• CME Globex Notices: July 24, 2017

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20170724
      • Notice Date
      • 24 July 2017
    • Topics in this issue include:

    • Critical System Updates

      Implied Functionality for CME FX Futures and SD Calendar Spreads - September 24

      Effective Sunday, September 24, 2017 (trade date Monday, September 25), implied functionality will be enabled on the following CME FX futures outrights and all SD calendar spreads (i.e. serial-serial, serial-quarterly, quarterly-quarterly) in the first 12 months.

      Implied Functionality for CME FX Futures and SD Calendar Spreads
      Product MDP 3.0:
      Tag 6937-Asset
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      British Pound 6B 6B
      Canadian Dollar 6C 6C
      Euro FX 6E 6E
      Japanese Yen 6J 6J
      Australian Dollar 6A 6A
      Euro/British Pound RP FB

      Implied functionality utilizes bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices. In internal testing, implied functionality increased incremental feed bandwidth up to 13% on the CME Globex FX Futures MDP 3.0 channels 314 and 320.

      To identify CME FX futures products with implied eligibility, the market data Security Definition message (tag 35-MsgType=d) will contain tag 872-InstAttrbValue bit 19-Implied Matching Eligible =1.

      Implied book updates are disseminated via the market data Incremental message (tag 35- MsgType=X ) with tag 269-MDEntryType=E (implied bid) and F (implied offer).

      Implied functionality for CME FX futures will be turned on for customer testing in New Release on Monday, August 7.

      Additional detailed information on the implied functionality is available in the Client Systems Wiki.

      For more information please visit cmegroup.com/fxmonthlies.

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      Changes to Committed Cross Transaction Parameters - August 13

      Effective Sunday, August 13 (trade date Monday, August 14), the Better Price Match (BPM) parameters for the Committed Cross (C-Cross) transactions in all CME and CBOT Interest Rate Options will be changed from 20% to 35%.

      See the complete list of impacted options products.

      This change will be available for customer testing in New Release on Monday, July 31.

      A detailed description of the C-Cross process is available here

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      Information Security Update - December 17

      CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 17 (trade date Monday, December 18), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

      This change will be effective in New Release on Tuesday, August 29.

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      New Functionality

      Request for Cross for Volatility-Quoted Options - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), pending all relevant regulatory review periods, CME Globex will allow the Request for Cross (RFC) for the following CME FX Volatility-Quoted Options(VQO) products:

      Request for Cross for Volatility-Quoted Options
      Product Maturity Tag 1151-SecurityGroup Tag 6937-Asset
      Australian Dollar Monthly 3A VXA
      Weekly VAA-VAE
      Japanese Yen Monthly 3Y VXJ
      Weekly VJA-VJE
      British Pound Monthly B3 VXB
      Weekly VBA-VBE
      Swiss Franc Monthly 3S VXS
      Weekly VSA-VSE
      Canadian Dollar Monthly 3C VXC
      Weekly VCA-VCE
      Euro FX Monthly 3E VXT
      Weekly VTA-VTE

      With this change, Globex Cross will no longer be allowed on VQO products. VQO products will be eligible for Committed Cross with 50 % BPM.

      Please note that the BPM percentage to the CME FX Premium-Quoted Options (PQO) products will remain the same at 20%.

      This change is currently available for customer testing in New Release.

      Detailed information including functionality and messaging for Cross is available in the Client Systems Wiki.

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      Market by Order (MBO) Market Recovery Implied Dissemination Modification - August 6

      Starting on Sunday, August 6 (trade date Monday, August 7), to allow customer systems to efficiently recover market data books, the Market by Order Recovery feed will now include 2nd level (1023-MDPriceLevel) Market by Price implied book depth (tag 269-MDEntryType=E, F).

      Market By Order (MBO) Market Recovery Implied Dissemination Modification
      Group Channel Number Channel Name Production Launch Date
      1 312 CME Globex Interest Rate Futures Sunday, August 6
      382 NYMEX Globex Crude & Crude Refined Futures
      2 360 COMEX Globex Futures Sunday, August 13
      384 NYMEX Globex Metals, Softs, & Alternative Market Futures
      380 NYMEX Globex Emissions Futures
      386 NYMEX Globex Nat Gas & other Non-Crude Energy Futures
      382 NYMEX Globex Crude & Crude Refined Futures
      440 DME Globex Futures
      340 CBOT Globex Commodity Futures
      346 CBOT Globex Commodity Futures II
      460 MGEX Globex Futures
      344 CBOT Globex Interest Rate Futures
      316 CME Globex Commodity Futures
      430 BMD Globex Futures

      The Market By Order (MBO) Market Recovery Implied Dissemination Update is currently available for customer testing in New Release.

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      Globex Risk Management Enhancements: Inline Credit Controls - August 13

      Effective Sunday, August 13, in addition to existing risk management controls, CME Group will offer optional, more granular pre-trade risk management capability through the In-Line Credit Control (ICC) tool.

