84e0-dfeed9e7f3de"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: 3W 1010948130","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ESZ8 P2800","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 ESZ8 P2780","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 ESZ8 C3000","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This spread can trade at a price of zero. This spread can also trade at a negative price. Leg prices can be assigned at an untradeable ticks.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 – Leg2 – Leg3","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"3-Way ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 525","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 10200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 9300","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 405","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 495","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 525 – 495 = 30","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 6 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 10200 + 10 = 10210","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9300 – 10 = 9290","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 405 – 10 = 395","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 550","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 10200","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 9300","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 405","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 495","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 550 – 495 = 55","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 11 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 10200 + 25 = 10225","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9300 – 15 = 9285","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 405 – 15 = 390","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"3C 3-Way Straddle versus Call","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"3C","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"3-Way Call Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of a call and a put at the same strike price, while selling an additional call at a different strike price. All legs must be of same expiration. More specifically, the ","type":"text"},{"text":"3-Way Call Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"options combination is the simultaneous purchase (sale) of a ","type":"text"},{"text":"Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"and sale (purchase) of a call within the same expiration.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Call","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a put at same strike price as leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a call at a different strike price than Legs 1 and 2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]},{"text":"3-Way","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]},{"text":"Call","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]},{"text":"Straddle","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}},{"type":"strong"}]},{"text":" buys leg1, buys leg2, sells leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]},{"text":"3-Way","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]},{"text":"Call","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]},{"text":"Straddle ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}},{"type":"strong"}]},{"text":"sells leg1, sells leg2, buys leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"a0b8b7ec-3c12-466c-b52f-d92d0bf1e4c3"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: 3C 1015931432","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1Z3 C9750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 SR1Z3 P9750","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 SR1Z3 C9800","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"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 at a price of zero. This spread can also trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Call","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 + Leg2 – Leg3","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"3-Way Call Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"3-Way Call Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"3-Way Call Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 22","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 1.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 19","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 1.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 1.5 + 19 - 1.5 = 19","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 22 – 19 = 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 6 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 1.5 + 1 = 2.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 19 + 1 = 20","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 1.5 – 1 = .5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Call Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 21","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 1.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 19","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 1.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 1.5 + 19 - 1.5 = 19","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 21 – 19 = 2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 1.5 + 1 = 2.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 19 + .5 = 19.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 1.5 – .5 = 1","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"3P 3-Way Straddle versus Put","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"3P","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"3-Way Put Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of a call, and a put at the same strike price, while selling an additional put at a different strike price. All legs must be of the same expiration. The ","type":"text"},{"text":"3-Way Put Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"options combination can be understood as the simultaneous purchase (sale) of a ","type":"text"},{"text":"Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"and sale (purchase) of a put within the same expiration.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Put","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a put at same strike price as leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (sell leg) must be a put at a different strike price than Legs 1 and 2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]},{"text":"3-Way","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]},{"text":"Put","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]},{"text":"Straddle","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}},{"type":"strong"}]},{"text":" buys leg1, buys leg2, sells leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]},{"text":"3-Way","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]},{"text":"Put","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]},{"text":"Straddle ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}},{"type":"strong"}]},{"text":"sells leg1, sells leg2, buys leg3","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"f7214410-e518-4c34-b730-1c53d73e6c51"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: 3P 1015931394","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1M4 C9725","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 SR1M4 P9725","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -1 SR1M4 P9700","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. If not, orders using the price will be rejected. This spread can trade to at a price of zero. This spread can also trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"3-Way","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Put","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 + Leg2 – Leg3","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"3-Way Put Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"3-Way Put Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"3-Way Put Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 25","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 32","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of =13.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 23.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 25 – 23.5 = 1.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 5 + .5 = 5.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 32 + .5 = 32.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 13.5 - .5 = 13","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"3-Way Put Straddle ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 24","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 32","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of =13.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 23.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 24 – 23.5 =.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 1 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 5 + .5 = 5.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 32","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 13.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"IB Iron Butterfly","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"IB","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Iron Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"is an options combination involving the simultaneous sale (purchase) of a put, the purchase (sale) of a second put, the purchase (sale) of a call, and the sale (purchase) of a second call. All components must have the same expiration. The first leg of the ","type":"text"},{"text":"Iron Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" must be a sell. Although the strikes are not required to be consecutive or equidistant, the middle strikes of the buy put and buy call must be identical. The ","type":"text"},{"text":"Iron Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" can also be understood as the simultaneous sale (purchase) of a ","type":"text"},{"text":"Strangle (SG) ","type":"text","marks":[{"type":"strong"}]},{"text":"and the purchase (sale) of a ","type":"text"},{"text":"Straddle (ST)","type":"text","marks":[{"type":"strong"}]},{"text":".","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Iron Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (sell leg) must be a put at the lowest strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a put at the middle strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be a call at the same middle strike price as Leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (sell leg) must be a call at the highest strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All four legs must be the same expiration","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is -1:+1:+1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Strike Values Leg1 < Leg2 = Leg3 < Leg4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"3d811ad3-cc5b-482e-9e9d-e8b6b3cc4237"}}]},{"text":"Iron Butterfly ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"3d811ad3-cc5b-482e-9e9d-e8b6b3cc4237"}},{"type":"strong"}]},{"text":"sells leg1, buys leg2, buys leg3, and sells leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"3d811ad3-cc5b-482e-9e9d-e8b6b3cc4237"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"3d811ad3-cc5b-482e-9e9d-e8b6b3cc4237"}}]},{"text":"Iron Butterfly ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"3d811ad3-cc5b-482e-9e9d-e8b6b3cc4237"}},{"type":"strong"}]},{"text":"buys leg 1, sells leg2, sells leg3, and buys leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"3d811ad3-cc5b-482e-9e9d-e8b6b3cc4237"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: 0807949953","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = -1 EWU8 P2710","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 EWU8 P2810","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 EWU8 C2810","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = -1 EWU8 C2870","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs cannot be priced less than zero. Orders placed at a price less than zero will be rejected. This combination cannot trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Iron Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"Trade Price is = Leg2 + Leg3 – (Leg1 + Leg4)","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Iron Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Iron Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Iron Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 