433 West Van Buren Street › Suite 700S › Chicago, IL 60607 › cboe.com

January 19, 2024

Christopher J. Kirkpatrick

Secretary

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: Cboe Futures Exchange, LLC Rule Certification

Submission Number CFE-2024-001

Dear Mr. Kirkpatrick:

Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended (“Act”), and 

Regulation 40.6(a) promulgated by the Commodity Futures Trading Commission (“CFTC” or 

“Commission”) under the Act, Cboe Futures Exchange, LLC (“CFE” or “Exchange”) hereby submits 

a CFE rule amendment (“Amendment”) to implement a process under which the spreads in options on 

futures (“Options”) that the Exchange makes available for trading are determined through the receipt 

of Options spread creation requests submitted by CFE Trading Privilege Holders (“TPHs”). Exhibit 1 

to this submission sets forth the rule changes included in the Amendment. The Amendment will 

become effective on or after February 2, 2024, on a date to be announced by the Exchange through the 

issuance of an Exchange notice.

Amendment Overview

CFE Rule 406A (Trading of Spread Orders) includes provisions that govern spread order 

processing. Currently, the CFE Trade Desk determines which spreads to create and make available for 

to be traded in CFE’s trading system (“CFE System”) subject to parameters specified in Rule 406A. 

Spreads that are processed as Block Trades and Exchange of Contract for Related Position (“ECRP”) 

transactions are not required to satisfy these parameters. TPHs do not currently have the capability to 

create spreads to be traded in the CFE System. Instead, if a TPH would like a spread to be created that 

meets the parameters specified in Rule 406A and which the Trade Desk has not already made available 

for trading in the CFE System, the TPH may request that the Trade Desk make that spread available 

for trading. The Trade Desk then determines whether or not to do so in its sole discretion.

The Exchange is amending Rule 406A to further describe the existing process for the creation 

of spreads in futures (“Futures”). The Exchange plans to continue to utilize this process for Futures 

spread creation. At the present time, the Exchange believes that having the Trade Desk determine 

which spreads to create and make available based upon which spreads it believes are most likely to be 

traded by market participants, coupled with the ability of TPHs to request that other spreads be made 

available, works best for Futures.

However, given that there are many more series (including both calls and puts) with multiple 

strike prices in Options than there are Futures expirations, and thus many more potential options spreads
2

that can be created, the Exchange currently believes it is most efficient for the Exchange to implement 

an automated mechanism for the creation of Options spreads based solely in response to spread creation 

requests submitted by TPHs. The Amendment amends Rule 406A to describe that Options spread 

creation mechanism and makes other revisions to Rule 406A in connection with the implementation of 

that mechanism.

Options Spread Creation Process

Under the Amendment, Options spreads are created in the following manner and are subject to 

the following parameters:

• The Options spreads that are made available to be traded in the CFE System are determined 

based upon the receipt of Options spread creation requests submitted by TPHs.

o TPHs may submit Options spread creation requests through the CFE System in a form 

and manner prescribed by the Exchange which include Options legs that are available 

to be traded in the CFE System.

• The Exchange may establish parameters for each Options product that are applicable to the 

Options spreads in that product that may be requested through Options spread creation 

requests.

o These parameters may include, among others, time frames during which Options 

spread creation requests may be submitted, a minimum and maximum number of legs 

per spread, ratio limitations within a spread, permissible spread types, the extent to 

which Futures Contracts of the same Futures product that underlie the Options legs of 

a spread are required to have the same expiration or may have different expirations,

and/or a limit on the total number of Options spreads that may exist in an Options 

product at any one time.

o The Exchange will disseminate these parameters to TPHs in a form and manner 

determined by the Exchange.

• The Exchange may establish parameters with respect to the number of Options spreads that 

each TPH may create for an Options product.

o These parameters may be applicable by designated time period, such as during each 

business day, and by how this number is counted for each TPH, such as by TPH or 

executing firm ID (“EFID”).

o The Exchange will disseminate these parameters to TPHs in a form and manner 

determined by the Exchange.

