ICE Strategy Code Reference Manual

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 2016 IntercontinentalExchange Group, Inc. All Rights Reserved. ICE-Strategy Code Reference Manual Version 2.9 September 26, 2016 This material may not be…
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 2016 IntercontinentalExchange Group, Inc. All Rights Reserved. ICE-Strategy Code Reference Manual Version 2.9 September 26, 2016 This material may not be reproduced or redistributed in whole or in part without the express, prior written consent of IntercontinentalExchange Group, Inc. www.theice.com Revisions Date Changed by Version 6/15/2014 Kristin Werner 1 8/28/2014 Ashish Gadre 2 8/28/2014 Ashish Gadre 2.1 9/2/2014 Ashish Gadre 2.2 9/9/2014 Ashish Gadre 2.3 9/24/2014 Ashish Gadre 2.4 2/19/2014 Ashish Gadre 2.5 5/7/2015 Ashish Gadre 2.6 5/19/2015 Ashish Gadre 2.7 6/3/2015 Ashish Gadre 2.8 9/26/2016 Ashish Gadre 2.9 Added more information on strategy structure for some strategies Added 700-900 codes under exchange strategy codes table to support move of cals/qtr/periods to composite structures. Removed "Futures Strip" (27) to avoid confusion since this strategy type was never supported anyway. Added new code for an exchange defined structure(88) Few more clarifications. Renamed 12,13,17,18,34,35,36,37,42,43,48,49 Changed the def for diagonals (9,10,63,64) to remove the restriction of one leg strike > other leg strike. These strategies now just require the strikes to be different. # Added new code for an exchange defined structure(89), # Added definition for Conversion (to the Put) for the existing type (21). # Added a Note about the hedged strategies and marked all such strategies in blue to indicate the note reference.. # Disabled call/put/straddle strips (28,29,30) # Added the 1x2 to the 1 strategies (74-77) Change Initial draft and clearing chart. Added strategy leg composition details and other cleanup and reformatting. Added more information on strategy structure for some strategies ICE-Strategy Code Reference Manual Page 2 of 5 www.theice.com 1 About this manual The purpose of this manual is to outline the supported strategies and their associated code that is used on the Trading and Clearing platform/APIs. Please also note that FEC in the column “FEC display name” refers to Front End Clearing. 1.1 Strategy Codes for the Trading Platform and Clearing Platform: These numeric strategy values will be found on both the trading and clearing platform. NOTE ==> For all Hedged strategies, if the underlying futures market is a serial month, you should use the Hedged future of that contract as the hedge marketID. Also for such strategies, the expiry for the option contracts should match that of the underlying month (even if it’s a serial contract) Strategy Code Strategy Name FEC display name Strategy structure (All strategies are presented from buyer perspective) NOTES 0 None N/A Denotes this is not a UDS 1 Call CALL -- 2 Put PUT -- 3 Futures Butterfly FFLY Buy near contract month, sell two contracts in far month, buy one contract in yet farther month. (The delivery months and the gaps between them do not have to be equal.) 4 Call Butterfly CALLFLY Buy call, sell two calls at higher strikes, buy call at a higher strike. (The strikes do not have to be consecutive and the gaps between them do not have to be equal). Option expiry for all the legs should be the same. 5 Put Butterfly PUTFLY Buy put, sell two puts at higher strikes, buy put at a higher strike. (The strikes do not have to be consecutive and the gaps between them do not have to be equal.). Option expiry for all the legs should be the same. 6 Call Spread CALLSPR Buy call, sell any call (same month) at higher strike. Option expiry for all the legs should be the same. 7 Put Spread PUTSPR Buy put, sell any put (same month) lower strike. Option expiry for all the legs should be the same. 8 Futures Calendar Spread FCAL Buy near month, sell far month. 9 Diagonal Call Spread CALLDIAGSP Sell near month call, buy any far month call at a different strike. 