150","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 27","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 119","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 65","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 119 + 65 – (27 + 11) = 146","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 150 -146 = 4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 27 – 1 = 26","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 119 + 1 = 120","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 65 + 1 = 66","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 11 – 1 = 10","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Iron Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"trades at 149","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 27","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 119","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 65","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 119 + 65 – (27 + 11) = 146","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 149 – 146 = 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 27","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 119 + 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 65","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 11","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"JR Jelly Roll","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"JR","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Jelly Roll","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involves the simultaneous sale (purchase) of call and purchase (sale) of a put at one strike price in a nearby expiration while also making a purchase (sale) of a call and sale (purchase) of a put at another strike price in a deferred expiration. There is no additional requirement for the strike prices. The ","type":"text"},{"text":"Jelly Roll","type":"text","marks":[{"type":"strong"}]},{"text":" can be understood as the simultaneous sale of a nearby same strike ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":" and purchase of a deferred same strike ","type":"text"},{"text":"Risk Reversal","type":"text","marks":[{"type":"strong"}]},{"text":". It is important to note that, with this combination, ","type":"text"},{"text":"the first leg is a sell leg","type":"text","marks":[{"type":"underline"}]},{"text":".","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Jelly Roll","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Four legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (sell leg) must be a call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a put at a same strike price and expiration as leg1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 (buy leg) must be a call at a deferred expiration compared to Leg’s 1 and 2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 (sell leg) must be a put at a same strike price and expiration as leg3","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is -1:+1:+1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cdd8f826-2c41-4d19-82f3-1dee5c23f329"}}]},{"text":"Jelly Roll","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cdd8f826-2c41-4d19-82f3-1dee5c23f329"}},{"type":"strong"}]},{"text":" sell leg1, buy leg2, buy leg3, and sell leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cdd8f826-2c41-4d19-82f3-1dee5c23f329"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cdd8f826-2c41-4d19-82f3-1dee5c23f329"}}]},{"text":"Jelly Roll","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cdd8f826-2c41-4d19-82f3-1dee5c23f329"}},{"type":"strong"}]},{"text":" buys leg1, sells leg2, sells leg3, and buys leg4","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"cdd8f826-2c41-4d19-82f3-1dee5c23f329"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1V: JR 1015959369","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = -1 ESZ8 C2775","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 ESZ8 P2775","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 ESM9 C2775","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = -1 ESM9 P2775","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. Orders submitted with an untradeable tick will be rejected. This spread can trade at a price of zero. This spread can also trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Jelly Roll","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg2 + Leg3 – Leg1 – Leg4","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Jelly Roll ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Jelly Roll","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Jelly Roll","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1675","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 8725","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 5975","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 16850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 12525","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 1575","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 1675 – 1575 = 100","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 4 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 8725 – 25 = 8700","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 5975 + 25 = 6000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 16850 + 25 = 16875","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 12525 – 25 = 12500","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Jelly Roll","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 1650","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 8725","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 5975","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 16850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 12525","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 1575","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 1650 – 1575 = 75","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 3 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 8725","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 5975 + 75 = 6050","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 16850","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 12525","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"GT Guts","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"GT","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Guts","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of call and a put within the same expiration. Unlike a ","type":"text"},{"text":"Straddle","type":"text","marks":[{"type":"strong"}]},{"text":" and ","type":"text"},{"text":"Strangle","type":"text","marks":[{"type":"strong"}]},{"text":", a ","type":"text"},{"text":"Guts","type":"text","marks":[{"type":"strong"}]},{"text":" combination has the strike price of the put higher than the strike price of the call.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Guts","type":"text","marks":[{"type":"strong"}]},{"text":" combination has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be the same expiration","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be a call","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (buy leg) must be a put at a higher strike price than Leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c91e5762-df1b-4f38-a996-52766d990952"}}]},{"text":"Guts","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c91e5762-df1b-4f38-a996-52766d990952"}},{"type":"strong"}]},{"text":" buys leg1, buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c91e5762-df1b-4f38-a996-52766d990952"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c91e5762-df1b-4f38-a996-52766d990952"}}]},{"text":"Guts","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c91e5762-df1b-4f38-a996-52766d990952"}},{"type":"strong"}]},{"text":" sells leg1, sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"c91e5762-df1b-4f38-a996-52766d990952"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1N: GT 1016922333","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 LOF9 C6900","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 LOF9 P7350","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The minimum price of the spread is the sum of the minimum ticks of the legs. The resulting tick must be a tradeable tick or the price will be rejected.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Guts","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 + Leg2","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Guts ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Guts","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Guts","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 883","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 450","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 423","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 873","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 883 – 873 = 10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 10 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 450 + 5 = 455","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 423 + 5 = 428","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Guts","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 884","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 450","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 423","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 873","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 884 – 873 = 11","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 11 ticks to distribute","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 450 + 6 = 456","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 423 + 5 = 428","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"CV Covered","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"CV","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The CV Covered is the simultaneous purchase or sale of outright options or options spreads or combination with one or more outright futures; for example, buying call options and selling futures or selling put options and selling futures. The creator of the UDS is responsible for defining the direction, delta, price, and expiration of the futures leg(s). Covereds pricing and leg assignments follow the rules of the options leg; i.e., an outright options covered with a future is priced following the rules of the option leg and a VT Vertical covered with a future is priced following the rules of the VT Vertical. The CV Covered is identified with tag 762-SecuritySubType=CV:","type":"text"},{"text":"XX","type":"text","marks":[{"type":"em"}]},{"text":", where ","type":"text"},{"text":"XX","type":"text","marks":[{"type":"em"}]},{"text":" is either \"FO\" for an outright option or the options spread type (e.g., \"GN\", \"VT\"). CV Covered is available as an options-futures User-Defined Spread only.","type":"text"}]},{"type":"paragraph","content":[{"text":"A CV Covered has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Many products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"At least one and up to 25 outright futures legs, with defined directions, deltas, prices and terms","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"At least one options outright or options spread","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any quantity ratio, so long as the ratio has the least common denominator possible","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any side ratio, as long as the first option outright or options spread leg is a buy","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The Spread Trade Price is the price or differential of the outright options or options spread legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"A CV Covered SA Strip follows the SA pricing rules","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"A CV Covered GD Strip Spread follows the GD pricing rules","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg price assignment","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If options leg(s) are a spread or combination, the Spread Trade Price is calculated following the defined spread rules","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If options leg is an outright, the Spread Trade Price is assigned to the options leg","type":"text"},{"text":" ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#ff0000"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Multiply the Delta times the total number of traded