Multi- Month Futures Trade Structures

"Futures - Bundle (FB)

Bundle (FB) consists of 8 to 40 instruments within the same product group and with consecutive quarterly maturity months per block of 4. For instance, a 2-year bundle consists of 8 instruments, a 5-year bundle con­sists of 20 instruments, and a 10-year bundle consists of 40 instruments. Buy 1 bundle = buy 1 of each leg.  The maximum quantity for Bundles is 5000.

Products: Eurodollar Interest Rate

Construction: Buy1exp1  Buy1exp2  Buy1exp3  Buy1exp4  Buy1exp5  Buy1exp6 Buy1exp7  Buy1exp8...Buy1exp40

Security Description Example: GE:FB 02Y M8

Example: Buy the 2-year Bundle

Buy 1 June 2008 Eurodollar

Buy 1 Sept 2008 Eurodollar

Buy 1 December 2008 Eurodollar

Buy 1 March 2009 Eurodollar

Buy 1 June 2009 Eurodollar

Buy 1 Sept 2009 Eurodollar

Buy 1 December 2009 Eurodollar

Buy 1 March 2010 Eurodollar

Example: Sell the 2-year Bundle

Sell 1 June 2008 Eurodollar

Sell 1 Sept 2008 Eurodollar

Sell 1 December 2008 Eurodollar

Sell 1 March 2009 Eurodollar

Sell 1 June 2009 Eurodollar

Sell 1 Sept 2009 Eurodollar

Sell 1 December 2009 Eurodollar

Sell 1 March 2010 Eurodollar

 

Futures - Bundle Spread (BS)

Bundle-Spread (BS) consists of a calendar spread with each leg being a Bundle with different maturities. Buying 1 bundle spread = buying 1 bundle with closer maturity and selling 1 bundle with further maturity.

Bundle Spreads will have an equal number of legs on each leg of the bundle. For instance, a 2-year bundle can only be paired with a second 2-year bundle to create a bundle spread.

Common future legs between the two bundles are not allowed. For example, a June 2008 2-year bundle cannot be spread with a March 2010 2-year bundle, since this would result in a common leg of the March 2010 futures instrument between the two bundles.

June 2008 2-Year Bundle	March 2010 2-Year Bundle
Buy 1 June 2008 Eurodollar	Buy 1 March 2010 Eurodollar
Buy 1 September 2008 Eurodollar	Buy 1 June 2010 Eurodollar
Buy 1 December 2008 Eurodollar	Buy 1 September 2010 Eurodollar
Buy 1 March 2009 Eurodollar	Buy 1 December 2010 Eurodollar
Buy 1 June 2009 Eurodollar	Buy 1 March 2011 Eurodollar
Buy 1 September 2009 Eurodollar	Buy 1 June 2011 Eurodollar
Buy 1 December 2009 Eurodollar	Buy 1 September 2011 Eurodollar
Buy 1 March 2010 Eurodollar	Buy 1 December 2011 Eurodollar

Products: Eurodollar Interest Rate

Construction: Buy1(Bundle)exp1   Sell1(Bundle)exp2

Security Description Example: GE:BS 2YM8 2YM0

Example: Buy the Bundle

Buy 1 June 2008 Eurodollar Bundle

Sell 1 June 2010 Eurodollar Bundle

Example: Sell the Bundle

Sell 1 June 2008 Eurodollar Bundle

Buy 1 June 2010 Eurodollar Bundle

 

Futures - Butterfly (BF)

Butterfly (BF) consists of 3 instruments within the same product group and with equally distributed maturity months (e.g., M8-U8-Z8). Buy 1 butterfly = buy 1 of the closer maturity leg, sell 2 of the next maturity leg, and buy 1 of the furthest maturity leg (+1:-2:+1 ratio).

Products: Agriculture, Interest Rates, Equity Index

Construction: Buy1exp1  Sell2exp2  Buy1exp3

Security Description Example: GE:BFM8-U8-Z8

Example: Buy the Butterfly

Buy 1 June 2008 Eurodollar and

Sell 2 September 2008 Eurodollar and

Buy 1 December 2008 Eurodollar

Example: Sell the Butterfly

Sell 1 June 2008 Eurodollar and

Buy 2 September 2008 Eurodollar and

Sell 1 December 2008 Eurodollar

 

Futures - Calendar

A Calendar spread consists of 2 instruments with the same product with different maturity months. There are variations in Calendar spreads base on the product. Each Calendar spread variation is designated through the use of a different spread type code.

