CME Group published a paper last August detailing some of the spread types supported on Globex (“Options Spreads on the CME Globex Platform“). Most of the usual suspects are supported, but one of the most important features added in recent years is the ability to create user-defined and “generic” spread types:
Generic spreads can be defined with up to 40 legs and allow users to create delta neutral strategies. Generic spreads work in conjunction with the UDS: Covereds and can be used as an option spread.
The options comprising a Generic spread may deliver into different futures, and all legs may have different expirations; therefore a Combo spread may be covered with one or two different futures.
We can’t imagine ever needing to route an order with 40 legs (hereby dubbed the “centipede spread”). But if we’re reading this right, you could package up one monster order comprised of, say, one long March S&P 500 emini future, one short June S&P 500 emini future, and 38 different option legs of varying strikes, months, and quantities.
One limitation here is liquidity. While there is plenty of volume in the emini S&P and a few other underlyings, it doesn’t now (and probably never will) make sense to try to trade options on hog futures even in the pit, much less electronically, and the same goes for many of the commodities listed on Globex. However, there are some good reasons to trade futures options: ES (S&P 500 emini) options, for example, have a contract multiplier of 50, which makes them a nice size for anyone who doesn’t want to traffic in large quantities of SPY contracts. ES options seem to have much tighter bid/ask spreads than their SPX cousins. And, of course, you can hedge an ES option position afterhours or overnight with the underlying futures contract.