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CME Globex Recognized Spreads

Tip: The following table describes the sequence used to construct CME Globex Recognized Spreads. The exchange may reject strategies that are not constructed in this manner.

 

TT Strategy Name

CME Globex Strategy Name

Create in the following sequence from the Buy perspective
1x2 RatioCall Ratio 1x2 (12)Buy Call Sell two Calls at higher strike with same product and expiry month
Put Ratio 1x2 (12)Buy Put Sell two Puts at lower strike with same product and expiry month
1x3 RatioCall Ratio 1x3 (13)Buy Call Sell three Calls at higher strike with same product and expiry month
Put Ratio 1x3 (13)Buy Put Sell three Puts at lower strike with same product and expiry month
2x3 RatioCall Ratio 2x3 (23)Buy two Calls Sell three Calls at higher strike with same product and expiry month
Put Ratio 2x3 (23)Buy two Puts Sell three Puts at lower strike with same product and expiry month
3-WayCall 3-Way (3W)

Buy Call for middle strike Sell Call for high strike Sell Put for low strike

Note: All legs must be the same product and expiry month.

Put 3-Way (3W)

Buy Put for middle strike Sell Put for low strike Sell Call for high strike

Note: All legs must be the same product and expiry month.

3-Way: Straddle versus Call3-Way: Straddle versus Call (3C)

Buy Call Buy Put at same strike Sell Call at different strike

Note: All legs must be the same product and expiry month.

3-Way: Straddle versus PutCall 3-Way: Straddle versus Put (3P)

Buy Call Buy Put at same strike Sell Put for different strike

Note: All legs must be the same product and expiry month.

BoxBox (BX)

Buy Call at lower strike Sell Put at same lower strike Buy Put at higher strike Sell Call at same higher strike

Note: All legs must be the same product and expiry month.

ButterflyCall Butterfly (BO)

Buy Call Sell two Calls at higher strikes Buy Call at higher strike

Note: All legs must be the same product and expiry month. The difference between the strike prices must be the same for all legs.

Put Butterfly (BO)

Buy Put Sell two Puts at lower strikes Buy Put at lower strike

Note: All legs must be the same product and expiry month. The difference between the strike prices must be the same for all legs.

Conditional CurveCME Interest Rate products only
Conditional Curve (CC)

Buy Call Sell Call in another product group

Note: Strike prices must be the same for each leg.

Conditional Curve (CC)

Buy Put Sell Put in another product group

Note: Strike prices must be the same for each leg.

Condor Call Condor (CO)

Buy Call Sell Call at higher strike Sell Call at even higher strike Buy Call at yet higher strike

Note: All legs must be the same product and expiry month. The difference between the strike prices must be the same for all legs.

Put Condor (CO)

Buy Put Sell Put at higher strike Sell Put at even higher strike Buy Put at yet higher strike

Note: All legs must be the same product and expiry month. The difference between the strike prices must be the same for all legs.

Diagonal Call Diagonal (DG)Buy far month Call Sell near month Call at higher strike with the same product
Put Diagonal (DG)Buy far month Put Sell near month Put at higher strike with the same product
DoubleCall Double (DB)Buy Call Buy Call a higher strike with same product and expiry month
Put Double (DB)Buy Put Buy Put at lower strike with same product and expiry month
GutsGuts (GT)Buy Call Buy Put at higher strike with same product and expiry month
HorizontalCME Equities, CBOT Equities and CBOT Agriculture products NYMEX and COMEX products *
Call Horizontal Calendar (HO)Buy far month Call Sell near month Call at same strike
Put Horizontal Calendar (HO)Buy far month Put Sell near month Put at same strike
CME Interest Rates, CBOT Interest Rates, CME Currencies and CME Agriculture products
Call Horizontal Calendar (HO)Buy deferred month Call Sell near month Call at same strike
Put Horizontal Calendar (HO)Buy deferred month Put Sell near month Put at same strike
Horizontal StraddleHorizontal Straddle (HS)Buy far month Call Buy far month Put at same strike Sell near month Call at lower strike Sell near month Put at same lower strike
Iron CondorIron Condor (IC)

Sell Put Buy Put at higher strike Buy Call at even higher strike Sell Call at even higher strike

Note: All legs must be the same product and expiry month.

Iron ButterflyIron Butterfly (IB)

Sell Put Buy Put at higher strike Buy Call at same higher strike Sell Call at even higher strike

Note: All legs must be for the same product and expiry month. The strikes do not need to be consecutive and the gaps between them do not need to be equal.

Jelly RollJelly Roll (JR)

Sell Call Buy Put at same strike in near month Buy Call at higher strike Sell Put at same strike in far month

Note: The strike price in the far month does not need to equal the strike price in the near month.

Risk ReversalRisk Reversal (RR)

Buy Call Sell Put at same or lower strike within same contract and expiration month

Conversion: As above but sell in trade window

StraddleStraddle (ST)Buy Put Buy Call at same strike and expiration
StrangleStrangle (SG)Buy Put Buy Call at higher strike and same expiration
StripStraddle Strip (SS)

Buy Call and Put within the same product and strike for four consecutive quarterly expiry months

Note: The time difference between the expiry months must be the same for all legs.

Call Strip (SR)

Buy Call within the same product and strike for four consecutive quarterly expiry months

Note: The time difference between the expiry months must be the same for all legs.

Put Strip (SR)

Buy Put within the same product and strike for four consecutive quarterly expiry months

Note: The time difference between the expiry months must be the same for all legs.

VerticalVertical Call Spread (VT)Buy Call Sell Call at higher strike with the same product expiry month
Vertical Put Spread (VT)Buy Put Sell Put a lower strike with the same product and expiry month
X-Mas TreeCall Xmas Tree (XT)

Buy Call Sell Call at higher strike Sell Call at even higher strike

Note: All legs must be the same product and expiry month. The difference between the strike prices must be the same for all legs.

Put Xmas Tree (XT)

Buy Put Sell Put at lower strike Sell Put at even lower strike

Note: All legs must be the same product and expiry month. The difference between the strike prices must be the same for all legs.