      The ICC tool allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex, per product, at the account level through Account Manager.

      Risk Administrators are encouraged to register and set limits in all products. Please review the complete ICC enforcement schedule.

      The new functionality will feature:

      • Daily quantity position limits applied per product at the account level.
      • Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day’s working orders.
      • No latency differential; all orders are subject to the same ICC processing.
      • Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
        • The most restrictive limit applies.
        • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
        • Clearing Member Firms and Executing Firms cannot change the other's limit.
      • Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

      Please note: With the introduction of ICC, clients may see minor changes in order entry round trip times (RTT) during large market events.

      Initially, ICC processing for accounts approaching their pre-set threshold level, In-Flight Mitigation(IFM) enabled orders may temporarily violate account limits resulting in a reject. See scenario here. Future phases of ICC will accommodate In-Flight Mitigation and eliminate the temporary account limit violation scenario.

      See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

      For registered client systems, a new or cancel/replace order that violates specified position limits will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

      Reject Reason Tag 58-Text
      Position Limit Violation Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by CMF for Product Code: <Product Code>
      Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by EF for Product Code: <Product Code>
      Account Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered for this Executing Firm
      Product Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade Product Code: <Product Code>
      UDS Covereds Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade UDS Covereds
      Account Deactivation Violation Pre-Trade Registration Violation: Account: <Account> has been Suspended from Trading by the CMF for this Executing Firm

      This new functionality is currently available for customer testing in New Release.

      Please contact your Global Account Manager with any questions on onboarding and testing In-line Credit Controls functionality in New Release in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

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      Rounded Intraday Settlement Prices - August 27

      Effective Sunday, August 27 (trade date Thursday, August 31), to provide additional information on intraday settlement prices, CME Group will publish rounded intraday settlements for E-mini S&P 500 futures, in addition to the unrounded prices available today. Rounded intraday settlements are flagged with tag 731=SettlPriceType where bit 2=1 and bit 3=1.

      Market Data Dissemination of Equity Intraday Rounded Settlements Prices
      MDP 3.0 Channel Description MDP 3.0 Channel MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      CME Globex Equity Futures Channel 310 ES ES

      With this change, customers will receive both a rounded and unrounded intraday settlement message. Intraday Settlement Prices are published on the last trading day of the calendar month for E-mini S&P 500 contracts. These prices are sent while the trading session is still active and represent a snapshot valuation of the settlement price at the time that they are published.

      The new prices are currently available for customer testing in New Release. To test tag 731-SettlPriceType (bits 2 and 3) in New Release, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.

      The MDP 3.0 Market Data Incremental Refresh message including tag 731-SettlPriceType is documented in the Client Systems Wiki.

      Please Note: The rounded intraday settlement prices will also be published via ITC Channel 3.

      ITC Floor Feed testing is not available in New Release. Customers consuming ITC messages can use the following examples for customer testing.

      ITC Feed Market Data Dissemination of Equity Intraday Rounded Settlements Prices
      ITC Channel Description ITC Feed Channel
      CME Open Outcry 3
      Examples of the rounded and unrounded messages published
      on the final day of the month:
      Settlement Message Type
      <SOH>M   FQ S00075081500550 <STX> SP  H18EH182
      0243720+TWS                        S<ETX>
      Futures Intraday Unrounded Settlement
      <SOH>M   FQ S00075241500570 <STX> ES  H18EH182
      0243725+TWS                        S<ETX>
      Futures Intraday Rounded Settlement
      <SOH>M   FQAS00075251500570 <STX> ES  H18EH182
      0243720+TWS                        S<ETX>
      Futures Intraday Unrounded Settlement

      This change does not impact ITC Future Unrounded Settlement for the S&P 500 Futures. 

      The ITC Market Data Message specification for pricing is documented in the Client Systems Wiki.

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      Spread Statistics Change - September 10

      To better align traded volume information across platforms, effective Sunday, September 10 (trade date Monday, September 11), when a spread-of-spreads trades MDP 3.0 will only publish traded volume updates for the top-level spread and the outright legs.

      Today, MDP 3.0 publishes volume updates for the top-level spread, the spread legs and the outright legs. With this change, the spread legs will no longer have a volume update when traded as part of a spread-of-spreads. The following table outlines the new behavior. This change only affects trades for spread-of-spreads. Trades in spreads will continue to function as they do today.

      Current State
      PS Pack Spread – Volume update
      Effective Sunday, September 10
      PS Pack Spread – Volume update
      PK Pack 1 – Volume update PK Pack 1 – No volume update

       Outright leg 1 – Volume update

       Outright leg 1 – Volume update

       Outright leg 2 – Volume update

       Outright leg 2 – Volume update

       Outright leg 3 – Volume update

       Outright leg 3 – Volume update

       Outright leg 4 – Volume update

       Outright leg 4 – Volume update

      PK Pack 2 – Volume update PK Pack 2 – No volume update

       Outright leg 1 – Volume update

       Outright leg 1 – Volume update

       Outright leg 2 – Volume update

       Outright leg 2 – Volume update

       Outright leg 3 – Volume update

       Outright leg 3 – Volume update

       Outright leg 4 – Volume update

       Outright leg 4 – Volume update

      Detailed spread and spread-of-spread information is available in the Client Systems Wiki.