options","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Assign the futures quantity at the Futures Leg Price","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"CV Covered trades 100 lots at 25","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is a 1 lot buy options outright","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is a 1 lot sell futures outright, Delta 47 and price 200,000","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Outright options Leg1 is assigned Spread Trade Price of 25","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Futures outright Leg2 sells 47 lots (Delta * traded options quantity) at defined price of 200,000.","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"EO Reduced Tick Options","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"EO","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Reduced Tick Options Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"is an inter-commodity options spread which can also be constructed as a combination consisting of the simultaneous purchase(sale) of an American Style Natural Gas Option with the sale (purchase) of a European Style Natural Gas Option. There are no restrictions regarding option type, strike, or expiration for either leg.","type":"text"}]},{"type":"paragraph","content":[{"text":"Uniqueness and differences of the ","type":"text"},{"text":"Reduced Tick Options Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"are","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"highlighted in the","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"table below:","type":"text"}]},{"type":"table","attrs":{"layout":"center","width":1800.0,"localId":"39222469-5ebb-467f-8069-3de329a4b395"},"content":[{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[360.0]},"content":[{"type":"paragraph","content":[{"text":"Instrument","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[301.0]},"content":[{"type":"paragraph","content":[{"text":"CME Globex Price example","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[296.0]},"content":[{"type":"paragraph","content":[{"text":"CME Globex Settlement","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[264.0]},"content":[{"type":"paragraph","content":[{"text":"CME Globex Tick Size","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[576.0]},"content":[{"type":"paragraph","content":[{"text":"Notes","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[360.0]},"content":[{"type":"paragraph","content":[{"text":"ONX8 C3150","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[301.0]},"content":[{"type":"paragraph","content":[{"text":"64","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[296.0]},"content":[{"type":"paragraph","content":[{"text":"64","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[264.0]},"content":[{"type":"paragraph","content":[{"text":"1","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[576.0]},"content":[{"type":"paragraph","content":[{"text":"Underlying product is NGX8, American Style option.","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[360.0]},"content":[{"type":"paragraph","content":[{"text":"LNEX8 C3150","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[301.0]},"content":[{"type":"paragraph","content":[{"text":"630","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[296.0]},"content":[{"type":"paragraph","content":[{"text":"633","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[264.0]},"content":[{"type":"paragraph","content":[{"text":"10","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[576.0]},"content":[{"type":"paragraph","content":[{"text":"Underlying product is NGX8, European Style option. ","type":"text"}]},{"type":"orderedList","attrs":{"order":1},"content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Price lists an extra character","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The tick of 10 is equivalent to the tick of 1 in the ON","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"During trading, this extra character will always be zero","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Settlement allows the last character to be any digit including zero","type":"text"}]}]}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[360.0]},"content":[{"type":"paragraph","content":[{"text":"Reduced Tick Options Spread","type":"text"}]},{"type":"paragraph","content":[{"text":"UD:EO","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[301.0]},"content":[{"type":"paragraph","content":[{"text":"1","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[296.0]},"content":[{"type":"paragraph","content":[{"text":".7","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[264.0]},"content":[{"type":"paragraph","content":[{"text":".1","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[576.0]},"content":[{"type":"orderedList","attrs":{"order":1},"content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Product is priced in ON terms","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread price is ON – LNE with LNE converted to ON terms","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Conversion requires LNE price to be divided by 10","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Price assignment for the LNE leg can be an untradeable tick (the last digit may not be zero)","type":"text"}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"A","type":"text"},{"text":" Reduced Tick Options Spread ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two Products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both products must be of different NYMEX Energy Product Groups of unequal ticks","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be an outright option with Globex Symbol beginning ON (ex. ONX8 C3150)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be an outright option with Globex Symbol beginning LNE (ex. LNEX8 C3150)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are no requirements for option type, strike price, or expiration between the two legs","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Reduced Tick Options Spread or Combination ","type":"text","marks":[{"type":"strong"}]},{"text":"buys leg1 and sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Reduced Tick Options Spread or Combination ","type":"text","marks":[{"type":"strong"}]},{"text":"sells leg1 and buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:1T: EO 1026911365","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 ONX8 C3150","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 LNEX8 C3150","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The differential of the legs must be a tradeable tick for the new combined instrument. Orders submitted with an untradeable tick will be rejected. This spread can trade to a price of zero. This spread can also trade at a negative price.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"EO Reduced Tick","type":"text","marks":[{"type":"strong"}]},{"text":" trade price is = Leg1 – Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Reduced Tick Options Spread or Combination ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Reduced Tick Options Spread or Combination","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"EO Reduced Tick","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 3.0","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 64","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 630","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 64 – (630/10) = 1.0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 3.0 – 1.0 = 2.0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 2 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 64 + 1 = 65","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 630 – 10 = 620","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"EO Reduced Tick","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 2.9","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 64","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 630","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 64 – (630/10) = 1.0","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 2.9 – 1.0 = 1.9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 1.9 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 64 + 1.9 = 65.9","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 630","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"GN Generic","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"GN","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]},{"type":"hardBreak"}]},{"type":"paragraph","content":[{"text":"If the spread or combination requested by the user is not identified as one of the CME Globex recognized spread types, but has a valid construction, the instrument will be created exactly as the user requested and designated in market data as 'GN' (generic).","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Under the generic designation, the user can create options spread instruments composed of multiple spread types. For example, a unique options spread instrument can be created by combining the configurations of a Vertical options spread and Xmas tree options spread into a unique Generic instrument.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Generic spreads can contain up to 26 outrights. ","type":"text"},{"text":"This count is irrespective of leg ratio","type":"text","marks":[{"type":"em"}]},{"text":". For example, when the user submits a proposed user defined spread to CME Globex containing an options butterfly (buy1, sell2, buy1) as a leg, CME Globex will count that instrument as 3 (buy/sell/buy) instruments against the 26 instrument limit.","type":"text"}]},{"type":"paragraph","content":[{"text":"For additional information, see ","type":"text"},{"text":"User-Defined Spread (UDS)","type":"text","marks":[{"type":"link","attrs":{"href":"https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457226169"}}]},{"text":".","type":"text"}]},{"type":"paragraph","content":[{"text":"For advanced information on UDS construction rules, see ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"UDS - Validation and Messaging Rules","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"link","attrs":{"href":"https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457422998"}}]},{"text":".","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":2},"content":[{"text":"CME FX Link (XF, YF)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"CME FX Link is traded on CME Globex as the differential between CME FX Futures and OTC Spot FX, resulting in the simultaneous execution of FX Futures cleared by CME Group, and OTC Spot FX transactions subject to bilateral OTC relationships. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]},{"text":"The CME FX Link spreads consist of OTC FX Spot vs. each of the ","type":"text"},{"text":"front three ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]},{"text":"quarterly CME FX Futures. Three consecutive CME FX Link months are listed for eligible currency pairs. A new spread will be added two weeks prior to the last trade date of an expiring CME FX Future. The OTC FX Spot leg is only tradeable as part of the CME FX Link spread.","type":"text"}]},{"type":"paragraph","content":[{"text":"The spreads are traded as a differential between FX Futures and OTC spot, with both legs expressed in OTC quote convention. Therefore, the spread construction is either non-inverted or inverted, depending on whether the quoting convention of the related futures leg is inverted or non-inverted with respect to the typical OTC convention for that currency pair.","type":"text"}]},{"type":"paragraph","content":[{"text":"With a ","type":"text"},{"text":"non-inverted","type":"text","marks":[{"type":"strong"}]},{"text":" CME FX Link Spread (XF):","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The CME FX Future follows the same convention as the OTC market.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The buyer of the spread buys CME FX futures and sells OTC spot. The seller sells CME futures and buys OTC spot. ","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"With an ","type":"text"},{"text":"inverted","type":"text","marks":[{"type":"strong"}]},{"text":" CME FX Link Spread (YF):","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The CME FX Future is inverted from the standard OTC convention.