• The CFE System rejects any Options spread creation request that is not submitted in a form 

and manner prescribed by the Exchange or that is not within the above parameters.

• If an Options spread creation request is accepted by the CFE System, the CFE System:

o creates the requested Options spread in a form and manner determined by the CFE 

System and makes the Options spread available to be traded in the CFE System by any
3

TPH;

o provides an acknowledgment of the Options spread creation request to the TPH that 

submitted the request which includes a spread instrument identification number for the 

Options spread, the definition of the Options spread as created by the CFE System, and 

the number of Options spreads that have been created by that TPH in that Options 

product during the applicable measurement period; and

o disseminates through CFE market data that the Options spread is available to be traded 

in the CFE System, including through dissemination of the spread instrument 

identification number for the Options spread and the definition of the Options spread 

as created by the CFE System.

• If an Options spread creation request is received by the CFE System for an Options spread 

that is already available to be traded in the CFE System, the CFE System will provide a 

response to the TPH that submitted the request which includes the spread instrument 

identification number for the Options spread, the definition of the Options spread in the 

CFE System, and the number of Options spreads that have been created by that TPH in that 

Options product during the applicable measurement period (which would not include in 

the count the Options spread requested in this instance).

• The Amendment amends Rule 406A to provide that TPHs and their related parties shall 

exercise diligence and care in the creation of Option spreads and that no TPH or related 

party shall knowingly create an Options spread in a manner intended to deceive or unfairly 

disadvantage other market participants.

• An Options spread creation request is not, and does not generate, a spread order.

o A TPH must separately submit a spread order in an Options spread created by a TPH

in order to generate an order in that Options spread.

• Options spreads that have been created are subject to the following parameters regarding 

their continued availability to be traded in the CFE System:

o An Options spread that has been created will no longer be available to be traded in the 

CFE System following the end of a calendar week if there are not any good-‘tilcanceled (“GTC”) orders or good-‘til-date (“GTD”) orders pending in that Options 

spread at the close of trading hours on the last business day of that calendar week.

o An Options spread that is no longer available to be traded in the CFE System following 

the end of a calendar week may be recreated based upon the submission of an Options 

spread creation request during the next business day or thereafter in accordance with 

the above provisions.

• The above provisions are not applicable to Options spreads that are processed as Block 

Trades. The Exchange does not currently permit ECRP transactions in Options.

Recognized Options Spread Types

Rule 406A and Policy and Procedure I (“P&P I”) of the Policies and Procedures Section of the 
4

CFE Rulebook currently limit the types of permitted Options spreads, other than Options spreads that 

are processed as Block Trades. These permitted Options spread types include a Vertical Spread, a 

Butterfly Spread, a Box Spread, a Calendar Spread, an Underlying Calendar Spread, a Diagonal Spread, 

and any other Options spread type from time to time approved by the Exchange.

Under the Amendment, Options spreads will no longer have these limitations, subject to any 

parameters under the provisions described above. Accordingly, the Amendment revises Rule 406A 

and P&P I to provide that a Vertical Spread, a Butterfly Spread, a Box Spread, a Calendar Spread, an 

Underlying Calendar Spread, and a Diagonal Spread are recognized types of Options spreads within 

the CFE System (referred to a “Recognized Options Spread Types”). A Recognized Options Spread 

Type is an Options spread type that may be subject to specific Exchange rule provisions relating to that 

Options spread type, except if that Options spread type is processed as a Block Trade.

The Amendment also revises Rule 406A and P&P I to make clear that Options spreads other 

than Recognized Options Spread Types may be created and made available to be traded in the CFE 

System, subject to any parameters under the provisions above, and may be processed as Block Trades.

Non-Substantive Revisions

The Amendment also makes some non-substantive revisions to Rule 406A. These nonsubstantive revisions include some organizational changes to Rule 406A, such as the renumbering of 

certain provisions within Rule 406A in order to accommodate the substantive amendments to the Rule. 

