Calendar Spread Distance between strategy legs calculated in number of months that can be listed. Strategy leg gap = 1, 2, 3, 4, 5, 6, or 12 or by demand. If every month is tradable, such as CLE and EDA, then the leg gap is equal to calendar months, for example, January to February is 1 and February to July is 6. 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. Reduced Tick Calendar Distance between strategy legs calculated in number of months that can be Spread listed. Strategy leg gap = 1, 2, 3, 4, 5, 6, or 12 or by demand. Reverse Spread Distance between strategy legs calculated in number of months that can be listed. Strategy leg gap = 1, 2, 3, 4. For butterflies, double butterflies, condors, strips, and pack spreads, this strategy leg gap is actually an interval. Strategy Interval Butterfly Distance between strategy legs calculated in number of months that can be listed. Interval = 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 Double Butterfly Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 9, 12 Condor Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 9, 12 Strip Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 12 Pack Spread Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 9, 12, 24, 36, 48, 60, 72 For bundles, the interval is the number of
Calendar Spread Distance between strategy legs calculated in number of months that can be listed. Strategy leg gap = 1, 2, 3, 4, 5, 6, or 12 or by demand. If every month is tradable, such as CLE and EDA, then the leg gap is equal to calendar months, for example, January to February is 1 and February to July is 6. 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. Reduced Tick Calendar Spread Distance between strategy legs calculated in number of months that can be listed. Strategy leg gap = 1, 2, 3, 4, 5, 6, or 12 or by demand. Reverse Spread Distance between strategy legs calculated in number of months that can be listed. Strategy leg gap = 1, 2, 3, 4. For butterflies, double butterflies, condors, strips, and pack spreads, this strategy leg gap is actually an interval. Strategy Interval Butterfly Distance between strategy legs calculated in number of months that can be listed. Interval = 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 Double Butterfly Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 9, 12 Condor Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 9, 12 Strip Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 12 Pack Spread Distance between strategy legs calculated in number of months that can be listed. Interval = 3, 6, 9, 12, 24, 36, 48, 60, 72 For bundles, the interval is the number of
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