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The buyer of the spread sells CME FX futures and sells OTC spot. The seller buys CME futures and buys OTC spot.","type":"text"}]}]}]},{"type":"heading","attrs":{"level":3},"content":[{"text":"Non-Inverted CME FX Link Spread (XF)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Construction:","type":"text","marks":[{"type":"strong"}]},{"text":" Buy1FXFutureExp1 Sell1FXOTCSpot","type":"text"}]},{"type":"paragraph","content":[{"text":"Security Definition Example","type":"text","marks":[{"type":"strong"}]},{"text":": 6E:XF:EURUSD:M8","type":"text"},{"text":" ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#ff0000"}}]}]},{"type":"paragraph","content":[{"text":"Example: Buy the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1 March 2018 CME Euro FX Future and","type":"text"}]},{"type":"paragraph","content":[{"text":"Sell 1 Euro / US Dollar Spot ","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Sell the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Sell 1 March 2018 CME Euro FX Future and","type":"text"}]},{"type":"paragraph","content":[{"text":"Buy 1 Euro / US Dollar Spot ","type":"text"}]},{"type":"heading","attrs":{"level":3},"content":[{"text":"Inverted CME FX Link Spread (YF)","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Construction:","type":"text","marks":[{"type":"strong"}]},{"text":" Sell1FXFutureExp1 Sell1FXOTCSpot","type":"text"}]},{"type":"paragraph","content":[{"text":"Security Definition Example","type":"text","marks":[{"type":"strong"}]},{"text":": 6J:YF:USDJPY:M8 ","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Buy the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Sell 1 March 2018 Japanese Yen Future and","type":"text"}]},{"type":"paragraph","content":[{"text":"Sell 1 US Dollar / Japanese Yen Spot ","type":"text"}]},{"type":"paragraph","content":[{"text":"Example: Sell the Spread","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Buy 1 March 2018 Japanese Yen Future and","type":"text"}]},{"type":"paragraph","content":[{"text":"Buy 1 US Dollar / Japanese Yen Spot","type":"text"}]},{"type":"paragraph","content":[{"text":"Selling an inverted FX futures contract is the same as buying the contract in OTC terms.","type":"text"}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"This section provides an overview of FX Link Pricing. For more detailed pricing information, consult the ","type":"text"},{"text":"FX Link quotation and pricing guide","type":"text","marks":[{"type":"link","attrs":{"href":"http://www.cmegroup.com/trading/fx/files/fx-link-quotation-and-pricing-guide.pdf"}}]},{"text":". The full economic terms of the spot instrument will be available on ","type":"text"},{"text":"CME STP","type":"text","marks":[{"type":"link","attrs":{"href":"https://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+STP"}}]},{"text":".","type":"text"}]},{"type":"paragraph","content":[{"text":"Pricing Overview","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The formula for spot rate for non-inverted and inverted spreads is outlined below. The FX Link spot leg is rounded based on the ","type":"text"},{"text":"Security Definition","type":"text","marks":[{"type":"link","attrs":{"href":"https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Security+Definition"}}]},{"text":" minimum tick precision (tag 969-MinPriceIncrement), after the calculations below are performed. The trade date for FX Link is the market data trade date, not the clearing trade date. ","type":"text"},{"text":"Tag 527-SecondaryExecID allows linking the spread summary fill notice with the leg fill notices to determine price information.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]}]},{"type":"paragraph","content":[{"text":"Pricing Formula","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Non-Inverted (XF)","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spot Price = Future Price – Spread Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Inverted (YF)","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spot Price = (1/ Futures Price) – Spread Price","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Notional Calculations","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Non-Inverted (XF)","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Base Notional = Contract Size * Contract Quantity","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quote Notional = Base Notional * Spot Price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Inverted (YF)","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Base Notional = Quote Notional / Spot Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quote Notional = Contract Size * Contract Quantity","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Value Date","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"USD/CAD = T+1 business days, all other currency pairs are T+2 business days","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Value date must be a valid day in both currencies’ calendars.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"SS Straddle Strip","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"SS","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" is an options combination involving the simultaneous purchase (sale) of four consecutive quarterly ","type":"text"},{"text":"Straddles","type":"text","marks":[{"type":"strong"}]},{"text":" at the same strike price.","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Eight legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 must be a call in Exp1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 must be a put in Exp1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 must be a call in Exp2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 must be a put in Exp2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 must be a call in Exp3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 must be a put in Exp3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg7 must be a call in Exp4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg8 must be a put in Exp4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must have the same strike price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Each put and call pair must be in consecutive quarterly expirations (Exp1, Exp2, Exp3, Exp4)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"All legs must be buys","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:+1:+1:+1:+1:+1:+1:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" buys all eight legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" sells all eight legs","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = UD:U$: SS 1024924968","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SR1Z3 C9687","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = +1 SR1Z3 P9687","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = +1 SR1H4 C9687","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = +1 SR1H4 P9687","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 = +1 SR1M4 C9687","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 = +1 SR1M4 P9687","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg7 = +1 SR1U4 C9687","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg8 = +1 SR1U4 P9687","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The minimum tradeable price of a ","type":"text"},{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" 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 combination cannot trade zero or negative.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is = Leg1 + Leg2 + Leg3 + Leg4 + Leg5 + Leg6 + Leg7 + Leg8","type":"text"}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Fair Price of the ","type":"text"},{"text":"Straddle Strip ","type":"text","marks":[{"type":"strong"}]},{"text":"based on fair prices of the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate the difference between the ","type":"text"},{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" trade price and the calculated fair price of the spread.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price = Fair Market Price; no remainder to distribute to the legs.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to options combination leg pricing assignment rules.","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 348","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 39.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 38","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 43","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 40","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 has Fair Market Price of = 47.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 has Fair Market Price of = 42.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg7 has Fair Market Price of = 49.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg8 has Fair Market Price of = 44","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 39.5 + 38 + 43 + 40 + 47.5 + 42.5 + 49.5 + 44 = 344","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 348 – 344 = 4","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 8 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied evenly as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 39.5 + .5 = 40","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 38 + .5 = 38.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 43 + .5 = 43.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 40 + .5 = 40.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 = 47.5 + .5 = 48","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 = 42.5 + .5 = 43","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg7 = 49.5 + .5 = 50","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg8 = 44 + .5 = 44.5","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Straddle Strip","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 347.5","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 39.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 38","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 has Fair Market Price of = 43","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 has Fair Market Price of = 40","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 has Fair Market Price of = 47.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 has Fair Market Price of = 42.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg7 has Fair Market Price of = 49.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg8 has Fair Market Price of = 44","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Fair Market Price = 39.5 + 38 + 43 + 40 + 47.5 + 42.5 + 49.5 + 44 = 344","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Fair Market Price = 347.5 – 344 = 3.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"There are 7 ticks to distribute.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Pricing Assignment rules applied – whole tick and remainder applied to leg1:","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The adjustment is applied as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 39.5 + 3.5 = 43","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 38","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 43","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 40","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg5 = 47.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg6 = 42.