In addition, the Amendment makes some minor wording changes to Rule 406A which do not affect the 

substance of existing provisions of the Rule.

Implementation

Between the end of the business day prior to the implementation of the Amendment and the 

business day on which the Amendment is implemented, CFE will remove all Options spreads that are 

then available for trading in CFE System. If there are any pending orders in those Options spreads at 

that time, those orders will be canceled and will need to be re-entered after the applicable Option spread 

has been recreated using the new Options spread creation mechanism. Accordingly, starting on the 

business day of implementation, all Options spreads will be made available in the CFE System utilizing 

the new Options spread creation mechanism.

Statutory Basis

CFE believes that the Amendment is consistent with the Designated Contract Market (“DCM”) 

Core Principles under Section 5 of the Act. In particular, CFE believes that the Amendment is 

consistent with:

• DCM Core Principle 2 (Compliance with Rules) in that the Amendment augments CFE’s 

existing prohibitions against abusive trading practices by providing that no TPH or related 

party of a TPH shall knowingly create an Options spread in a manner intended to deceive 

or unfairly disadvantage other market participants;

• DCM Core Principle 7 (Availability of General Information) because the Amendment 

describes in CFE’s rules the manner in which CFE makes Options spreads available for 

trading in the CFE System, including the manner of operation of the CFE System relating 

to the creation of Options spreads, and provides for the dissemination through CFE market 

data when an Options spread becomes available for trading in the CFE System as a result 
5

of an Options spread creation request;

• DCM Core Principle 9 (Execution of Transactions) because the Amendment contributes to 

the provision by CFE of a competitive, open, and efficient market and mechanism for 

executing transactions by enabling Options spreads to be made available for trading in the 

CFE System through Options spread creation requests, subject to specified parameters, and 

thereby enhances the ability of market participants to transact in Options spreads on CFE;

• DCM Core Principle 12 (Protection of Markets and Market Participants) in that the 

Amendment promotes fair and equitable trading on CFE by providing that TPHs and their 

related parties shall exercise diligence and care in the creation of Option spreads; and

• DCM Core Principle 20 (System Safeguards) in that CFE will have conducted internal 

testing and allowed external parties to test with CFE prior to the implementation of the 

trading system changes relating to how Options spreads will be made available for trading 

in the CFE System under the Amendment.

CFE believes that the impact of the Amendment will be beneficial to the public and market 

participants. CFE is not aware of any substantive opposing views to the Amendment. CFE hereby 

certifies that the Amendment complies with the Act and the regulations thereunder. CFE further 

certifies that CFE has posted a notice of pending certification with the Commission and a copy of this 

submission on CFE’s website (http://www.cboe.com/us/futures/regulation/rule_filings/cfe/) concurrent 

with the filing of this submission with the Commission.

Questions regarding this submission may be directed to Arthur Reinstein at (312) 786-7570

and Shane Wilkerson at (484) 798-9350. Please reference our submission number CFE-2024-001 in

any related correspondence.

Cboe Futures Exchange, LLC

/s/ Laura Fuson

By: Laura Fuson

Managing Director
6

EXHIBIT 1

The Amendment, marked to show additions in underlined text and deletions in stricken text, 

consists of the following:

Cboe Futures Exchange, LLC Rulebook

* * * * *

CHAPTER 1

DEFINITIONS

* * * * *

Recognized Options Spread Types

The term “Recognized Options Spread Types” has the meaning set forth in 

Rule 406A(a)(iii).

* * * * *

406A. Trading of Spread Orders

(a) Spread Order Processing.

(i) The following types of Spread Orders may be submitted to the CFE 

System Futures spreads are created in the following manner and are subject to the 

following parameters:

(A) The Trade Desk determines which Futures spreads to create 

and make available to be traded in the CFE System in its sole discretion. 

Trading Privilege Holders do not have the capability to create Futures spreads 

within the CFE System. If a Trading Privilege Holder would like a Futures 

spread with a permissible ratio and permissible Futures spread type to be 

created that is not already available to be traded in the CFE System, the 

Trading Privilege Holder should contact the Trade Desk in a form and manner 

prescribed by the Exchange to request creation of the Futures spread. The 

Trade Desk may determine whether or not to make that Futures spread 

available for trading in its sole discretion.