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Not all CME Group futures spread markets follow the convention where Buying the Spread indicates Buying the front expiry and selling the back expiry. The following markets use the logic for calendar spreads where Buying the Spread sells the front expiry month and buys the back expiry month:

• CME FX
• Equity

Futures - Standard Calendar Spread (SP)

The standard calendar spread (SP) consists of 2 instruments within the same product group having different maturity months. Buy 1 calendar means Buy 1 front month leg and Sell 1 back month leg (+1:-1 ratio).

Products: All Products

Construction: Buy1exp1 Sell1exp2

Example: Buy the Spread

Buy 1 December 2008 Eurodollar

Sell 1 March 2009 Eurodollar

Security Description Example: GEZ8-GEH9

Example: Sell the Spread

Sell 1 December 2009 Eurodollar

Buy 1 March 2009 Eurodollar

Security Description Example: Selling 1 GEZ8-GEH

Futures - Equity Calendar Spread (EQ)

The Equities (EQ) calendar spread consists of 2 instruments within the same product group and with different maturity months. Buy 1 calendar = sell 1 front month leg and buy 1 back month leg, ( -1 : +1 ratio).

Products: Equity Index

Construction: Sell1exp1  Buy1exp2

Security Description Example: ESZ8-ESH9

Example: Buy the Spread

Sell 1 December  2008 e-mini S&P and

Buy 1 March 2009 e-mini S&P

Example: Sell the Spread

Buy 1 December 2008 e-mini S&P and

Sell 1 March 2009 e-mini S&P

Futures - Foreign Exchange Calendar Spread (FX)

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

Products: Foreign Exchange (FX)

Construction: Buy1exp2  Sell1exp1

Security Description Example: 6EH9-6EZ8

Example: Buy the Spread

Buy 1 March 2009 CME EuroFX and

Sell 1 December  2008 CME EuroFX

Example: Sell the Spread

Sell 1 March 2009 EuroFX and

Buy 1 December 2008 EuroFX

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

 

Futures - CME Europe Currency Calendar Spread (SD)

The CME Europe Futures Calendar Spread (SD) consists of 2 instruments within the same product group having different maturity months. The first leg has a later expiry than the back leg.

All currency spreads tick in reduced increments from the outright contract (e.g., a tick increment of 0.5 for the spread and 1.0 for the outright). 

The 10 major currency pairs are: EUR/USD, GBP/USD, EUR/GBP, USD/JPY, EUR/JPY, USD/CHF, EUR/CHF, USD/CAD, AUD/USD, and NZD/USD.

The following table summarizes the construction of the Futures Calendar Spreads.

Construction: Buy1exp2 Sell1exp1

Security Description Example: JPYH4-JPYZ3

Trading Convention

• Listed in the order of Leg1 = Deferred Month and Leg2 = Nearby Month
• Entering a Bid = Buy Leg2 and Sell Leg1

Products: CME Europe FX Futures

Construction:  Buy1exp2 Sell1exp1

Example: Buy the Spread

Buy 1 March 2014 JPY

Sell 1 December 2013 JPY

Example: Sell the Spread

Sell 1 March 2014 JPY

Buy 1 December 2013 JPY

Futures - Condor (CF)

Condor (CF) consist of 4 instruments within the same product group and with consecutive quarterly matu­rity months (e.g. Z8-H9-M9-U9). Buy 1 condor = buy 1 of the closer month leg, sell 1 of the next maturity leg, sell 1 of the next maturity leg, and buy 1 of the furthest maturity leg (+1:-1:-1:+1 ratio).

Products: Agriculture, Interest Rates

Construction: Buy1exp1  Sell1exp2  Sell1exp3  Buy1exp4

Security Description Example: GE:CFZ8H9M9U9

Example: Buy the Condor

Buy 1 December 2008 Eurodollar and

Sell 1 March 2009 Eurodollar and

Sell 1 June 2009 Eurodollar

Buy 1 September  2009 Eurodollar

Example: Sell the Condor

Sell 1 December 2008 Eurodollar and

Buy 1 March 2009 Eurodollar and

Buy 1 June 2009 Eurodollar

Sell 1 September  2009 Eurodollar

 

Futures - Crack One-One (C1)

The Crack One:One (C1) is unique to energy products and consists of 2 different products within the same product group and with the same maturity months. Buy 1 = buy 1 front month leg1 and sell 1 back month leg2 (+1:-1 ratio).

When buying the Crack spread, the user is buying the distilled product (Gasoline or Heating Oil) and sell­ing the Crude Oil. All Crack Spreads will be listed as "same month" instruments.

