Effective Sunday, November 15 (trade date Monday, November 16), CME Group will extend implied trading functionality on CME Globex to support Butterfly (BF) and Calendar (SP) spreads with mixed tick legs for select Short-Term Interest Rate futures.

This initiative is designed to facilitate price discovery and order matching efficiency.

This enhancement expands functionality to generate implied liquidity across Calendar and Butterfly spreads where some legs have smaller tick increments (e.g., 0.25) than other legs or the spreads themselves (e.g., 0.50):

• Calendar Spreads (SP): Extends implied calculations to Calendar Spreads where the spread and Leg 1 trade on a smaller tick increment (e.g., 0.25) while Leg 2 trades on a larger tick increment (e.g., 0.50).
• Butterfly Spreads (BF): Extends implied calculations across Butterfly Spread types featuring mixed-tick leg and spread combinations (e.g., spread/Leg 1 on 0.25 tick; Leg 2/Leg 3 on 0.50 tick).

While there are no iLink or MDP 3.0 message schema updates or tag changes for this launch, clients are encouraged to test implied order execution, rounding, and fill processing for both SP and BF spreads in the New Release environment prior to launch.

The following behavioral changes will be visible on iLink execution reports and MDP Trade Summary messages:

• Calendar Spread Implied Behavior: Off-tick implied calculations on Leg 2 for calendar spreads are rounded down for bids and rounded up for asks to the nearest valid leg tick (e.g., an implied bid calculated at 9994.75 on a 0.50 tick leg rounds down to 9994.50).
• Butterfly Spread Execution Behavior: Split-price fills on Leg 2 and off-tick leg fill prices in iLink Execution Reports (tag 31-LastPx) for multi-spread matches (e.g., BF with SP1 and SP2).