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    Creating CME Group
    User-Defined Spreads
    Setup Guide




                 02    Introduction 
                 03    Creating Covered Spreads 
                 04    Creating Combo Spreads 
              
 
 


Introduction 
 
CME Group employs two types of options spreads: Exchange‐Defined Spreads and User‐Defined 
Spreads.  
 
Exchange‐Defined Spreads (EDS) are options strategies which are published each week in the initial 
product download. TT customers receive these strategies via TT CME and CBOT Gateways. The exchange 
plans to delist EDS by late 2009 and move to a User‐Defined Spread model.  
 
 
User Defined Spreads (UDS) are options strategies created by the trader that includes the spread’s legs 
and ratios.  
 
 
CME Group has two types of User‐Defined Spreads: Covered and Combo spreads. Beginning with TT CME 
and CBOT Gateway version 7.5.8, TT supports the creation of User‐Defined Spreads. This document 
defines each of these spreads and describes how to create them using the X_TRADER® Create Strategy 
window. 
 




 
                                            



                                                                                                       2 
© Copyright 2009 Trading Technologies International, Inc. All rights reserved. 
 
 
            



                       Creating Covered Spreads 
           A Covered spread consists of an option and a futures contract and is similar to a delta neutral or volatility 
           strategy. When constructing Covered strategies, you must complete the Price and Delta fields where 
           price is the underlying futures price and delta is a positive number. You must also declare if you are 
           buying or selling the underlying. 
            
           To create a Covered spread,  
            
               1. Display the Create Strategies window. 
               2. Select the Gateway (e.g., CME) and products that compose the strategy. 
               3. Expand the product (e.g., 6A) and select OPTION. This displays all deliverable strike prices in the 
                     Contract field. 
               4. Select the desired strike price and click the right‐arrow transfer button. This adds the contract 
                     to the Strategy Construction box.  
               5. Select FUTURE to display a list of futures expiries in the Contract field.  
               6. Select the desired expiry and click the right‐arrow transfer button. This adds the contract to the 
                     Strategy Construction box. 
               7. Use the Buy/Sell (BS) button to declare if you are buying or selling each leg. 
               8. Use the Quantity field to set‐up ratio spreads. You may accept the quantity of one (1) or enter a 
                     different quantity using the keyboard. 
               9. Type the underlying futures price in the Price field formatted as it displays in X_TRADER and set 
                     the Delta. 
               10. Click the Create button. This submits the strategy to the exchange for validation. Once 
                     validated, the strategy displays in the Existing Strategies section and Market Explorer. 
            




                                                                                                          Strategy 
                                                                                                       Construction Box 




Validated Strategy 




                                                                                                                  
                                                                                                                        3 
           © Copyright 2009 Trading Technologies International, Inc. All rights reserved. 
            
 
 
 




            Creating Combo Spreads 
A Combo spread consists of options only and is created in X_TRADER as a ‘Combo’. Once created, these 
spreads display in Market Explorer under a standard options spread name, for example, Straddle, 
Strangle, Butterfly, etc.  
 
To create a Combo spread,  
 
    1. Display the Create Strategies window. 
    2. Select the Gateway (e.g., CME) and products that compose the strategy. 
    3. Expand the product (e.g., 6A) and select OPTION. This displays all deliverable strike prices in the 
        Contract field. 
    4. Select the desired strike price and click the right‐arrow transfer button. This adds the contract 
        to the Strategy Construction box.  
    5. Repeat steps three and four to add the second leg to the Strategy Construction box. 
    6. Use the Buy/Sell (BS) button to declare if you are buying or selling each leg. 
    7. Use the Quantity field to set‐up ratio spreads. You may accept the quantity of one (1) or enter a 
        different quantity using the keyboard. 
    8. Click the Create button. This submits the strategy to the exchange for validation. Once 
        validated, the strategy displays in the Existing Strategies section and Market Explorer. 
 
 




                                                                                  Buy 1 6A Jun09 C7150 and  
                                                                                  Buy 1 6A Jun09 P7150 Combo 




                                                                                                               
                                                                                                           4 
© Copyright 2009 Trading Technologies International, Inc. All rights reserved. 
 
 
          
          
          


         Creating Combo Spreads                                                            (continued) 


         Once created, the validated Combo spread displays in Market Explorer under a standard options spread 
         name, for example, Straddle, Strangle, Butterfly, etc.   
          