Products: NYMEX Products

Construction: Buy1exp1Distillate   Sell1exp1Crude

Security Description Example: CL:C1 HO-CL U8

Example: Buy the Spread

Buy 1 Sept 2008 Heating Oil

Sell 1 Sept 2008 Crude Oil

Example: Sell the Spread

Sell 1 Sept 2008 Heating Oil

Buy 1 Sept 2008 Crude Oil

 

Futures - Double Butterfly (DF)

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

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

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

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

Products: Eurodollar Interest Rate

Construction: Buy1exp1  Sell3exp2 Buy3exp3 Sell1exp4

Security Description Example: ES:DF Z8H9M9U9

Example: Buy the Spread

Buy 1 December 2008 Eurodollar

Sell 3 March 2009 Eurodollar

Buy 3 June 2009 Eurodollar

Sell 1 Sept 2009 Eurodollar

Example: Sell the Spread

Sell 1 December 2008 Eurodollar

Buy 3 March 2009 Eurodollar

Sell 3 June 2009 Eurodollar

Buy 1 Sept 2009 Eurodollar

 

Futures - TAS Calendar Spread (EC)

Products: NYMEX Products

Trade at Settlement (TAS) intra-commodity calendar spread in the nearby month/second month spread, the second month/third month spread, and the nearby month/third month.

Construction: Buy1exp1  Sell1exp2

Security Description Example: NNTX3-NNTF4

Example: Buy the Spread

Buy 1 April 2013 Henry Hub Natural Gas Last Day Financial TAS

Sell 1 May 2013 Henry Hub Natural Gas Last Day Financial TAS

Example: Sell the Spread

Sell 1 April 2013 Henry Hub Natural Gas Last Day Financial TAS

Buy 1 May 2013 Henry Hub Natural Gas Last Day Financial TAS

 

Futures - Inter-Commodity (IS)

Inter-commodity spreads (IS) consist of two futures instruments of different products. Tick increments must be the same value.

Construction: Buy1exp1com1  Sell1exp1com2

Security Description Example: GTBZ8-GEH9

Example: Buy the Spread

Buy 1 December 2008 13-week US Treasury Bill and

Sell 1 March 2009 Eurodollar

Example: Sell the Spread

Sell 1 December 2008 13-week US Treasury Bill and

Buy 1 March 2009 Eurodollar

 

Futures - Month Pack (MP)

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

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

Products: Eurodollar Interest Rate

Construction: Buy4exp1  Sell (Pack)1exp2

Security Description Example: GE:MP Z8 1YH9

Example: Buy the Spread

Buy 4 December 2008 Eurodollar Futures and

Sell 1 March 2009 Eurodollar Pack

Pack = March2009, June2009, Sept2009, Dec2009

Example: Sell the Spread

Sell 4 December 2008 Eurodollar Futures and

Buy 1 March 2009 Eurodollar Pack

Pack = March2009, June2009, Sept2009, Dec2009

 

Futures - Pack (PK)

Pack (PK) are the simultaneous purchase or sale of an equally weighted, consecutive series of four Euro­dollar futures, quoted on an average net change basis from the previous day's close.  The Pack Spread consists of 4 instruments with the same product group and consecutive quarterly maturity months (M8-U9-Z9-H9) with each leg (+1:+1:+1:+1 ratio).

Products: Eurodollar Interest Rate

Construction: Buy1exp1  Buy1exp2   Buy1exp3  Buy1exp4

Security Description Example: GE:PK 01Y M8

Example: Buy the Pack

Buy 1 June 2008 Eurodollar

Buy 1 Sept 2008 Eurodollar

Buy 1 Dec 2008 Eurodollar

Buy 1 March 2009 Eurodollar

Example: Sell the Pack

Sell 1 June 2008 Eurodollar       

Sell 1 Sept 2008 Eurodollar

Sell 1 Dec 2008 Eurodollar        

Sell 1 March 2009 Eurodollar

 

Futures - Pack Butterfly (BP)

Pack-Butterfly (PB) consists of a butterfly spread with each of the legs being a Pack. Buy 1 pack-butterfly = buy 1 of the closer maturity pack, sell 2 of the next maturity pack, and buy 1 of the furthest maturity pack.

