CHICAGO, Oct. 18 /PRNewswire-FirstCall/ — CME, the largest U.S. futures exchange, announced today that it has launched new implied butterfly spread trading functionality for CME Eurodollars on Globex(R), the exchange’s electronic trading platform. The new butterfly spread functionality is similar to what currently exists for electronic Eurodollar calendar trades, but now allows users to more efficiently establish and liquidate butterfly positions within the first three years of the yield curve.
The revised implied trading functionality links contract liquidity in CME
Eurodollar butterfly spread trades on CME Globex with component outright
futures contracts comprising the butterfly spread. The new functionality also
includes the following:
— Unlike most other futures exchanges, CME will generate both implied
“IN” and implied “OUT” bids and offers on butterfly spreads
— CME will use both outright and implied calendar spread and leg orders
to derive implied bids and offers on butterfly spreads
“This first-of-its-kind implied butterfly spread trading functionality on
CME Globex further augments the electronic trading environment of our
benchmark CME Eurodollar futures,” said Chairman Terry Duffy. “By further
adding to our overall liquidity through the introduction of electronic implied
butterfly spread trading on CME Eurodollars, our customers worldwide will be
able to benefit from more trading volume around the clock, nearly 24 hours
every trading day.”
“CME’s ongoing technology initiatives and our strong commitment to growing
electronic trading have played key roles in the continued expansion of
Eurodollar trading at CME,” said CME Chief Executive Officer Craig Donohue.
“In September, CME Eurodollar futures on Globex traded an average of more than
one million contracts per day, which represented about 65 percent of total CME
Eurodollar volume. As more and more of our Eurodollar volume continues to
migrate to CME Globex, we remain focused on making the necessary technology
enhancements to ensure our platform can effectively meet the many, varied
trading needs of our customers around the world.”
A butterfly spread, quoted in .50 tick increments, is a combination of two
calendar spreads such that the makeup is:
— Buy 1 – Leg # 1
— Sell 2 – Leg # 2
— Buy 1 – Leg # 3
Implied “IN” orders in butterfly spreads can be derived from any of the
following examples:
— existing outright orders in 3 individual contracts (legs);
— existing outright orders in 2 individual contract legs and a calendar
spread; and,
— existing outright orders in 2 outright calendar spreads
Implied “OUT” orders from butterfly spreads can be derived from any of the
following examples:
— an existing outright order in the butterfly spread and existing
outright orders on two of the individual contracts (legs); and,
— an existing outright order in the butterfly spread and existing
outright orders in a calendar spread and on one of the individual
contracts (legs)
“These examples of implied ‘IN’ and ‘OUT’ orders are some of the more
common ways to generate implied bids and offers,” said CME Interest Rate
Products Director Peter Barker. “However, once the trading community begins to
use this functionality more, we expect to see increased use of implied
calendars generating more complicated and varied butterfly spread strategies.”
In September, overall CME Eurodollar futures volume hit an all-time record
of 32,283,048 contracts, an increase of nearly 30 percent over August 2004.
Total volume for January-September 2004 CME Eurodollar futures and options of
322,692,130 has already topped the record volume for 2003 of 309,594,943
contracts. Average daily volume (ADV) for CME Eurodollar futures on Globex in
September was over one million contracts as compared to 716,000 contracts in
August. As of third quarter 2004, electronic trading represented 61 percent
of total CME volume, compared to 52 percent in Q2 2004 and 42 percent in Q3
2003. ADV on CME Globex for September was approximately 2 million contracts,
an 87 percent increase from Q3 2003 and up 15 percent from Q2 2004.
Chicago Mercantile Exchange Inc. ( www.cme.com ) is the largest
futures exchange in the United States. As an international marketplace, CME
brings together buyers and sellers on its trading floors and CME Globex(R)
electronic trading platform. CME offers futures and options on futures
primarily in four product areas: interest rates, stock indexes, foreign
exchange and commodities. The exchange moved about $1.6 billion per day in
settlement payments in the first half of 2004 and managed $39.1 billion in
collateral deposits as of June 30, 2004. CME is a wholly owned subsidiary of
Chicago Mercantile Exchange Holdings Inc. (NYSE: CME), which is part of the
Russell 1000(R) Index.
Chicago Mercantile Exchange, CME, the globe logo and CME Globex are
registered trademarks of Chicago Mercantile Exchange Inc. Further information
about CME and its products is available on the CME Web site at www.cme.com .
CME is a company that had intelligent move and strategies. It is a success guaranteed, to bring the sellers and buyers on the same platform. It’s future is secure.