(AB) Futures Spread Ordersspreads, other than Futures spreads that 

are processed as Block Trades and Exchange of Contract for Related Position 

transactions, are required to have the following permissible ratios:

(1) two-legged spreads where the ratio of the number of 

Contracts in one leg to the number of Contracts in the other leg is 1:1, 

1:2 and 2:1;

(2) three-legged spreads where the ratio is 1:1:1 or 1:2:1;
7

(3) four-legged spreads where the ratio is 1:1:1:1; and

(4) any other spread type from time to time approved by 

the Exchange.

(C) Futures Spreads that are processed as Block Trades and 

Exchange of Contract for Related Position transactions are not required to 

satisfy the permissible ratios in Rule 406A(a)(i)(B).

(BD) Spreads Futures spreads that are processed as TAS 

transactions and spread transactions in S&P 500 Variance futures are required 

to be two-legged spreads that are not strips where the ratio of the number of 

Contracts in one leg to the number of Contracts in the other leg is 1:1.

(ii) Options spreads are created in the following manner and are subject 

to the following parameters:

(A) The Options spreads that are made available to be traded in 

the CFE System are determined based upon the receipt of Options spread 

creation requests submitted by Trading Privilege Holders. Trading Privilege 

Holders may submit Options spread creation requests through the CFE System 

in a form and manner prescribed by the Exchange which include Options legs 

that are available to be traded in the CFE System.

(B) The Exchange may establish parameters for each Options 

product that are applicable to the Options spreads in that product that may be

requested through Options spread creation requests. These parameters may 

include, among others, time frames during which Options spread creation 

requests may be submitted, a minimum and maximum number of legs per 

spread, ratio limitations within a spread, permissible spread types, the extent 

to which Futures Contracts of the same Futures product that underlie the 

Options legs of a spread are required to have the same expiration or may have 

different expirations and/or a limit on the total number of Options spreads that 

may exist in an Options product at any one time.

(C) The Exchange may establish parameters with respect to the 

number of Options spreads that each Trading Privilege Holder may create for 

an Options product. These parameters may be applicable by designated time 

period, such as during each Business Day, and by how this number is counted 

for each Trading Privilege Holder, such as by Trading Privilege Holder or 

EFID.

(D) The Exchange shall disseminate to Trading Privilege Holders 

in a form and manner determined by the Exchange parameters established by 

the Exchange described in Rule 406A(a)(ii)(B) and Rule 406A(a)(ii)(C).

(E) The CFE System will reject any Options spread creation 

request that is not submitted in a form and manner prescribed by the Exchange 

or that is not within the parameters described in Rule 406A(a)(ii)(B) and Rule 

406A(a)(ii)(C).
8

(F) If an Options spread creation request is accepted by the CFE 

System, the CFE System will:

(1) create the requested Options spread in a form and 

manner determined by the CFE System and make the Options spread 

available to be traded in the CFE System by any Trading Privilege 

Holder;

(2) provide an acknowledgment of the Options spread 

creation request to the Trading Privilege Holder that submitted the 

request which includes a spread instrument identification number for 

the Options spread, the definition of the Options spread as created by 

the CFE System and the number of Options spreads that have been 

created by that Trading Privilege Holder in that Options product 

during the applicable measurement period; and

(3) disseminate through Exchange Market Data that the 

Options spread is available to be traded in the CFE System, including 

through dissemination of the spread instrument identification number 

for the Options spread and the definition of the Options spread as 

created by the CFE System.

(G) If an Options spread creation request is received by the CFE 

System for an Options spread that is already available to be traded in the CFE 

System, the CFE System will provide a response to the Trading Privilege 

Holder that submitted the request which includes the spread instrument 

identification number for the Options spread, the definition of the Options 

spread in the CFE System and the number of Options spreads that have been 

created by that Trading Privilege Holder in that Options product during the

applicable measurement period (which would not include in the count the 

Options spread requested in this instance).

