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How do Calendar Spread Options impact Futures data feed?
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How do Calendar Spread Options impact Futures data feed?

  #1 (permalink)
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How do Calendar Spread Options impact Futures data feed?

I'm trying to understand the level 1 data I received from AlgoSeek. There are two types of records that seem to be the impact of calendar spreads on the outright data feed:
1) Implied Orders [which, as I'm looking at the CME Corn outright Level 1 tape (ZC), is an Implied Out order], and
2) Calculated Trades [which I'm assuming are a calculation based on the implied pricing from spreads on each leg].

Where would all of these implied trades come from? I don't think CME has "calendar spread futures" as a discrete tradeable contract. I only see American and calendar spread options, neither of which I'd have expected to impact the underlying order book of outright Corn futures (except on exercise, I suppose).

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Begbie00 View Post
I'm trying to understand the level 1 data I received from AlgoSeek. There are two types of records that seem to be the impact of calendar spreads on the outright data feed:

1) Implied Orders [which, as I'm looking at the CME Corn outright Level 1 tape (ZC), is an Implied Out order], and

2) Calculated Trades [which I'm assuming are a calculation based on the implied pricing from spreads on each leg].



Where would all of these implied trades come from? I don't think CME has "calendar spread futures" as a discrete tradeable contract. I only see American and calendar spread options, neither of which I'd have expected to impact the underlying order book of outright Corn futures (except on exercise, I suppose).



The cme does indeed have calendar spreads


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  #4 (permalink)
Market Wizard
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And intercommodity spreads that also generate implieds (Eg ZS-ZC)

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SMCJB View Post
And intercommodity spreads that also generate implieds (Eg ZS-ZC)

Yup, missed those both. Apologies.

Was basing my understanding on the Corn product page, which makes limited mention of the intra- and inter-commodity spreads.

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Answer
This post has been selected as an answer to the original posters question Answer

There's surprisingly little information on listed inter-commodity spreads. If you go to the Globex Product Reference Sheet, select Agriculture, and then look for Strategy Type IS you'll see Wheat-Corn & KC Wheat-Corn but surprisingly not Soybean-Corn even though their own marketing materials references the Soybean-Corn spread.

https://www.cmegroup.com/confluence/display/EPICSANDBOX/GCC+Product+Resources

https://www.cmegroup.com/education/courses/introduction-to-agriculture/grains-oi...ercommodity-spreads.html

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