CQG offers several exchange-traded strategies, based on exchange offerings:
|
Strategy |
Definition |
|
Bundle |
Order that enables an investor to purchase a predefined number of futures contracts in each consecutive quarterly delivery month for a period of two or more years. The first month of a bundle is configurable and can be any month within the next twelve months, although it’s usually the front quarter. The number of lots in each leg must be the same. Liffe CONNECT® and CME Globex® currently recognize four bundles: 2-year bundle, 3-year bundle, 4-year bundle, and 5-year bundle. Strategy Identifier: B |
|
Butterfly |
Spread of calendar spreads. Simultaneous buy/sell order for one contract in the nearest expiration, a sell/buy order for two contracts in the subsequent expiration, and a buy/sell order for one contract in the far expiration. The gaps between the months can be equal or broken. Strategy Identifier: L Other types: •Broken (L1A) (L1B) (L1C) (L1D) (L3A) (L3B) •Pack (PB) |
|
Calendar spread |
Simultaneous buy and sell orders in the same futures market with different expirations. Strategy Identifier: S Other types: •Reverse (W) •Reduced Tick (R) •Pack Spread (Y) •Bundle Spread (BS) |
|
Condor |
Spread between two adjacent calendar spreads. Simultaneous buy/sell order for one contract in the near expiration, sell/buy order for one contract in a future expiration, sell/buy order for one contract in a subsequent future delivery month, and buy/sell order for one contract with an even later expiration. The gaps between the months must be equal. Strategy Identifier: C |
|
Double butterfly |
Spread of butterfly spreads. Simultaneous buy/sell order for one contract in the near expiration, sell/buy order for one contract with the latest expiration, a buy/sell order for three contracts in the next expiration(after near month), and a sell/buy order for three contracts in the expiring month immediately preceding the latest expiration. Strategy Identifier: D |
|
Intercommodity spread (ICS) |
Simultaneous purchase and sale of two or more contracts in different futures markets. The traded quantities of contracts may be equal or split by a fixed ratio such as 4:3. Other types: •Crack •Same Month (I0), Offset (I1…), Reverse Offset (WI1…) •Same month Soybean Crush (00), Soybean Crush Meal Oil expires ahead of Beans (01, 02, 03), Soybean Crush Meal, Oil expires after Beans (I01) |
|
Inter-exchange spread (IES) |
Exchange listed, implied pricing spread, the legs of which are traded on separate exchanges, e.g. KCBOT and CBOT. Other types: •Same Month (I0), Offset (I1…) •Reverse Offset (WI1…) |
|
Pack |
Order for a group of contracts for the same commodity in four consecutive quarterly or consecutive months. The first month of the White Pack is configurable and can be any month of the next four quarterly months, although it’s usually the next. The number of lots in each leg must be the same. Liffe CONNECT and CME Globex currently recognize several color coded packs: White, Red, Green, Blue, Gold, Purple, Orange, Pink, Silver, and Copper. Strategy Identifier: P |
|
Special strategies |
Some strategies that don’t fit established patterns are listed by exchanges in an ad-hoc fashion. In CQG, they are usually displayed using a distinct symbol name that isn’t associated with its underlying contracts. |
|
Strip |
Order for a group of contracts for the same commodity in sequential expirations. Strategy Identifier: (T3,T6…) |
|
Trade at Settlement (TAS) |
Trades made at full tick intervals below or above the underlying market’s recent settlement price. Strategy Identifier: T Other type: •TAS Spread (TS) |
Each strategy expression consists of the underlying contract, the strategy identifier, the strategy leg gap, the front month, and the year.