(H) Trading Privilege Holders and Related Parties shall exercise 

diligence and care in the creation of Option spreads. No Trading Privilege 

Holder or Related Party shall knowingly create an Options spread in a manner 

intended to deceive or unfairly disadvantage other Market Participants.

(I) An Options spread creation request is not, and does not 

generate, a Spread Order. A Trading Privilege Holder must separately submit 

a Spread Order in an Options spread created by a Trading Privilege Holder in 

order to generate an Order in that Options spread.

(J) An Options spread that has been created will no longer be 

available to be traded in the CFE System following the end of a calendar week 

if there are not any Good-‘til-Canceled Orders or Good-‘til-Date Orders 

pending in that Options spread at the close of trading hours on the last Business 

Day of that calendar week. An Options spread that is no longer available to 

be traded in the CFE System following the end of a calendar week may be 

recreated based upon the submission of an Options spread creation request 

during the next Business Day or thereafter in accordance with the provisions 

of this Rule 406A(a)(ii).
9

(K) The provisions of this Rule 406A(a)(ii) are not applicable to 

Options spreads that are processed as Block Trades.

(Biii) The following Options Spread Orders, other than Options spreads that 

are processed as Block Trades, are required to be for spreads are recognized types of 

Options spreads within the CFE System (“Recognized Options Spread Types”): a 

Vertical Spread, a Butterfly Spread, a Box Spread, a Calendar Spread, an Underlying 

Calendar Spread, and a Diagonal Spread, or any other Options spread type from time 

to time approved by the Exchange. Recognized Options Spread Types, other than 

Options spreads that are processed as Block Trades, may be subject to specific 

Exchange rule provisions relating to the applicable Recognized Options Spread Type. 

Unless otherwise indicated, the futures Contracts that underlie all of the Options legs 

of each Recognized Options spread type Spread Type below have the same futures 

expiration date.

(1A) A “Vertical Spread” is a two-legged spread with one leg to 

buy a number of calls (puts) and one leg to sell the same number of calls (puts) 

with the same Options expiration date but different exercise prices.

(2B) A “Butterfly Spread” is a three-legged spread with two legs to 

buy (sell) the same number of calls (puts) and one leg to sell (buy) twice as 

many calls (puts), all with the same Options expiration date but different 

exercise prices, and the exercise price of the middle leg is between the exercise 

prices of the other legs. A Butterfly Spread is a “true” Butterfly Spread if the 

exercise price of the middle leg is halfway between the exercise prices of the 

other two legs. A Butterfly Spread is a “skewed” Butterfly Spread if either (i) 

the exercise price of the middle leg is greater than the mid-point between the 

exercise prices of the other two legs for a Butterfly Spread with two call legs 

(a “call spread”) or (ii) the exercise price of the middle leg is less than the midpoint between the exercise prices of the other two legs for a Butterfly Spread 

with two put legs (a “put spread”).

(3C) A “Box Spread” is a four-legged spread with one leg to buy 

calls and one leg to sell puts with one strike price, and one leg to sell calls and 

one leg to buy puts with another strike price, all of which have the same 

Options expiration date and are for the same number of contracts.

(4D) A “Calendar Spread” is a two-legged spread with one leg to 

buy a number of calls (puts) and one leg to sell the same number of calls (puts) 

with the same exercise price but different Options expiration dates.

(5E) An “Underlying Calendar Spread” is a two-legged spread 

with one leg to buy a number of calls (puts) and one leg to sell the same number 

of calls (puts) with the same exercise price and Options expiration dates and 

with underlying futures Contracts that have different futures expiration dates.

(6F) A “Diagonal Spread” is a two-legged spread with one leg to 

buy a number of calls (puts) and one leg to sell the same number of calls (puts) 

with different Options expiration dates and different exercise prices.
10

(7G) Policy and Procedure I (Permissible Recognized Options

Spread Types for Options on Futures) provides further description and 

examples of these permitted the Recognized Options spread types Spread 

Types. Policy and Procedure I also sets forth any limitations that are 

applicable regarding the extent to which an a Recognized Options spread type

Spread Type may be utilized for a particular Options product.