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg7 = 49.5","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg8 = 44","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"AB Averaged Price Bundle","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"AB","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Averaged Price Bundle","type":"text","marks":[{"type":"strong"}]},{"text":" is a futures spread involving the simultaneous purchase (sale) of futures positions at the averaged price of the legs.","type":"text"}]},{"type":"paragraph","content":[{"text":"This strategy is available as a futures exchange-defined spread only.","type":"text"}]},{"type":"paragraph","content":[{"text":"Averaged Price Bundle","type":"text","marks":[{"type":"strong"}]},{"text":" spread has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Minimum of four legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Maximum of 40 legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration of all the legs must be consecutive quarterly outright futures","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio +1:+1:+1:+1:…+1","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]},{"text":"Averaged Price Bundle","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"strong"}]},{"text":" spread trade price is = (Leg1+Leg2+…LegN) / total number of legs","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg price assignment:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Prior day settlement price will be","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" rounded up to .50 tick","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The difference between the total spread trade price (multiplying the trade price by the number of legs) and","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"strong"}]},{"text":"the sum of the spread ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]},{"text":"prior days rounded settlement price ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"is calculated:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"[(Trade price * number of legs) – (Sum of the legs’ ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]},{"text":"prior days rounded settlement price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":")]","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The average differential from step 2 is applied to each leg’s ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]},{"text":"prior days rounded settlement price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Legs may be adjusted to equal spread trade price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Any adjustment of the outright leg prices due to remainder will be assigned according to the ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]},{"text":"Averaged Price Bundle","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}},{"type":"strong"}]},{"text":" leg pricing assignment rules. The remainder will be applied in .50 increments starting with most deferred leg.","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"ca0ee434-ca41-44ff-bada-4f39fa585b6b"}}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Equal Distribution:","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Averaged Price Bundle","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}},{"type":"strong"}]},{"text":" trades at 9705.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9706.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9705.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9703.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9702.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Total spread trade price – sum of ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]},{"text":"prior days rounded settlement price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"38820.0000 – 38818.0000 = 2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Apply average differential to each leg:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9707.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9706.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9704.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9703.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1486a60c-2ec2-41e9-924a-5e6ca11b29d1"}}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example – Unequal Distribution:","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Averaged Price Bundle","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}},{"type":"strong"}]},{"text":" trades at 9700.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9706.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9705.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9703.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]},{"text":"prior days rounded settlement","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" price = 9702.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Total spread trade price – sum of ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]},{"text":"prior days rounded settlement price","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"38800.0 – 38817.5 = -17.5","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Averaged Price Bundle","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}},{"type":"strong"}]},{"text":" remainder leg pricing assignment rules applied","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Apply average differential to each leg","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Apply remainder starting with most deferred leg","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The legs are adjusted as follows:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9702.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9701.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 9699.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg4 = 9698.0","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"8bbed7c5-9078-475a-b2bd-46bde335d02e"}}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"BT South American Soybean - CBOT Soybean Inter-Commodity","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"BT","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"BT ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":"spread is the simultaneous purchase (sale) of a South American Soybean FOB Santos Soybeans Financially Settled (Platts) futures contract and a CBOT Soybean futures. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"Construction","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":" South American Soybean/CBOT Soybean Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" futures spread has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two different products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the buy leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the sell leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"239266a9-ab6d-472e-8553-770f6e383f7b"}}]},{"text":" South American Soybean/CBOT Soybean Inter-Commodity ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"239266a9-ab6d-472e-8553-770f6e383f7b"}},{"type":"strong"}]},{"text":"spread buys leg1 and sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"239266a9-ab6d-472e-8553-770f6e383f7b"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"239266a9-ab6d-472e-8553-770f6e383f7b"}}]},{"text":" South American Soybean/CBOT Soybean Inter-Commodity ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"239266a9-ab6d-472e-8553-770f6e383f7b"}},{"type":"strong"}]},{"text":"spread sells leg1 and buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"239266a9-ab6d-472e-8553-770f6e383f7b"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = SASJ1-ZSJ1","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 SASJ1","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = - 1 ZSJ1","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This spread can trade at zero and at a negative.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" South American Soybean/CBOT Soybean Inter-Commodity ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":"spread Trade Price is = (Leg1/36.74) - Leg2","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"SAS ticks at .20 in per metric ton","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"ZS Ticks 1/4 of one cent (0.0025) per bushel ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Ticks 1/4 of one cent (0.0025) per bushel ","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Conversion required to convert metric tons to bushels and bushels to metric tons","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"conversion factor: 36.74","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Price assignment for Leg1 will be off-tick from outright futures leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 calculated price can be priced outside the daily limit","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the anchor and ","type":"text"},{"text":"assigned the most recent available price from the outright market","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated in metric tons:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 ","type":"text"},{"text":"((Traded Spread + CBOT Soybean Price) * 36.74))","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"To convert Leg1 from metric tons to bushels:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Take calculated leg1 price in metric tons and divide by 36.74","type":"text"}]}]}]}]}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the recalculated price is outside the daily limit the price will stand. Customers can receive a non-settled price for the recalculated leg. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]},{"type":"paragraph","content":[{"text":"Leg Pricing Example","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"South American Soybean/CBOT Soybean Inter-Commodity ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":"spread trades at 15","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = ((15 + 1453.75) * 36.74))","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 53961.875 metric ton","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = ((15 + 53961.875/36.74))","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 1468.75 bushel","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 1453.75","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"AE Fixed Price Ratio Inter-Commodity","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"AE","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"AE","type":"text","marks":[{"type":"strong"}]},{"text":" spread is the simultaneous purchase(sale) of ","type":"text"},{"text":"two contracts of different leg quantity ratios where the spread will trade at a fixed price ratio of 1:1.","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"d4a2d50a-3124-4d2d-9ee8-fc7167218806"}}]},{"text":" ","type":"text"}]},{"type":"paragraph","content":[{"text":"Construction","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Fixed Price Ratio Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" futures spread","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"is a a Fixed Price Ratio spread involving the simultaneous purchase (sale) of two different products ","type":"text"},{"text":"with either the same or different expirations of different pre-determined leg ratios (e.g. 8:1).","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"dc25aeaf-3d64-46e2-b476-dadf654a8b5c"}}]},{"text":" ","type":"text"}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Fixed Price Ratio Inter-Commodity ","type":"text","marks":[{"type":"strong"}]},{"text":"futures spread has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1a501c5c-a05a-4320-ad12-6014b3015521"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the buy leg and must be the same expiration or different expiration as leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the sell leg and must be the same expiration or different expiration as leg1","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratios are predetermined and detailed in the outright leg quantities","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}}]},{"text":"Fixed Price Ratio Inter-Commodity","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}},{"type":"strong"}]},{"text":" futures spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}},{"type":"strong"}]},{"text":"buys leg1 and sells leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}}]},{"text":"Fixed Price Ratio Inter-Commodity","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}},{"type":"strong"}]},{"text":" futures spread","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}}]},{"text":" ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}},{"type":"strong"}]},{"text":"sells leg1 and buys leg2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"57b6a102-9b9b-4cdb-8e09-c8c9b59f21c1"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"625c09ab-0108-4bcc-b58f-35268cd8ed54"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Instrument Symbol = NGM2-NNN2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"625c09ab-0108-4bcc-b58f-35268cd8ed54"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 NGM2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"625c09ab-0108-4bcc-b58f-35268cd8ed54"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 NNN2","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"625c09ab-0108-4bcc-b58f-35268cd8ed54"}}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Pricing of the AE is at a Fixed Price Ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero. The spread can also trade at a reduced tick. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]},{"type":"paragraph","content":[{"text":"Pricing ","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"Fixed Price Ratio Inter-Commodity ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]},{"text":"Trade Price = Leg1 - Leg2","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment:","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = is the anchor and assigned the most recent market price","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = is calculated","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is used as the anchor leg, then leg2 = leg1 price – Spread Price","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If leg2 price is calculated outside the daily limits, leg2 will be adjusted to daily limit and leg1 is calculated.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The same leg price will be applied to all legs on the side with a ratio, e.g., for NG-NN at 8:1, all 8 NG legs will be priced at the same price.","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"If the leg1 calculated price is outside the daily limit, the price will stand. Customers can receive a non-settled price for the recalculated leg1.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Leg pricing examples:","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"type":"hardBreak"},{"text":"A quantity side ratio of +8:-1 will be used in the below example.","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Fixed Price Ratio Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 0.00025","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 2.574","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 - Spread Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2.574 - 0.00025 ","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2.57375","type":"text"}]}]}]},{"type":"paragraph","marks":[{"type":"indentation","attrs":{"level":1}}],"content":[{"text":"Resulting legs:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"7e004727-996c-4615-b919-c7b7d089f4cb"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 Buy 8 lots of NGM2 at 2.574","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 Sell 1 lot of NNN2 at 2.57375 ","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example Leg2 Calculated Outside of Daily Limits","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The","type":"text"},{"text":" Fixed Price Ratio Inter-Commodity","type":"text","marks":[{"type":"strong"}]},{"text":" trades at 0.00025","type":"text"}]},{"type":"paragraph","content":[{"text":"Assuming leg2 daily low limit is 2.6 ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 2.574","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 - Spread Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2.574 - 0.00025 ","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 2.57375","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Since leg2 is less than low limit, reset leg2 to daily low limit 2.6","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 + Spread Trade Price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2.6 + 0.00025 = 2.60025","type":"text"}]}]}]}]}]},{"type":"paragraph","marks":[{"type":"indentation","attrs":{"level":1}}],"content":[{"text":"Leg1 Buy 8 lots of NGM2 at 2.60025","type":"text"}]},{"type":"paragraph","marks":[{"type":"indentation","attrs":{"level":1}}],"content":[{"text":"Leg2 Sell 1 lot of NNN2 at 2.6","type":"text"}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"RV Curve Ratio","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"RV","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The Curve Ratio (RV) spread trades at a yield differential. The yield books will be inverted as in a typical yield market and the Curve Ratio (RV) spread quoted prices will be in basis points, represented in decimal notation (-43.750) of the yield as quoted in percentages: -.43750%. Although the spread is traded at a yield differential and quoted prices in decimal notation, the outright legs are quoted in conventional prices; this will require a price-to-yield and yield-to-price conversion for leg price assignments.","type":"text"}]},{"type":"heading","attrs":{"level":4},"content":[{"text":"Inverted Yield Book Example","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Examples of an inverted yield book in a typical yield market are shown below.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"Example: ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]},{"text":"Inverted RV Curve Ratio Yield Book","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"In a typical yield market, the bid is higher than the ask.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"table","attrs":{"layout":"center","width":1800.0,"localId":"d67f1bc8-33cd-4ee9-a21c-5a6fa41d32c3","displayMode":"default"},"content":[{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":6,"rowspan":1,"colwidth":[305.0,299.0,299.0,299.0,299.0,299.0]},"content":[{"type":"paragraph","marks":[{"type":"alignment","attrs":{"align":"center"}}],"content":[{"text":"Inverted Book in a Typical Yield Market","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[305.0]},"content":[{"type":"paragraph"}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"UB10:30","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Bid","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Ask","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"UB10:30","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph"}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"background":"#f4f5f7","rowspan":1,"colwidth":[305.0]},"content":[{"type":"paragraph","content":[{"text":"Level","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"background":"#f4f5f7","rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Price Type","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"background":"#f4f5f7","rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Price","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"background":"#f4f5f7","rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Price","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"background":"#f4f5f7","rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Price Type","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"background":"#f4f5f7","rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Level","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[305.0]},"content":[{"type":"paragraph","content":[{"text":"1","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Yield","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"-43.750","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"-43.751","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"Yield","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[299.0]},"content":[{"type":"paragraph","content":[{"text":"1","type":"text"}]}]}]}]},{"type":"heading","attrs":{"level":3},"content":[{"text":"Leg Quantity Ratios ","type":"text"}]},{"type":"paragraph","content":[{"text":"Curve Ratio (RV) spreads support quantity ratios to keep approximate DV01 neutrality. The Curve Ratio (RV) spread leg ratios are static at the instrument level and dynamic at the product level based on spread construction. The ratios can be different for different spread instruments. The quantity ratio of legs is defined in the repeating group of the Curve Ratio (RV) spread MDP3 Security Definition (tag 35-MsgType=d) message in tags 623-LegRatioQty and tag 624-Side for the leg ratio.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity ratios maybe re-assessed when a new underlying (leg) is listed due to a new auction.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"If a new ratio is required, an additional spread will be listed.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Curve Ratio (RV) spread quantity ratios are integers in all cases, e.g. 10:7, 5:2.","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Minimum order quantity is 1.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The quantity must be multiplied by the leg quantity ratios of the the spread (e.g. 2:10; quantity of 5 would be 10:50.).","type":"text"}]}]}]}]}]},{"type":"heading","attrs":{"level":3},"content":[{"text":"Spread Construction","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"The Curve Ratio (RV) spread has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2 products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2 legs ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Maturity 1 shall be the shorter tenor","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Maturity 2 shall be the longer tenor","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of +n:-n ","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"heading","attrs":{"level":3},"content":[{"text":"Quantity Side Ratios","type":"text"}]},{"type":"paragraph","content":[{"text":"Ratios are static and predetermined based on spread construction.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#003366"}}]}]}]},{"type":"heading","attrs":{"level":3},"content":[{"text":"Pricing Examples","type":"text"}]},{"type":"paragraph","content":[{"text":"The Curve Ratio (RV) spread is priced as the yield differential of two US Treasury Active tenors.","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"RV Spread = Leg1 - Leg2","type":"text","marks":[{"type":"strong"}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"heading","attrs":{"level":3},"content":[{"text":"Price to Yield and Yield to Price Conversion","type":"text"}]},{"type":"paragraph","content":[{"text":"The spread is traded at a +- yield differential with inverted prices (bid higher than offer). The outright legs will trade in prices requiring price to yield and yield to price conversions.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#003366"}}]}]}]},{"type":"heading","attrs":{"level":4},"content":[{"text":"Example: Curve Ratio (RV) Spread Trade and Leg Price Assignments","type":"text"}]},{"type":"paragraph","content":[{"text":"RV Spread","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":"UB10:30 trades 5 at -43.750 (the decimal notation of the yield as quoted in percentages: -.43750%)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +1 UST 10YR Bond","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -1 UST 30YR Bond","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the anchor and assigned the most recent traded price of 114.375;","type":"text"},{"text":" therefore, this is automatically assigned.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated requiring a price to yield and yield to price conversion.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Example: calculations of yield to price and price to yield. ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Spread Trade Price + PtY(Leg2 Price)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade Price of -43.750 conversion to percent for price conversion","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"-.43750% + ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"PtY(114.375)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"-.43750% + 1.7530838%","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Convert Leg1 back to price:","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 in calculated yield terms (YtP) = 1.3155838%","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 yield to price (PtY) = 103.9695740","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]}]}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg Quantity Assignment","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Leg1 quantity = Spread Trade Quantity * Leg1 Ratio","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 Quantity = 5 * 2 = 10","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg2 quantity = Spread Trade Quantity * Leg2 Ratio","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 Quanity = 5 * 10 = 50","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"TB Gasoil Crack ","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"TB","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"strong"}]},{"text":"spread is the differential spread involving the simultaneous purchase (sale) of a distilled product (e.g., Low Sulphur Gasoil) with a corresponding sale (purchase) of the raw product from which it was produced (e.g., Crude Oil). The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"strong"}]},{"text":"spread will trade at a reduced tick (1) and","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"is priced in terms of the raw product which necessitates a mathematical conversion of the distilled product's price.