Products: Eurodollar Interest Rate

Construction: Buy (Pack)1exp1  Sell (Pack)2exp2   Buy (Pack)1exp3

Security Description Example: GE:PB Z8-Z9-Z0

Example: Buy the Spread

Buy 1 December 2008 Eurodollar Pack

Sell 2 December 2009 Eurodollar Pack

Buy 1 December  2010 Eurodollar Pack

Example: Sell the Spread

Sell 1 December 2008 Eurodollar Pack

Buy 2 December 2009 Eurodollar Pack

Sell 1 December 2010 Eurodollar Pack

Futures - Pack Spread (PS)

Pack-Spread (PS) consists of a calendar spread with each leg being a Pack with different maturities. Buy 1 pack-spread = buy 1 closer maturity Pack, sell 1 further maturity Pack.

Products: Eurodollar Interest Rate

Construction: Buy (Pack)1exp1  Sell (Pack)1exp2

Security Description Example: GE:PS Z8-H9

Example: Buy the Spread

Buy 1 December 2008 Eurodollar Pack and

Sell 1 March 2009 Eurodollar Pack

Dec08 Pack = Dec2008, March2009, June2009, Sept2009

Mar09 Pack = March2009, June2009, Sept2009, Dec2009

Example: Sell the Spread

Sell 1 December 2008 Eurodollar Pack and

Buy 1 March 2009 Eurodollar Pack        

Dec08 Pack = Dec2008, March2009, June2009, Sept2009

Mar09 Pack = March2009, June2009, Sept2009, Dec2009

 

Futures - Reduced Tick (RT)

Reduced Tick (RT) allows a difference in tick size between the underlying instrument and the spread, where the underlying instrument trades at a larger tick size than the spread market.

Products:

• 30-Year U.S. Treasury Bond Futures (ZB)
• 10-Year U.S. Treasury Note Futures (ZN)
• 5-Year U.S. Interest Rate Swap Futures (SA)
• 10-Year U.S. Interest Rate Swap Futures (SR)
• 30-Year Interest Rate Swap Futures (I3)
• Silver 5,000 troy ounces (SI)

Construction: Buy1exp1  Sell1exp2

Security Description Example: ZBZ8-ZBH9

Example: Buy the Spread

Buy 1 December 2008 30-year US Treasury Bond and

Sell 1 March 2009 30-year US Treasury Bond

Example: Sell the Spread

Sell 1 December 2008 30-year US Treasury Bond and

Buy 1 March 2009 30-year US Treasury Bond

 

Futures - Strip (FS)

Strip Spread (FS) is the simultaneous purchase (or sale) of futures positions in consecutive months. The average of the prices for the futures instruments bought (or sold) is the price level of the hedge. A six-month strip, for example, consists of an equal number of futures instruments for each of six consecutive instrument months, also known as a calendar strip. The Strip Spread consists of 4 to 40 instruments within the same product group and with consecutive months. The ratios of the legs must equal 1.

Strips are constructed as buying a series of instruments simultaneously. Strips will tick in 1-tick increments. Strips can consist of any consecutive months between and including 2-Month Strips to 12-Month Strips.

Products: Agriculture, Interest Rates, FX, Metals

Construction: Buy1exp1  Buy1exp2  Buy1exp3  Buy1exp4

Security Description Example: CL:FS 04M U8

Example: Buy the Strip

Buy 1 September 2008 Crude Oil and

Buy 1 October 2008 Crude Oil and

Buy 1 November 2008 Crude Oil

Buy 1 December  2008 Crude Oil

Example: Sell the Strip

Sell 1 September 2008 Crude Oil and

Sell 1 October 2008 Crude Oil and

Sell1 November 2008 Crude Oil

Sell 1 December  2008 Crude Oil

 

Futures - Energy Strip (SA)

Energy Strip (SA) is the simultaneous purchase (or sale) of futures positions in consecutive months. The Energy Strip can consist of any consecutive contracts between and including 2-Month Strips to 12-Month Strips and can consist of any consecutive months between and including 2-Month Strips to 12-Month Strips.

Products: Natural Gas, Power

Construction: Buy1exp1  Buy1exp2  Buy1exp3

Security Description Example: GL:SA 03M N2

Example: Buy the 3-month GLStrip

Buy 1 July 2012 GL and

Buy 1 August 2012 GL and

Buy 1 September 2012 GL

Example: Sell the 3-month GL Strip

Sell 1 July 2012 GL and

Sell 1 August 2012 GL and

Sell 1 September 2012 GL

Futures - Balanced Strip (SB)

Balanced Strip (SB) is a spread between two strips of the same duration (e.g. 3 months) in the same product (Intra-commodity). Balanced Strips are constructed by buying the first expiring strip and selling the later expiring strip (Buy 1 stripExp1, Sell 1 stripExp2). The duration of each strip must be equal and consist of 2 strips having 2 through 12 legs for a total of 4 to 24 individual instruments in the given Balanced Strip. After the first month of the strip from the first leg of the Balanced Spread expires, the instrument becomes an Unbalanced Spread (see following topic).