(D) Futures Spreads that are processed as Block Trades and 

Exchange of Contract for Related Position are not required to satisfy the 

permissible ratios in Rule 406A(a)(i)(A). Options Spreads that are processed 

as Block Trades are not required to be for a type of spread permitted under 

Rule 406A(a)(i)(C).

(E) Trading Privilege Holders do not have the capability to create 

spread types within the CFE System. If a Trading Privilege Holder would like 

a spread with a permissible ratio or spread type to be created that is not already 

available in the CFE System, the Trading Privilege Holder should contact the 

Trade Desk to request creation of the spread. The Trade Desk may determine 

whether or not to make that spread available for trading in its sole discretion.

(iv) Options spreads other than Recognized Options Spread Types may 

also:

(A) be created and made available to be traded in the CFE System 

in accordance with the provisions of Rule 406A(a)(ii); and

(B) be processed as Block Trades.

(iiv) A Spread Order spread may only include Contract legs of the same 

Exchange product and may not include Contract legs of different Exchange products.

(iiivi) The CFE System will treat each defined spread like a unique Contract 

and instrument from a system perspective and will assign each a unique Contract 

identifier.

(ivvii) Spread Orders may have any of the acceptable Order types set forth in 

Rule 404, except that Spread Orders may not be submitted as Market Orders, Stop 

Limit Orders or Fill or Kill Orders.

(vviii) Spreads open for trading in the manner set forth in Rule 405A.

(viix) A Futures spread will remain in a queuing state prior to being opened 

for trading, or return to a queuing state after being opened for trading, during any time 

period in which the width of the prevailing market for any individual leg of the spread 

exceeds the applicable Threshold Width for the relevant Futures Contract. The CFE 

System will utilize the opening process set forth in Rule 405A(d)(vii) to open or reopen 

the spread at such time that there is no longer any individual leg of the spread for which 

the Threshold Width is exceeded.

(viix) The CFE System disseminates Spread Order bids and offers as net 
11

prices.

(viiixi) Once a Spread Order is executed, the CFE System will:

(A) disseminate to the Trading Privilege Holder that placed the 

Spread Order fill reports for the spread in its entirety and the individual legs;

(B) submit the transaction to clearing as separate trades in the 

individual legs of the spread;

(C) disseminate last sale reports for the individual legs of the 

spread trade, with an indication that each last sale for an individual leg is part 

of a spread trade, as part of the Exchange Market Data that is disseminated by 

the Exchange; and

(D) disseminate a last sale report for the spread trade, as part of 

the Exchange Market Data that is disseminated by the Exchange.

(b) No changes.

* * * * *

Cboe Futures Exchange, LLC

Policies and Procedures Section of Rulebook

* * * * *

I. Recognized Options Spread Types (Rule 406A)

Common Options spread types permitted Recognized Options Spread Types under Rule 406A(a)(i)(C)

406A(a)(iii) that may be created and made available to be traded in the CFE System include the spread 

types below as well as any other spread type from time to time approved by the Exchange. Options 

spreads other than the Recognized Options Spread Types below may also be created and made available 

to be traded in the CFE System in accordance with the provisions of Rule 406A(a)(ii).

Unless otherwise indicated, the futures Contracts that underlie all of the Options legs of each spread 

type Recognized Options Spread Type below have the same futures expiration date.