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"strong"}]},{"text":"Spread has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2 different products belonging to the same product group (e.g. energy)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"2 legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs must be of the same expirations","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 (buy leg) must be the distilled product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 (sell leg) must be the raw product","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratios of the legs is +4:-3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"strong"}]},{"text":"spread buys Leg1, sells Leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"strong"}]},{"text":"spread sells Leg1, buys Leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol =","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"7FV2-BZV2","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = +4 7FV2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = -3 BZV2","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing of the ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":"spread is at a fixed price ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero price. The spread also trades at a reduced tick. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"heading","attrs":{"level":4},"content":[{"text":"Spread Pricing ","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"strong"}]},{"text":"spread Trade Price is = (Leg1 / 7.45) – Leg2 * 1","type":"text"}]},{"type":"paragraph","content":[{"text":"The Gasoil Crack spread is priced in terms of the raw product (e.g., Crude Oil) which necessitates a mathematical conversion of the distilled product’s (e.g., Low Sulphur Gasoil) price:","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"For Gasoil: 1 metric ton = 7.45 barrels","type":"text"}]},{"type":"heading","attrs":{"level":4},"content":[{"text":"Leg Price Assignment Example","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = the anchor leg is calculated starting with the Leg2 fair market price","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 + Trade Price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Round to nearest 20-point increment","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Rounded (Leg2 + Trade Price) – Trade Price = Finalized rounded Leg2 price","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"Leg1 = calculated using a mathematical conversion and rounded to the nearest 1 cent","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Rounded (Leg2 + Trade Price) * 7.45","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"The same leg price will be applied to all legs on each side with a ratio, e.g., for 7F-BZ at 4:3, all 4 7F legs will be priced at the same price and all 3 BZ legs will be priced at the same price.","type":"text"}]},{"type":"heading","attrs":{"level":4},"content":[{"text":"Leg Pricing Example","type":"text"}]},{"type":"paragraph","content":[{"text":"A quantity side ratio of +4:-3 is used in the example below.","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Gasoil Crack ","type":"text","marks":[{"type":"strong"}]},{"text":"spread trades at 1121","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 has Fair Market Price of = 7778","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"7778 + 1121 = 8899","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Rounded to nearest 20-point increment = 8900","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"8900 – 1121 = 7779","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is calculated using a mathematical conversion and rounded to the nearest 1 cent","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"8900 * 7.45 = 66305","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Resulting legs:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Buy 4 lots of 7FV2 at 66305","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Sell 3 lot of BZV2 at 7779","type":"text"}]}]}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"TG HOGO Inter-Commodity ","type":"text"},{"text":"Ratio Futures","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text"},{"text":"TG","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a5d9c59-225f-42c7-b28d-ca4a19399d99"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"HOGO ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a5d9c59-225f-42c7-b28d-ca4a19399d99"}},{"type":"strong"}]},{"text":"spread is the differential spread involving the simultaneous purchase (sale) a energy product (i.e., Heating Oil) with a corresponding sale (purchase) of a related energy product (i.e., Gas Oil). ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a5d9c59-225f-42c7-b28d-ca4a19399d99"}},{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a5d9c59-225f-42c7-b28d-ca4a19399d99"}}]},{"text":"HOGO","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a5d9c59-225f-42c7-b28d-ca4a19399d99"}},{"type":"strong"}]},{"text":" spread has:","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"5a5d9c59-225f-42c7-b28d-ca4a19399d99"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two different products belonging to the same product group (e.g., energy)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Two legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Both legs ","type":"text"},{"text":"must be of the same expirations","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 is the buy leg","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is the sell leg","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratios ","type":"text"},{"text":"of the legs is +3:-4","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying the ","type":"text"},{"text":"HOGO","type":"text","marks":[{"type":"strong"}]},{"text":" spread","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"buys leg1 and sells leg2","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling the ","type":"text"},{"text":"HOGO","type":"text","marks":[{"type":"strong"}]},{"text":" spread","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"sells leg1 and buys leg2","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Instrument Symbol = ","type":"text"},{"text":"HOZ3-7FZ3","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = ","type":"text"},{"text":"+3 HOZ3","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = ","type":"text"},{"text":"-4 7FZ3","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]},{"type":"panel","attrs":{"panelType":"warning"},"content":[{"type":"paragraph","content":[{"text":"Important","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Pricing of the ","type":"text"},{"text":"HOGO ","type":"text","marks":[{"type":"strong"}]},{"text":"spread is at a fixed price ratio and does not consider the outright leg quantity ratios. The spread can trade at a negative or zero. ","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"HOGO","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]},{"text":" spread trade tick (1), with leg2 (Gas Oil) will trade at a smaller tick (1) than outright trading tick (25).","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]},{"type":"paragraph","content":[{"text":"Pricing ","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"HOGO ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]},{"text":"spread Trade Price is = ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"Leg1 * 1 - Leg 2 * 1/3.129","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Conversion Factor","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"HOGO","type":"text","marks":[{"type":"strong"}]},{"text":" Spread is priced in terms of the gallons which necessitates a mathematical conversion of the price from metric tons to gallons.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Conversion factor 1 metric ton = 312.9 gallons","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Conversion factor used in spread trade price = 3.129 gallons","type":"text"}]}]}]}]},{"type":"paragraph","content":[{"text":"Leg Price Assignment:","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = is the anchor and assigned Fair Market Price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Leg1 - Trade Price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Round to nearest 1000 - point increment","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Calculate Leg1 final price","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Rounded (Leg1 - Trade Price) + Trade Price","type":"text"}]}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"Leg2 = is calculated and rounded to the nearest 1 cent","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Convert from metric tons to gallons","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = Rounded (Leg1 - Trade Price) * 3.129","type":"text"}]}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"The same ","type":"text"},{"text":"leg price will be applied to all legs on the side with a ratio, e.g., for HO-7F at 3:4, all 3 HO legs will be priced at the same price; and all 4 7F legs will be priced at the same price.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"Leg Pricing Examples:","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"type":"hardBreak"},{"type":"hardBreak"},{"text":"A quantity side ratio of ","type":"text"},{"text":"+3:-4","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" will be used in the below example.","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"HOGO","type":"text","marks":[{"type":"strong"}]},{"text":" spread trades at 2583","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 has Fair Market Price of = 25210","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"25210 - 2583 = 22627","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Rounded to nearest 1000 - point increment = 23000","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 23000 + 2583 = 25583","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 is calculated rounded to the nearest 1 cent","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"23000 * 3.129 = 71967","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Resulting legs:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 Buy 3 lots of HOZ3 at 25583","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 Sell 4 lot of 7FZ3 at 71967","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"To convert leg2 to gallons use leg2/3.129","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"heading","attrs":{"level":1},"content":[{"text":"RB Butterfly","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"RB","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"RB","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Butterfly ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":"is a 3-leg spread at a fixed ratio.","type":"text"}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"RB Butterfly","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"spreads are constructed using three separate US Active tenors.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"3 Products","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"3 Legs","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 - Must be shortest tenor","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 - Must be the middle tenor compared to legs 1 and 3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 - Must be the longer tenor","type":"text"}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of X:-Y:+Z","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1b251490-c5fa-49e2-81b9-78c0bf9a9377"}}]},{"text":"RB Butterfly","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1b251490-c5fa-49e2-81b9-78c0bf9a9377"}},{"type":"strong"}]},{"text":" buys Leg1(X), sells Leg2(Y), buys Leg3(Z)","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1b251490-c5fa-49e2-81b9-78c0bf9a9377"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1b251490-c5fa-49e2-81b9-78c0bf9a9377"}}]},{"text":"RB Butterfly","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1b251490-c5fa-49e2-81b9-78c0bf9a9377"}},{"type":"strong"}]},{"text":" sells Leg1(X), buys Leg2(Y), sells Leg3(Z)","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"1b251490-c5fa-49e2-81b9-78c0bf9a9377"}}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Quantity Side Ratios","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of +X:-Y:+Z","type":"text"},{"text":" Ratios are static and predetermined based on spread construction.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#003366"}}]}]}]}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"RB Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" spreads are","type":"text"},{"text":" priced as the yield differential in basis points of three US Treasury Active Active tenors. The minimum price increment is 1/10th of one basis point. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"RB Butterfly","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" spreads = Leg1 – (2 * Leg2) + Leg3","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Price to Yield and Yield to Price Conversion","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"RB Butterfly","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" spreads must be traded as a +- yield differential with a +","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"1:-2:+1 leg price ratio (in yield). US Treasury Actives legs are traded in price, requiring price to yield and yield to price conversions.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Example: Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 and Leg3 are the anchor ","type":"text"},{"text":"and assigned the most recent traded price; therefore, this is automatically assigned.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 ","type":"text"},{"text":"is calculated requiring a price to yield and yield to price conversion.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread price (in Yield) + 2 * PtY(Leg2 Price) - PtY(Leg3 Price)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade price in basis points converted to percent for price conversion","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade price converted to decimal for yield to price conversion","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Convert calculated Leg1 yield into price","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Final leg1 price rounded to the same decimal precision of Leg1","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"RB Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" ","type":"text"},{"text":" ","type":"text","marks":[{"type":"strong"}]},{"text":"3Y/5Y/7Y 2:8:5 trades 10 at 300 (the basis point notation of the yield as quoted in percentages: 3%). A ratio of 2:8:5 is being used as the leg price example. ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"Contract details:","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"table","attrs":{"layout":"center","width":1800.0,"localId":"cdbc9158-33a9-4903-8554-5a4ea7a29b74"},"content":[{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[577.0]},"content":[{"type":"paragraph","content":[{"text":"Contract Type","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[743.0]},"content":[{"type":"paragraph","content":[{"text":"Long Name","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[480.0]},"content":[{"type":"paragraph","content":[{"text":"Ratio","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[577.0]},"content":[{"type":"paragraph","content":[{"text":"Spread","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[743.0]},"content":[{"type":"paragraph","content":[{"text":"3Y/5Y/7Y 2:8:5","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[480.0]},"content":[{"type":"paragraph","content":[{"text":"2:8:5","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[577.0]},"content":[{"type":"paragraph","content":[{"text":"Leg1","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[743.0]},"content":[{"type":"paragraph","content":[{"text":"3 YEAR","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[480.0]},"content":[{"type":"paragraph","content":[{"text":"2","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[577.0]},"content":[{"type":"paragraph","content":[{"text":"Leg2","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[743.0]},"content":[{"type":"paragraph","content":[{"text":"5 YEAR","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[480.0]},"content":[{"type":"paragraph","content":[{"text":"8","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[577.0]},"content":[{"type":"paragraph","content":[{"text":"Leg3","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[743.0]},"content":[{"type":"paragraph","content":[{"text":"7 YEAR","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[480.0]},"content":[{"type":"paragraph","content":[{"text":"5","type":"text"}]}]}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 99.0078125","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = 99.453125","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 ","type":"text"},{"text":"is calculated requiring a price to yield and yield to price conversion.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Example: Leg1 calculations: ","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = Spread Trade Price + 2 * PtY(Leg2 Price) - PtY(Leg3 Price)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade Price of 300 converted to 3% percent for price conversion","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"3% + 2 * ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"PtY(","type":"text"},{"text":"99.0078125","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":") - ","type":"text"},{"text":"PtY(99.453125)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"3% + 2 * (3.4187995200941588)-(3.3284821616988167)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Trade Price of 3% converted to decimal for yield to price conversion","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" 3.00 + 6.837599040188-3.3284821616988167 ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":" = 6.509116878489","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Convert the calculated leg1 PtY back to YtP:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = YtP(91.3209739126597500) (rounded to 91.32097391)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]}]}]}]}]}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Example: Leg Quantity and Price Assignment","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]}]},{"type":"table","attrs":{"layout":"center","width":1800.0,"localId":"7406d8bc-aeb4-4069-9993-d59d8f1973b4"},"content":[{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[477.0]},"content":[{"type":"paragraph","content":[{"text":"Execution Report Type","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1,"colwidth":[1322.0]},"content":[{"type":"paragraph","content":[{"text":"Quantity and Price","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[477.0]},"content":[{"type":"paragraph","content":[{"text":"Spread Fill ","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[1322.0]},"content":[{"type":"paragraph","content":[{"text":"10@300 (trade price)","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[477.0]},"content":[{"type":"paragraph","content":[{"text":"Leg1 Fill","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[1322.0]},"content":[{"type":"paragraph","content":[{"text":"20@91.32097391 (calculated price)","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1,"colwidth":[477.0]},"content":[{"type":"paragraph","content":[{"text":"Leg2 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Butterfly","type":"text"}]},{"type":"paragraph","content":[{"text":"SecuritySubType=","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"BB","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Balanced Strip Butterfly","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" spread is identified by FIX tag 762-SecuritySubType=","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"BB","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" in the MDP3 security definition message; and strategyType=","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"BB","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" in the CME Reference Data API.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Balanced Strip Butterfly","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":" spread will represent a differential spread composed of three legs having equidistant expirations—the near and deferred expirations of a ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":"Balanced Strip Butterfly ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}},{"type":"strong"}]},{"text":"on one side of the spread and twice the quantity of the middle expirations of a pack on the other side (1:2:1). ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172b4d"}}]},{"text":" The Balanced Strip Butterfly is aka a \"spread of spreads\".","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]},{"type":"paragraph","content":[{"text":"A ","type":"text"},{"text":"Balanced Strip Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"has:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"One Product","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Three legs","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Quantity/side ratio of the legs is +1:-2:+1","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Expiration of all legs must be different and symmetric","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Legs must be either ","type":"text"},{"text":"FS Strip Spread, SB Balanced Strip Spread, AB Average Priced Bundle or SA Strip","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Buying a ","type":"text"},{"text":"Balanced Strip Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" buys leg1, sells 2 * leg2, buys leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Selling a ","type":"text"},{"text":"Balanced Strip Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":"sells leg1, buys 2 * leg2, sells leg3","type":"text"}]}]}]},{"type":"paragraph","content":[{"text":"Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The below example is for illustrative purposes only--using the Average Priced Bundle Packs as the butterfly legs.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Instrument Symbol = ","type":"text"},{"text":"SR3:BB U3-U4-U5 ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#222222"}}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = SR3:AB 01Y U3","type":"text","marks":[{"type":"textColor","attrs":{"color":"#222222"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = SR3:AB 01Y U4","type":"text","marks":[{"type":"textColor","attrs":{"color":"#222222"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = SR3:AB 01Y U5","type":"text","marks":[{"type":"textColor","attrs":{"color":"#222222"}}]}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Zero and at negative prices","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"This spread can trade at zero and at negative prices. For more information regarding the component legs, see the details for FS Strip Spread, ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"SB Balanced Strip Spread, AB Average Priced Bundle ","type":"text"},{"text":"or SA Strip on this page.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]}]}]},{"type":"paragraph","content":[{"text":"Pricing","type":"text","marks":[{"type":"textColor","attrs":{"color":"#222222"}},{"type":"strong"}]}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"The ","type":"text"},{"text":"Balanced Strip Butterfly ","type":"text","marks":[{"type":"strong"}]},{"text":" Trade Price is the differential of the strip legs = Leg1 - 2*Leg2 + Leg3","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg Price Assignment","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 and Leg2 are the anchor strip legs and assigned the most recent price","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 is calculated:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Spread Trade Price - Leg1 + 2*Leg2","type":"text"}]}]}]}]}]}]}]},{"type":"paragraph","content":[{"text":"Pricing Example","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"The ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#707070"}}]},{"text":"Balanced Strip Butterfly","type":"text","marks":[{"type":"strong"}]},{"text":" trades at -36","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg1 = 9466","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg2 = 9557","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3 = -36 - 9466 + 19114","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Leg3= 9612","type":"text"}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Individual Leg Price Assignment","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Individual legs will be assigned prices according to ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]},{"text":"FS Strip Spread, SB Balanced Strip Spread, AB Average Priced Bundle or SA Strip","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":" leg pricing rules.","type":"text","marks":[{"type":"textColor","attrs":{"color":"#333333"}}]}]}]},{"type":"paragraph","content":[{"text":"top","type":"text","marks":[{"type":"link","attrs":{"href":"#topofpage"}}]}]},{"type":"paragraph"},{"type":"paragraph"}],"version":1}

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