10 Diagonal Put Spread PUTDIAGSP Sell near month put, buy any far month put at a different strike. 11 Gut Strangle GUT Buy call, buy put at higher strike. Option expiry for all the legs should be the same. 12 1x2 Call Spread (to the 2) RATIOCSPR Sell call, buy two calls at higher strike. Option expiry for all the legs should be the same. 13 1x2 Put Spread (to the 2) RATIOPSPR Sell put, buy two puts at lower strike. Option expiry for all the legs should be the same. 14 Iron Butterfly IFLY Buy the straddle, sell the strangle. This must be entered in the following sequence, which equates to the same: sell put, buy put and call at higher strike, sell call at a higher strike. (The strikes do not have to be consecutive and the gaps between them do not have to be equal). Option expiry for all the legs should be the same. 16 Strangle STRANGLE Buy put, buy call at higher strike. Option expiry for all the legs should be the same. 17 Call Ladder (tree) CALLLADR Buy call, sell call at higher strike, sell call at even higher strike. (The strikes do not have to be consecutive and the gaps between them do not have to be equal). Option expiry for all the legs should be the same. 18 Put Ladder (tree) PUTLADR Sell put, sell put at higher strike, buy put at even higher strike. (The strikes do not have to be consecutive and the gaps between them do not have to be equal). Option expiry for all the legs should be the same. 19 Straddle Spread CALSTRD Sell Straddle in near month, buy Straddle in far month at any strike: Sell near month put, Sell near month call, Buy far month put, Buy far month call. Strike price doesn't need to be same. 21 Reversal/Conversion (to the Call) REVCON Reversal: Buy call, sell put at same strike, sell Underlying. To trade a Conversion the order must be entered in the same sequence as above, but submitted to the market as a sell/offer order. Also, Put strike price, Call strike price and the Underlying price, all must be same. Option expiry for all the legs should be the same. Delta must be 100. 21 Reversal/Conversion (to the Put) REVCON Reversal: Buy put, sell call at same strike, buy Underlying. To trade a Conversion the order must be entered in the same sequence as above, but submitted to the market as a sell/offer order. Also, Put strike price, Call strike price and the Underlying price, all must be same. Option expiry for all the legs should be the same. Delta must be 100. 22 Straddle STRADDLE Buy put, buy call at same strike. Option expiry for all the legs should be the same. 23 Futures Condor FCONDR Buy near month, sell later month, sell yet later month and buy later month still. (The delivery months do not have to be consecutive and the gaps between them do not have to be equal.) 24 Call Condor CALLCONDR Buy call, sell call at two even higher strikes, buy call at yet higher strike. The strikes do not have to be consecutive and the gaps between them do not have to be equal. You are buying the middle strikes and selling the outsides. Option expiry for all the legs should be the same. 25 Put condor PUTCONDR Buy put , sell put at two even higher strikes, buy put at yet higher strike. (The strikes do not have to be consecutive and the gaps between them do not have to be equal). Option expiry for all the legs should be the same. 26 Box BOX Buy call and sell put, buy put and sell call at higher strike. Option expiry for all the legs should be the same. 27 Futures Strip FSTRP Buy four or more consecutive quarterly delivery months. (The individual legs do not need to be for the same volume but the delivery months must be consecutive.) Removed the UDS type, as it was never implemented/active. 