Name Legs Side Ratio Class 

Type

Strike Options

Expiration

Long Call Calendar 

Spread

Leg 1

Leg 2

Buy

Sell

1

1

Call

Call

Same

Same

Far Expiration

Near Expiration

Long Put Calendar Spread Leg 1

Leg 2

Buy

Sell

1

1

Put

Put

Same

Same

Far Expiration

Near Expiration

Bull Call Vertical Spread Leg 1

Leg 2

Buy

Sell

1

1

Call

Call

Lower

Higher

Same

Same

Bear Put Vertical Spread Leg 1 Buy 1 Put Higher Same
12

Name Legs Side Ratio Class 

Type

Strike Options

Expiration

Leg 2 Sell 1 Put Lower Same

Bull Call Diagonal Spread Leg 1

Leg 2

Buy

Sell

1

1

Call

Call

Lower

Higher

Far Expiration

Near Expiration

Bear Put Diagonal Spread Leg 1

Leg 2

Buy

Sell

1

1

Put

Put

Higher

Lower

Far Expiration

Near Expiration

Strategy 1 (Variation of 

Long Call Calendar 

Spread)

Leg 1

Leg 2

Buy

Sell

>=Sell Ratio

<= Buy Ratio

Call

Call

Same

Same

Far Expiration

Near Expiration

Strategy 2 (Variation of 

Long Put Calendar 

Spread)

Leg 1

Leg 2

Buy

Sell

>=Sell Ratio

<= Buy Ratio

Put

Put

Same

Same

Far Expiration

Near Expiration

Strategy 3 (Variation of 

Bull Call Vertical Spread)

Leg 1

Leg 2

Buy

Sell

>=Sell Ratio

<= Buy Ratio

Call

Call

Lower

Higher

Same

Same

Strategy 4

(Variation of Bear Put 

Vertical Spread)

Leg 1

Leg 2

Buy

Sell

>=Sell Ratio

<= Buy Ratio

Put

Put

Higher

Lower

Same

Same

Strategy 5 (Variation of 

Bull Call Diagonal 

Spread)

Leg 1

Leg 2

Buy

Sell

>=Sell Ratio

<= Buy Ratio

Call

Call

Lower

Higher

Far Expiration

Near Expiration

Strategy 6 (Variation of 

Bear Put Diagonal 

Spread)

Leg 1

Leg 2

Buy

Sell

>=Sell Ratio

<= Buy Ratio

Put

Put

Higher

Lower

Far Expiration

Near Expiration

Long Call Underlying 

Calendar Spread 

Leg 1 = Far Underlying 

Expiration

Leg 2 = Near Underlying 

Expiration

Leg 1

Leg 2

Buy

Sell

1

1

Call

Call

Same

Same

Same

Same

Long Put Underlying 

Calendar Spread

Leg 1 = Far Underlying 

Expiration

Leg 2 = Near Underlying 

Expiration

Leg 1

Leg 2

Buy

Sell

1

1

Put

Put

Same

Same

Same

Same

Call Butterfly Leg 1 Buy 1 Call Lower Same
13

Name Legs Side Ratio Class 

Type

Strike Options

Expiration

Leg 2

Leg 3

Sell

Buy

2

1

Call

Call

Middle = Average 

of Low and High

Higher

Same

Same

Put Butterfly Leg 1

Leg 2

Leg 3

Buy

Sell

Buy

1

2

1

Put

Put

Put

Lower

Middle = Average 

of Low and High

Higher

Same

Same

Same

Skewed Call Butterfly Leg 1

Leg 2

Leg 3

Buy

Sell

Buy

1

2

1

Call

Call

Call

Lower

Middle > Average 

of Low and High

Higher

Same

Same

Same

Skewed Put Butterfly Leg 1

Leg 2

Leg 3

Buy

Sell

Buy

1

2

1

Put

Put

Put

Lower

Middle < Average 

of Low and High

Higher

Same

Same

Same

Box Spread

(Combination of Bull Call 

Spread and Bear Put 

Spread along same 

strikes)

Leg 1

Leg 2

Leg 3

Leg 4

Buy

Buy

Sell

Sell

1

1

1

1

Call

Put

Call

Put

Lower

Higher

Higher (same as 

Leg 2 strike)

Lower (same as 

Leg 1 strike)

Same

Same

Same

Same

Other than for Block Trades, the spread types of Calendar Spread, Underlying Calendar Spread, and 

Diagonal Spread may not be utilized for IBHY options and IBIG options.

* * * * *