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Direct MessagesDate/Time: Thu, 09 May 2024 02:15:30 +0000
Post From: Futures Spreads symbols, Get Spreads
| [2022-03-18 15:47:07] |
| 1+1=10 - Posts: 270 |
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I'm going to answer your questions out of order. Q3: Is there effectively two legs or shall it be considered like a normal future product ?
Q5: is it possible to close trade on one leg? Obviously, any two futures contracts can be traded against each other to create a spread. If the futures contracts are for the same product, such as CLJ22-NYMEX (Crude Oil May) vs CLK22-NYMEX (Crude Oil April), then the CME refers to this as an Intra-product spread. If the products are different such as ZBM22-CBOT (U.S. Treasury Bond June) vs UBM22-CBOT (Ultra U.S. Treasury Bond June), then the CME refers to this as an Inter-product spread. The CME has created exchange-traded spread products for some, but not all, of the possible spread combinations. In general, all intra-product spreads are exchange-traded and inter-product spreads with an economic linkage, such as all the U.S. Interest Rate products, have exchange-traded spread versions. (An example of a non exchange-traded spread would be the CME 6A Australia Dollar vs CBOT ZC U.S. Corn.) A spread is 2+ legs. You can read the definition at this link which I've quoted below: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Instrument+Types+Available+on+CME+Globex#InstrumentTypesAvailableonCMEGlobex-FuturesSpreads A futures spread instrument represents the simultaneous purchase and/or sale of two or more different but related outright futures instruments (legs), depending upon spread definition. For example, placing an order on CME Globex to buy futures spread type '1-Year Eurodollar Pack' represents placing an order to buy the March, June, September, and December futures outright instruments.
As to whether you can leg out of a futures spread instrument depends on the trading software. For instance, on Ironbeam's web platform if I enter a spread order, I see the positions of both legs independently. However, on CQG's QTrader, I see the spread as one position, and I'm pretty sure I can't leg out. I'm not sure how this works on Teton. 1- Are CME Future Spread symbols supported for Trading whith Teuton Order Routing?
Yes, exchange-traded spreads are supported on Teton. However, there may be a caveat which I'll discuss below in the margin section.Q4: what is the applied formula (The simple difference do not match)
2- I would like to have more information on symbol like "BOB 02-01 MM22.FUT_SPREAD.CBOT" Q2: What is the required margin (by CME or by main Brokers) In terms of ratio of # of contracts per leg for exchange-traded intra-product spreads, the CME may have both a 1:1 version and a ratio version for the same spread combination, or just one of those options. Either way, when you buy/sell an exchange-traded spread the exchange will automatically purchase the prescribed # of contracts for each leg. BOB 02-01 MM22.FUT_SPREAD.CBOT is explained thusly: BOB -- this is a nickname, meaning bonds over bonds, referring to the aforementioned ZBM22-CBOT (U.S. Treasury Bond June) vs UBM22-CBOT (Ultra U.S. Treasury Bond June) spread. 02-01 -- this is the ratio for T-Bonds vs Ultras. M22 -- in general inter-product spreads will use the same month for both legs; both the T-Bond and Ultra are using June 22. The minimum spread tick value is the tick value of the front leg, which is ZB for the above spread. ZB's tick value is: 0.03125 or 1/32 The spread's currency value per tick is the same as the front leg's, again ZB's: $31.25 For more information see: https://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf The CME has the ratios and maintenance margins for exchange-traded spreads on the same page. To find them: 1. Go to cmegroup.com 2. Click on the Search icon near top right 3. Enter the product symbol, such as ZB, or name such as Treasury Bond. 4. The search should return a Contract Overview result. Click on it. 5. Right below the blue header you'll see a row of buttons. One will say "Margins". Click on it. 6. In bold black text will be the title, such as "U.S. Treasury Bond -- Margins". Below that will be buttons for "Outrights", "Intras", & "Inters". For spreads, you'd be interested in the last two. "Intras" display the actual margins but for "Inters" they display the "Credit" which is applied to the combined maintenance margins of the outrights. If ZB + UB had combined maintenance margins of $23,000 with a %80 credit the maintenance margin would be $4600. Remember, maintence is what it takes to hold a trade through the close. Intraday margins are set by brokers -- you'd have to inquire with them about that part. One large annoyance is there are ton of different spread combinations so getting margins this way is rather complicated. For instance, I believe the ZB vs UB credit is listed on page 6 on the last row here: https://www.cmegroup.com/markets/interest-rates/us-treasury/30-year-us-treasury-bond.margins.html#marginsTab=INTER&pageNumber=6 It is only 65% if I'm reading it correctly. (Unfortunately, the symbols used in table don't match the normal Globlex electronic trading symbols we've been discussing. You have to go to the "Contract Specs" tab and look at the "Product Code" row and the table is using the "Clearing" symbols.) If you're lucky your broker will allow you to enter a spread symbol using legs in their customer website to retrieve the margin. Another way is using RJO'Brien's quick margin guide (https://ww2.rjobrien.com/documents/shared/margins/margins.pdf) and their more comprehensive margin lookup tool (https://www.rjobrien.com/resources/margins/). Unfortunately, neither of those had the 30 Yr vs 30 Yr Ultra margin listed. As I mentioned before it is possible to trade a non-exchange inter-product spread, like if you wanted to trade CME CL's vs ICEEU Brent Crude, (although I think there even is a CME exchange-traded version of that). Assuming you want a 10% gain in one leg to be the same profit as a 10% gain in the other leg, then you need to simply match the point values, i.e. the dollar value of 1 point. For instance, for a spread of ZT (2-year T Note) vs ZF (5-year T Note) we need their tick sizes and currency value per tick to aid our calculation: ZT: 1/8 of 1/32 of one point (0.00390625) = $7.8125 .... 1 / 0.00390625 == 256 ticks per point * $7.8125 == $2000 per 1 point ZF: 1/4 of 1/32 of one point (0.0078125) = $7.8125 .... 1 / 0.0078125 == 128 ticks per point * $7.8125 == $1000 per 1 point ZT 2000 : ZF 1000 -- values per 1 point ZT 2 : ZF 1 -- # of contracts See page 4 here which explains how ZT (2-year) legs get their # of contracts doubled to the $200,000 notional value vs $100,000 for ZF and other interest rate products. Notional value is the same math we just did with a few extra 0s: https://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf Hopefully this all makes sense. Sorry for the length, spreads are complicated! Good luck in your trading! Date Time Of Last Edit: 2022-03-18 15:47:44
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