|
Strategy |
Formula |
|
Bundle |
underlying contract + B + number of years + month + year |
|
Bundle Spread |
underlying contract + BS + number of years + month + year |
|
Butterfly |
underlying contract + L + interval + month + year |
|
Calendar spread |
underlying contract + S + strategy leg gap + month + year |
|
Condor |
underlying contract + C + interval + month + year |
|
Double butterfly |
underlying contract + D + interval + month + year |
|
Intercommodity spread, offset |
underlying contract + underlying contract + I + leg gap + month + year |
|
Intercommodity spread, reverse offset |
underlying contract + underlying contract + WI + leg gap + month + year |
|
Intercommodity spread, same month |
underlying contract + underlying contract + I0 + month + year |
|
Inter-exchange spread, offset |
underlying contract + underlying contract + I + leg gap + month + year |
|
Inter-exchange spread, reverse offset |
underlying contract + underlying contract + WI + leg gap + month + year |
|
Inter-exchange spread, same month |
underlying contract + underlying contract + I0 + month + year |
|
Pack |
underlying contract + P + number of the pack + month + year |
|
Pack butterfly |
underlying contract + PB + interval + month + year |
|
Pack spread |
underlying contract + Y + interval + month + year |
|
Reduced tick calendar spread |
underlying contract + R + strategy leg gap + month + year |
|
Reverse spread |
underlying contract + W + strategy leg gap + month + year |
|
Strip |
underlying contract + T + interval + month + year |
|
TAS |
underlying contract + T + month + year |
|
Treasury intercommodity spread |
spread’s own symbol + month + year |
The underlying contract is that part of the symbol common to all expressions. For example, in the expression EDAS3Z2, EDA is the underlying contract.
This identifier is CQG’s way of classifying the various strategies. For example, in the expression EDAS3Z5, S is the strategy identifier.
|
Strategy |
Identifier |
Strategy |
Identifier |
|
Bundle |
B |
Pack |
P |
|
Bundle spread |
BS |
Pack butterfly |
PB |
|
Butterfly |
L |
Pack spread |
Y |
|
Calendar spread |
S |
Reduced tick calendar spread |
R |
|
Condor |
C |
Reverse spread |
W |
|
Double butterfly |
D |
Special strategies |
none |
|
Intercommodity spread, offset |
I |
Strip |
T# |
|
Intercommodity spread, reverse offset |
WI |
TAS spread |
TS |
|
Intercommodity spread, same month |
I0 |
Trade at Settlement (TAS) |
T |
|
Inter-exchange spread, offset |
I |
|
|
|
Inter-exchange spread, reverse offset |
WI |
|
|
|
Inter-exchange spread, same month |
I0 |
|
|
For calendar, intercommodity, inter-exchange, reduced tick calendar, and reverse spreads, the strategy leg gap is a true leg gap: the distance between strategy legs calculated in number of contracts listed.
The strategy leg gap is provided in the spread name and works the same way for all contracts:
•If S1, then the spread is between the front month and the next available contract.
•If S3, then the spread is between the front month and the third available contract.
•If S10, then the spread is between the front month and the tenth available contract.
For example, in the expression EDAS3Z2, 3 is the strategy leg gap.
CQG supports orders with fixed leg gaps, i.e. the gap between two consecutive legs are the same for multi-legged strategies.
Some commodities trade in irregular increments. Corn allows H, K, N, U, and Z. Cotton allows H, K, N, V, and Z. The leg gap indicates the spacing of these listed months.
|
Strategy |
Leg Gap |
|
Calendar spread |
1, 2, 3, 4, 5, 6, 12 or by demand |
|
Intercommodity spread |
1, 2, 3 ,4, 5, 6, 7, 8 |
|
Inter-exchange spread |
1, 2, 3 ,4, 5, 6, 12 |
|
Offset intercommodity spread |
1, 2, 3 ,4, 5, 6, 7, 8 |
|
Offset inter-exchange spread |
1, 2, 3 ,4, 5, 6, 12 |
|
Reduced tick calendar spread |
1, 2, 3, 4, 5, 6, 12 or by demand |
|
Reverse spread |
1, 2, 3, 4 |
For butterfly, condor, double butterfly, pack spreads, and strip strategies, the strategy leg gap is an interval: the distance between strategy legs calculated in the number of month that can be listed.
|
Strategy |
Interval |
|
Butterfly |
Usually 1, 2, or 3 For example, a Eurodollar butterfly spread, quoted in .50 tick increments, is a combination of two calendar spreads: Buy 1 = Leg # 1 Sell 2 = Leg # 2 Buy 1 = Leg # 3 EDAL3M9 represents EDAM9 - 2*EDAU9 + EDAZ9 |
|
Condor |
3, 6, 9, 12 |
|
Double butterfly |
3, 6, 9, 12 |
|
Pack spread |
3, 6, 9, 12, 24, 36, 48, 60, 72 |
|
Strip |
3, 6, 12 |
For bundles, the interval is the number of years.
