Strategy Creation

Strategy Creation

Creating options strategies on CME

To create an options strategy on CME:

  1. For the first leg, click Select and choose an exchange (CME), product type (Options), product, contract, and select Put (P) or Call (C).

    Use either the Explorer or the Instrument Picker to identify the contract. The Instrument Picker allows you to set each part of the contract leg separately by clicking a field and selecting a value.

    Tip: Optionally, you can click Templates to select a structure that you can customize as an exchange-supported strategy.

  2. Set the Side (B) and Ratio for the strategy leg.

    A single click in the Side column toggles a leg to the opposite Buy/Sell direction, and you can adjust the Ratio of each leg if needed.

  3. Click + to add each additional leg in the strategy as needed.
  4. For the second leg and each subsequent leg, click Select to choose an exchange (CME), product type (Option), product, and contract.

    Use either the Explorer or the Instrument Picker to identify the contract. Duplicate instruments in the same strategy are not allowed.

  5. Set the side and ratio for the strategy leg.

    A single click in the Side column toggles a leg to the opposite Buy/Sell direction, and you can adjust the Ratio of each leg if needed.

    For Futures legs, set a price and delta, which represents how many futures contracts you have to buy to flatten (or cover) your position in the options leg(s). For example, if you buy a 100 calls and puts in two legs, then your delta should be between 0-100.

  6. Click the Account field and select an account with an active connection to the exchange.

    This account is used for routing the strategy creation message to CME.

  7. Optionally, uncheck (disable) Clear legs on submit to keep the strategy legs in the strategy definition grid when the strategy is submitted.
  8. Click Create.

    The user-defined strategy is sent to the exchange. When validated, CME publishes the strategy as an exchange-traded instrument for the trading session. If the validated Combo strategy is comprised of legs that fit the structure of CME's exchange-recognized spread types (e.g., Straddle, Strangle, Butterfly, etc.), the strategy displays with the exchange-recognized spread name in the execution report panel with a Status of Created.

    The user-defined strategies that you create can be selected as instruments using the Search box and the Market Explorer.

    Tip: To save the strategy as a user-defined strategy template, click Save. The saved strategy appears in the Templates list.