Straddle 1x6A Jun09 C7150 + 1xJun09 P7150 




                                                                                                                        
          

                         
                         Tip: 
                         The Audit Trail displays strategy creation messages and provides details when the exchange 
                         does not validate the strategy.  
          
          




                                                                                                                   5 
         © Copyright 2009 Trading Technologies International, Inc. All rights reserved. 
          

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Creating Cme Group User Defined Spreads

  • 1.   Creating CME Group User-Defined Spreads Setup Guide 02  Introduction  03  Creating Covered Spreads  04  Creating Combo Spreads   
  • 2.     Introduction    CME Group employs two types of options spreads: Exchange‐Defined Spreads and User‐Defined  Spreads.     Exchange‐Defined Spreads (EDS) are options strategies which are published each week in the initial  product download. TT customers receive these strategies via TT CME and CBOT Gateways. The exchange  plans to delist EDS by late 2009 and move to a User‐Defined Spread model.       User Defined Spreads (UDS) are options strategies created by the trader that includes the spread’s legs  and ratios.       CME Group has two types of User‐Defined Spreads: Covered and Combo spreads. Beginning with TT CME  and CBOT Gateway version 7.5.8, TT supports the creation of User‐Defined Spreads. This document  defines each of these spreads and describes how to create them using the X_TRADER® Create Strategy  window.          2  © Copyright 2009 Trading Technologies International, Inc. All rights reserved.   
  • 3.      Creating Covered Spreads  A Covered spread consists of an option and a futures contract and is similar to a delta neutral or volatility  strategy. When constructing Covered strategies, you must complete the Price and Delta fields where  price is the underlying futures price and delta is a positive number. You must also declare if you are  buying or selling the underlying.    To create a Covered spread,     1. Display the Create Strategies window.  2. Select the Gateway (e.g., CME) and products that compose the strategy.  3. Expand the product (e.g., 6A) and select OPTION. This displays all deliverable strike prices in the  Contract field.  4. Select the desired strike price and click the right‐arrow transfer button. This adds the contract  to the Strategy Construction box.   5. Select FUTURE to display a list of futures expiries in the Contract field.   6. Select the desired expiry and click the right‐arrow transfer button. This adds the contract to the  Strategy Construction box.  7. Use the Buy/Sell (BS) button to declare if you are buying or selling each leg.  8. Use the Quantity field to set‐up ratio spreads. You may accept the quantity of one (1) or enter a  different quantity using the keyboard.  9. Type the underlying futures price in the Price field formatted as it displays in X_TRADER and set  the Delta.  10. Click the Create button. This submits the strategy to the exchange for validation. Once  validated, the strategy displays in the Existing Strategies section and Market Explorer.    Strategy  Construction Box  Validated Strategy    3  © Copyright 2009 Trading Technologies International, Inc. All rights reserved.   
  • 4.        Creating Combo Spreads  A Combo spread consists of options only and is created in X_TRADER as a ‘Combo’. Once created, these  spreads display in Market Explorer under a standard options spread name, for example, Straddle,  Strangle, Butterfly, etc.     To create a Combo spread,     1. Display the Create Strategies window.  2. Select the Gateway (e.g., CME) and products that compose the strategy.  3. Expand the product (e.g., 6A) and select OPTION. This displays all deliverable strike prices in the  Contract field.  4. Select the desired strike price and click the right‐arrow transfer button. This adds the contract  to the Strategy Construction box.   5. Repeat steps three and four to add the second leg to the Strategy Construction box.  6. Use the Buy/Sell (BS) button to declare if you are buying or selling each leg.  7. Use the Quantity field to set‐up ratio spreads. You may accept the quantity of one (1) or enter a  different quantity using the keyboard.  8. Click the Create button. This submits the strategy to the exchange for validation. Once  validated, the strategy displays in the Existing Strategies section and Market Explorer.      Buy 1 6A Jun09 C7150 and   Buy 1 6A Jun09 P7150 Combo    4  © Copyright 2009 Trading Technologies International, Inc. All rights reserved.   
  • 5.         Creating Combo Spreads  (continued)  Once created, the validated Combo spread displays in Market Explorer under a standard options spread  name, for example, Straddle, Strangle, Butterfly, etc.      Straddle 1x6A Jun09 C7150 + 1xJun09 P7150        Tip:  The Audit Trail displays strategy creation messages and provides details when the exchange  does not validate the strategy.       5  © Copyright 2009 Trading Technologies International, Inc. All rights reserved.