|
Strategy |
Number |
|
Bundle |
Number of years = 2, 3, 4, 5 Eurodollar has 4 legs per year, so B2 has 8 legs and B3 has 12 legs Number of legs: 2-8 legs (2 years), 3-12 legs (3 years), 4-16 legs (4 years), 5-20 legs (5 years) EDAB2M9 represents EDAM9 + EDAU9 + EDAZ9 + EDAH10 + EDAM10 + EDAU10 + EDAZ10 + EDAH11 |
For packs, the interval is the pack number.
|
Strategy |
Number |
|
Pack |
Number of years with the current year equal to 1: 1 = White 2 = Red 3 = Green 4 = Blue 5 = Gold 6 = Purple 7 = Orange 8 = Pink 9 = Silver 10 = Copper Eurodollar: EDAP1M9 (represents EDAM9 + EDAU9 + EDAZ9 + EDAH10) Eurodollar: EDAP2Z9 (represents EDAZ9 + EDAH10 + EDAM10 + EDAU10) |
The front month is the contract month with an expiration date closest to the current date. Trading months are represented by these letters:
|
January |
February |
March |
April |
May |
June |
July |
August |
September |
October |
November |
December |
|
F |
G |
H |
J |
K |
M |
N |
Q |
U |
V |
X |
Z |
For example, in the expression EDAS3Z5, Z is the front month.
Once you establish the front month, apply the strategy leg gap to the trading months for the contract, and that defines the scope of the strategy.
Let’s consider: ZCES1H4
ZCE = underlying contract
S1 = strategy leg gap
H = front month
4 = year
“S1” indicates that the second month in the spread is one contract from the front month. The front month is March (H) in the year 2014. Corn contracts are offered in March (H), May (K), July (N), September (U), and December (Z). So, the spread is between March (H) and May (K) contracts, ZCEH4–ZCEK4.
You can also use All Contracts and CSpec to find this information.
The year can be expressed in either one digit or two. For example, in the expression EDAS3Z5, 2015 is the year.
Examples
|
Strategy |
Instrument and Scope |
|
EDAB2U6 |
Eurodollar 2-year bundle U6 - Z6 - H7 - M7 - U7 - Z7 - H8 - M8 |
|
EDAL3Z4 |
Eurodollar butterfly Z4 - H5 - M5 |
|
EDAS3Z4 |
Eurodollar calendar spread Z4 - H5 |
|
EDAC12M4 |
Eurodollar condor M4 - M5 - M6 - M7 |
|
EDAD3Z5 |
Eurodollar double butterfly Z5 - H6 - M6 - U6 |
|
KEZWI1Z4 |
Wheat 1-month offset expiration inter-exchange spread (IES) KEZ4 - ZWH5 |
|
MWWWI1Z4 |
Wheat 1-month reverse offset inter-exchange spread (IES) MWH5 - ZWZ4 |
|
KEZWI0Z4 |
Wheat same month inter-exchange spread (IES) KEZ4 - ZWZ4 |
|
CHGI0Z4 |
Cattle/Lean Hogs same month intercommodity spread (ICS) LEZ4 - HEZ4 |
|
CHGI1Z4 |
Cattle/Lean Hogs 1-month offset expiration intercommodity spread (ICS) LEZ4 - HEG5 |
|
CHGWI1Z4 |
Cattle/Lean Hogs 1-month reverse offset intercommodity Spread (ICS) LEG5 - HEZ |
|
SOM00F5 |
Soybean crush same month F5 - F5 - F5 |
|
SOM01V5 |
Soybean crush meal, oil expire ahead of beans V5 - V5 - X5 |
|
SOMI01Z4 |
Soybean crush meal, oil expire after beans Z4 - Z4 - X4 |
|
QPQOU4 |
ICE gas oil futures 4:3 crack U4 - U4 |
|
YI17I2U5 |
AU 3-year bond/90-day bank accept bill 17:20 lagged intercommodity spread/special strategy U5 - H6 |
|
EDAP4U3 |
Eurodollar blue pack U3 - Z3 - H4 - M4 |
|
EDAY12Z8 |
Eurodollar pack spread Z8 – Z9 |
|
TYAR1U4 |
US 10-year treasury note reduced tick calendar spread U4 - Z4 |
|
EBW1U5 |
Euro/British pound reverse spread U5 - Z5 |
|
GDCT6N4 |
Milk Class III strip N4 - Q4 - U4 - V4 - X4 - Z4 |
|
NOBU5 |
NOB (10-year–30-year) treasury intercommodity spread U5 - U5 |