28 Call Strip CSTRP Buy between two and eight calls. (The expiry months need to be the same but strikes must be entered in ascending order) This strategy is no longer supported. Although it can still be created as a custom strategy. Removed - In prod after June 19th, 2015 (exch upgrade) 29 Put Strip PSTRP Buy between two and eight puts. (The expiry months need to be the same but strikes must be entered in ascending order) This strategy is no longer supported. Although it can still be created as a custom strategy. Removed - In prod after June 19th, 2015 (exch upgrade) 30 Straddle Strip STRDSTRP Buy two straddles at the same strike and different expiry months This strategy is no longer supported. Although it can still be created as a custom strategy. Removed - In prod after June 19th, 2015 (exch upgrade) 33 Synthetic Underlying SYN Buy a call and sell a put at the same strike and expiry 34 Call Spread vs Put : 3 way CALLSPRP Buy a Call spread versus selling a put: buy a call, sell a call at a higher strike, sell a put at any strike. Option expiry for all the legs should be the same. 35 Put Spread vs Call : 3 way PUTSPRC Buy a Put spread versus selling a call: buy a put, sell a put at a lower strike, sell a call at any strike. Option expiry for all the legs should be the same. 36 Straddle vs Call : 3 way CALL3WAY Buy a Straddle versus selling a call: buy a put and call at the same strike, as well as selling a call at any strike. Option expiry for all the legs should be the same. 37 Straddle vs Put : 3 way PUT3WAY Buy a Straddle versus selling a put: buy the straddle (i.e. buy a put and call at the same strike), as well as selling a put at any strike. Option expiry for all the legs should be the same. 38 Call Calendar Spread CALLCALSPR Sell near month call, buy far month call (same strikes across the two months). 39 Put Calendar Spread PUTCALSPR Sell near month put, buy far month put (same strikes across the two months). 40 Iron Condor ICONDR Sell put, buy put at higher strike, buy call at even higher strike, sell call at even higher strike. (All series in the same expiry month.) 41 Jelly Roll JROLL Sell call, buy put at same strike in near month, buy call, sell put at same strike in far month. (Strike price in far month need not equal strike price in near month.) 42 Hedged 1x2 Call Spread (to the 2) RATIOCSPRX Sell call, buy two calls at higher strike, buy the Underlying. Expiry of the option same as underlying. 42 Hedged 1x2 Call Spread (to the 2) RATIOCSPRX Sell call, buy two calls at higher strike, sell the Underlying. Expiry of the option same as underlying. 43 Hedged 1x2 Put Spread (to the 2) RATIOPSPRX Sell put, buy two puts at lower strike, buy the Underlying. Expiry of the option same as underlying. 43 Hedged 1x2 Put Spread (to the 2) RATIOPSPRX Sell put, buy two puts at lower strike, sell the Underlying. Expiry of the option same as underlying. 44 Call Spread versus Sell Put - Hedge SPRVSPX Buy a Call spread versus selling a put versus selling the Underlying: buy a call, sell a call at a higher strike, sell a put at any strike, selling the Underlying. Expiry of the option same as underlying. 45 Put Spread versus Sell Call + Hedge SPRVSCX Buy Put spread versus selling a call: buy a put, sell a put at a lower strike, sell a call at any strike, buy the Underlying. Expiry of the option same as underlying. 46 Hedged Call Calendar CALLCALX Sell near month call, buy far month call (same strike across the two months), buy the Underlying. Hedge leg can be either expiry. 46 Hedged Call Calendar CALLCALX Sell near month call, buy far month call (same strike across the two months), sell the Underlying. Hedge leg can be either expiry. ICE-Strategy Code Reference Manual Page 3 of 5 www.theice.com Strategy Code Strategy Name FEC display name Strategy structure (All strategies are presented from buyer perspective) NOTES 47 Hedged Put Calendar PUTCALX Sell near month put, buy far month put (same strikes across the two months), buy the Underlying. Expiry of the option same as underlying. 47 Hedged Put Calendar PUTCALX Sell near month put, buy far month put (same strikes across the two months), sell the Underlying. Expiry of the option same as underlying. 48 Hedged Call Ladder (tree) CALLLADRX Buy call, sell call at higher strike, sell call at even higher strike, buy the Underlying. Expiry of the option same as underlying. 