Futures Exchange Traded Spread Types
- Brendan Hebert (Unlicensed)
Traded spread panels have a column, labeled "Type", that indicates the type of spread you are viewing. Spread types include:
BF - Butterfly; Three contracts within the same instrument 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)
BS - Bundle Spread; 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.
CF - Condor; Four contracts within the same instrument 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)
CR - Crush; Buy Soybeans futures, Sell Soy Oil and Soy Meal Futures
DF - Double Butterfly; Four contracts within the same instrument group and equally distributed maturity months (e.g., Z7-H8-M8-U8). 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.
EQ - Calendar - Equities; Two contracts within the same instrument group and with different maturity months. Buy 1 calendar = sell 1 front month leg and buy 1 back month leg, ( -1 : +1 ratio)
FB - Bundle; 8 to 40 contracts within the same instrument group and with consecutive monthly or quarterly maturity months.
FX - Calendar - Foreign Exchange; Two contracts within the Foreign Exchange instrument 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.
GN - Generic;Generic spreads can be defined with up to 40 legs and allow users to create delta neutral strategies.
IS - Inter-commodity; Inter-Commodity spreads (IS) consist of two futures contracts of different products. Tick increments must be the same value. The expiration month does not matter.
MP - Month Pack; Selling 1 pack with a later maturity and buying 4 outright contracts of the same contract month with a maturity earlier than the front month of the pack.
PB - Pack Butterfly; 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.
PK - Pack; Simultaneous purchase or sale of an equally weighted, consecutive series of four Eurodollar futures, quoted on an average net change basis from the previous days close. The Pack Spread consists of 4 contracts with the same instrument group and consecutive quarterly maturity months (M8-U9-Z9-H9) with each leg (+1:+1:+1:+1 ratio)
PS - Pack Spread; 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.
RT - Calendar - Reduced Tick; Unique to CME Group US Treasury markets, allows a difference in tick size between the underlying instrument and the spread. The underlying instrument trades in its published tick size (1/32nd or ½ of 1/32nd ), while the spread market of the underlying trades in a reduced tick size of ¼ of 1/32nd
SD - CME Europe Futures Calendar Spread; Two instruments within the same product group having different maturity periods. The first leg and the back leg have different expirations. For example, currency spreads change in reduced increments from the outright contract.
SP - Calendar - Standard; 2 contracts within the same instrument group and with different maturity months. Buy 1 calendar = buy 1 front month leg, and sell 1 back month leg (+1:-1 ratio)
SR - Strip; Simultaneous purchase (sale) of one or more contracts in delivery months within a single contract. Any delivery month can act as the first month of the Strip, as long as there are at least three following months available. Selling the Strip involves selling all months in the Strip, vice versa for buying.