Products: Natural Gas

Construction: Buy StripLeg1 Sell StripLeg2

Security Description Example: GL:SB 03M H2-U2

Example: Buy the Spread

Buy 1 March 2012 3Month Strip (GL:SA 3M H2) and

Sell 1 September 2012 3Month Strip (GL:SA 3M U2)

Futures - Unbalanced Strip (WS)

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

Products: Natural Gas

Construction: Buy StripLeg1exp1  Sell StripLeg2exp2

Security Description Example: GL:WS X2-J3

Example: Buy the Spread

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

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

Futures - Energy Inter-Commodity Strip (XS)

Energy Inter-commodity Strip (XS) is a spread between two related products, with the same durations. Inter-commodity Strips are constructed by buying a strip in one product and selling a strip in another product with equivalent duration and expiration (Buy 1 stripExp1Product1, Sell 1 stripExp1Product2). Each Energy Inter-commodity Strip must consist of 2 strips, each of which contains the identical number of months (3 through 12) for a total of 6 to 24 individual instruments in each Energy Inter-Commodity Strip. After the first month of the strip from the first leg of the Inter-commodity Strip expires, the leg becomes a “balance of” spread. The balance of the strip will continue to expire until only one expiration month remains.

Products: Natural Gas

Construction: Buy1Strip1(GL)exp1   Sell1Strip2(TC)exp1

Security Description Example: GU:XS 7M GL-TC J2

Example: Buy the Spread

Buy 1 April 2012 7Month Strip GL (GL:SA 07M J2) and

Sell 1 April 2012 7Month Strip TC (TC:SA 07MJ2)

Futures - Interest Rate Inter-Commodity Spread (DI)

Interest Rate inter-commodity implied spreads consist of two Interest Rate futures instruments of different products but the same maturity. The tick increments may be different.

Construction: Buy1exp1com1  Sell1exp1com2

Security Description Example: ZNH3-N1UH3

Example: Buy the Spread

Buy 1 March 2013 10-Year Treasury Note

Sell 1 March 2013 10-Yr USD Deliverable Interest Rate Swap Futures

Example: Sell the Spread

Sell 1 March 2013 10-Year Treasury Note

Buy 1 March 2013 10-Yr USD Deliverable Interest Rate Swap Futures

Futures - Implied Treasury Intercommodity Spread (IV)

Implied Treasury inter-commodity spreads consist of one Treasury futures instrument and one Interest Rate futures instrument having the same maturity.

Construction: Buy1exp1com1 Sell1exp1com2

Security Description Example: FOS 01-01 M3

Example: Buy the Spread

Buy 1 June 2013 5 year T-Note

Sell 1 June 2013 5-year Interest Rate Swap

Example: Sell the Spread

Sell 1 June 2013 5-year T-Note

Buy 1 June 2013 5-year Interest Rate Swap

Futures - Commodities Intercommodity Spread (SI)

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

Construction: Sell11exp1com1 Sell9exp1com2 Buy10exp1com3

Security Description Example: SOM:SI N4-N4-N4

Example: Buy the Spread

Sell 11 July Soybean Meal

Sell 9 July Soybean Oil

Buy 10 July Soybeans

Example: Sell the Spread

Buy 11 July Soybean Meal

Buy 9 July Soybean Oil

Sell 10 July Soybeans

Futures - BMD Futures Strip (MS)

The BMD futures strip consists of multiples of four consecutive, quarterly maturities of a single product with the legs having a +1:+1:+1:+1 ratio. A 1-year strip, for example, consists of an equal number of futures contracts for each of the four consecutive quarters nearest to expiration.

Construction: Buy1exp1  Buy1exp2  Buy1exp3 Buy1exp4

Security Description Example: FKB3:MS 01Y M8

Example: Buy the Spread

Buy 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Buy 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Buy 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate

Buy 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate

Example: Sell the Spread

Sell 1 June 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 September 2018 3-Month Month Kuala Lumpur Interbank Offered Rate

Sell 1 December 2018 3-Month Kuala Lumpur Interbank Offered Rate

Sell 1 March 2019 3-Month Kuala Lumpur Interbank Offered Rate" - www.cme.com