48 Hedged Call Ladder (tree) CALLLADRX Buy call, sell call at higher strike, sell call at even higher strike, sell the Underlying. Expiry of the option same as underlying. 49 Hedged Put Ladder (tree) PUTLADRX Sell Put, sell Put at higher strike, buy put at even higher strike, buy the Underlying. Expiry of the option same as underlying. 49 Hedged Put Ladder (tree) PUTLADRX Sell put, sell put at higher strike, buy put at even higher strike, sell the Underlying. Expiry of the option same as 50 Hedged Call Spread CALLSPRX Buy call, sell call at higher strike, sell the Underlying. Expiry of the option same as underlying. 51 Hedged Put Spread PUTSPRX Buy put, sell put at lower strike, buy the Underlying. Expiry of the option same as underlying. 53 Hedged Straddle STRDX Buy put, buy call at same strike, buy the Underlying. Expiry of the option same as underlying. 53 Hedged Straddle STRDX Buy put, buy call at same strike, sell the Underlying. Expiry of the option same as underlying. 54 Hedged Strangle STRGX Buy put, buy call at higher strike, buy the Underlying. Expiry of the option same as underlying. 54 Hedged Strangle STRGX Buy put, buy call at higher strike, sell the Underlying. Expiry of the option same as underlying. 55 Hedged Call CALLX Buy call, sell Underlying. Expiry of the option same as underlying. 56 Hedged Put PUTX Buy put, buy Underlying. Expiry of the option same as underlying. 58 Custom CUST Any strategy that deviates from the description for any of the strategies defined in this document, will be categorized as a custom one. 59 Hedged Straddle Spread CALSTRDX Sell Straddle in near month, buy Straddle in far month at same strike (sell near month put, sell near month call, buy far month put, buy far month call), buy the Underlying. 59 Hedged Straddle Spread CALSTRDX Sell Straddle in near month, buy Straddle in far month at different strike (sell near month put, sell near month call, buy far month put, buy far month call), sell the Underlying. 59 Hedged Straddle Spread CALSTRDX Sell Straddle in near month, buy Straddle in far month at different strike (sell near month put, sell near month call, buy far month put, buy far month call), buy the Underlying. 59 Hedged Straddle Spread CALSTRDX Sell Straddle in near month, buy Straddle in far month at same strike (sell near month put, sell near month call, buy far month put, buy far month call), sell the Underlying. 60 Hedged Call Condor CCONDRX Buy call, sell call at two even higher strikes, buy call at yet higher strike, buy the Underlying. Expiry of the option same as underlying. 60 Hedged Call Condor CCONDRX Buy call, sell call at two even higher strikes, buy call at yet higher strike, sell the Underlying. Expiry of the option same as underlying. 61 Hedged Put Condor PCONDRX Buy put , sell put at two even higher strikes, buy put at yet higher strike, buy the Underlying. Expiry of the option same as underlying. 61 Hedged Put Condor PCONDRX Buy put, sell put at two even higher strikes, buy put at yet higher strike, sell the Underlying. Expiry of the option same as underlying. 63 Hedged Diagonal Call Spread CDIAGX Sell near month call, buy any far month call at a different strike, buy the Underlying. Hedge leg can be either expiry. 63 Hedged Diagonal Call Spread CDIAGX Sell near month call, buy any far month call at a different strike, sell the Underlying. Hedge leg can be either expiry. 64 Hedged Diagonal Put Spread PDIAGX Sell near month put, buy any far month put at a different strike, buy the Underlying. 64 Hedged Diagonal Put Spread PDIAGX Sell near month put, buy any far month put at a different strike, sell the Underlying. 65 Hedged Call Butterlfy CFLYX Buy call, sell two calls at higher strikes, buy call at a higher strike, buy the Underlying. Expiry of the option same as underlying. 65 Hedged Call Butterlfy CFLYX Buy call, sell two calls at higher strikes, buy call at a higher strike, sell the Underlying. Expiry of the option same as underlying. 66 Hedged Put Butterlfy PFLYX Buy put, sell two puts at higher strikes, buy put at higher strike, buy the Underlying. Expiry of the option same as underlying. 