How to create User Defined Spreads on CME

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