66 Hedged Put Butterlfy PFLYX Buy put, sell two puts at higher strikes, buy put at higher strike, sell the Underlying. Expiry of the option same as 67 Hedged Guts Strangle GUTX Buy call, buy put at higher strike, buy the Underlying. Expiry of the option same as underlying. 67 Hedged Guts Strangle GUTX Buy call, buy put at higher strike, sell the Underlying. Expiry of the option same as underlying. 68 Hedged Iron Condor ICONDRX Sell put, buy put at higher strike, buy call at even higher strike, sell call at even higher strike, buy the Underlying. Expiry of the option same as underlying. 68 Hedged Iron Condor ICONDRX Sell put, buy put at higher strike, buy call at even higher strike, sell call at even higher strike, sell the Underlying. Expiry of the option same as underlying. 69 Hedged Iron Butterfly IFLYX Sell put, buy put and call at higher strike, sell call at higher strike, sell the Underlying. Expiry of the option same as underlying. 69 Hedged Iron Butterfly IFLYX Sell put, buy put and call at higher strike, sell call at higher strike, buy the Underlying. Expiry of the option same as underlying. 70 Fence (to the call) FENCECALL Buy higher strike call, Sell lower strike put 71 Fence (to the put) FENCEPUT Sell higher strike call, buy lower strike Put 72 Hedged Fence (to the call) FENCECALLX Buy higher strike Call, Sell lower strike put, Sell Future 73 Hedged Fence (to the put) FENCEPUTX Sell high strike call, buy lower strike put, buy the Underlying. Expiry of the option same as underlying. 74 1x2 Call Spread (to the 1) RatioCSpr1 Buy call, Sell two calls at higher strike. Option expiry for all the legs should be the same. In prod after June 19th, 2015 (exch upgrade) 75 1x2 Put Spread (to the 1) RatioPSpr1 Buy put, Sell two puts at lower strike. Option expiry for all the legs should be the same. In prod after June 19th, 2015 (exch upgrade) 76 Hedged 1x2 Call Spread (to the 1) RatioCSpr1X Buy call, Sell two calls at higher strike, buy the underlying. Expiry of the options same as the underlying In prod after June 19th, 2015 (exch upgrade) 76 Hedged 1x2 Call Spread (to the 1) RatioCSpr1X Buy call, Sell two calls at higher strike, sell the underlying. Expiry of the options same as the underlying In prod after June 19th, 2015 (exch upgrade) 77 Hedged 1x2 Put Spread (to the 1) RatioPSpr1X Buy put, Sell two puts at lower strike, buy the underlying. Expiry of the options same as the underlying In prod after June 19th, 2015 (exch upgrade) 77 Hedged 1x2 Put Spread (to the 1) RatioPSpr1X Buy put, Sell two puts at lower strike, sell the underlying. Expiry of the options same as the underlying In prod after June 19th, 2015 (exch upgrade) 88 Discount Spreads DISCSPR Exchange Defined. Users can't create this strategy 89 Location Spreads LOCSPR Exchange Defined. Users can't create this strategy 90 Platts Diff Spread PLATDIFSPR Exchange Defined. Users can't create this strategy 91 Platts Spread PLATTSPR Exchange Defined. Users can't create this strategy 92 OTC Gas Oil Crack OILCRACK Exchange Defined. Users can't create this strategy 93 Balmo over Month BALMOSPR Exchange Defined. Users can't create this strategy 94 Ratio Spread RATIOSPR Exchange Defined. Users can't create this strategy 95 Volumetric Spread VOLSPR Exchange Defined. Users can't create this strategy 96 Heat Rate HEATRATE Exchange Defined. Users can't create this strategy 97 CRACK Spread CRACK Exchange Defined. Users can't create this strategy 98 Combo Spread COMBOSPR Exchange Defined. Users can't create this strategy 99 Spread S SPR Exchange Defined. Users can't create this strategy 100 Pack(no color) PACK Buy four consecutive quarterly delivery months in the same delivery year. (The same volume must be traded in each delivery month and the delivery months must be consecutive.) 101 Pack (White) WHTPACK Buy four consecutive quarterly delivery months in the same delivery year. (The same volume must be traded i
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