      This change will be available for customer testing in New Release Monday, August 14.

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      Self-Match Prevention Enhancements - September 24

      Effective Sunday, September 24 (trade date Monday, September 25) CME Group will launch enhancements to CME Globex Self-Match Prevention (SMP). SMP is optional functionality that allows market participants to prevent the matching of orders for accounts with common ownership if both the buy and sell orders contain the same SMP ID and Globex Firm ID.

      With these enhancements, iLink customers will have the ability to configure SMP functionality across multiple Globex Firm IDs within or across clearing firms. Upon this release, orders submitted with unregistered SMP IDs will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=8) message including tag 58=<Reject Reason>. All Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders with unregistered SMP IDs must also be updated to use a registered SMP ID by the close on the Friday before launch. Any remaining GT orders with unregistered SMP IDs will be eliminated at Sunday start-up on launch weekend.

      The Firm Administrator Dashboard interface will continue to be used to request new SMP IDs but will be enhanced to allow existing SMP IDs to be modified to support additional Globex Firm IDs.

      Detailed information, including the launch schedule, is available in the Client Impact Assessment.

      The new SMP enhancements are currently available for customer testing in New Release. Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release.

      Please note: Clients planning to test the SMP enhancements in New Release must contact their Global Account Manager to receive new SMP IDs, which will be activated after the New Release daily maintenance period (16:00 to 16:45 central time).

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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      CME Globex Execution Information Enhancements - September 10

      Starting Sunday, September 10 (trade date Monday, September 11), CME Group will offer customers the following CME Globex execution information enhancements:

      • Updated STP function - new Common Trade ID automatically traces each individual execution across CME Globex and through clearing
        • iLink tag 37711-MDTradeEntryID
        • MDP 3.0 tag 37711-MDTradeEntryID
        • CME STP and CME STP FIX MDTrdEntrID
      • Real-time trade price adjustments reporting to participating traders and market as a whole via iLink and MDP 3.0 messages
        • Currently, trade price adjustments are only available via Clearing systems
      CME Globex Execution Information Enhancements
      Tag1300-MarketSegmentID Market Segment Launch Schedule
      68 CME Equity futures excluding E-mini S&P Sunday, September 10
      50 CME Eurodollar options Sunday, September 24
      76 NYMEX and COMEX Metals and Alternative Market futures Sunday, September 24
      78 NYMEX Non-Crude Energy futures Sunday, September 24
      54 CME Equity options Sunday, October 22
      56 NYMEX and COMEX options Sunday, October 22
      58 CBOT Treasury options Sunday, October 22
      64 CME E-mini S&P 500 futures Sunday, October 22
      80 NYMEX Crude Energy futures  Sunday, October 22
      84 CBOT Treasury futures Sunday, October 22
      88 CME Globex FX Futures and Options Sunday, October 22
      52 CME FX options Sunday, October 29
      60 CBOT Commodity and Equity options Sunday, October 29
      70 CME Commodity futures Sunday, October 29
      72 CBOT Commodity futures Sunday, October 29
      74 Hosted Partner Exchange markets and NYMEX Emissions futures Sunday, October 29
      82 CME Eurodollar futures Sunday, October 29

      Please review the client impact assessment for information on functionality and messaging impacts and complete rollout schedule.

      These enhancements are now available in New Release for customer testing.

      Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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      Product Launches

      North American Crude Grades Options  - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), North American Crude Grades Options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      North American Crude Grades Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group (UDS)
      LLS (Argus) vs. WTI Trade Month Average Price Option

       

      E5O EF EX
      WTI Houston (Argus) vs. WTI Trade Month Average Price Option HTO EF EX
      WTI Houston (Argus) vs. WTI Calendar Month Average Price Option HIO EF EX
      Mars (Argus) vs. WTI Trade Month Average Price Option YVO EF EX
      Mars (Argus) vs. WTI Calendar Month Average Price Option YXO EF EX
      WTI Midland (Argus) vs. WTI Trade Month Average Price Option WTO EF EX
      WTI Midland (Argus) vs. WTI Calendar Month Average Price Option FFO EF EX
      WTS (Argus) vs. WTI Trade Month Average Price Option FHO EF EX
      WTS (Argus) vs. WTI Calendar Month Average Price Option WSO EF EX

      These options are currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      Bursa Malaysia Derivatives Berhad (BMD) FX Futures - Q3 2017

      Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in late Q3 2017.

      Bursa Malaysia Derivatives Berhad (BMD) FX Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      BMD Mini CNH/MYR Futures MFCM BR
      BMD Mini USD/MYR Futures MFUM BM

      These are currently available for customer testing in New Release.

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      Product Changes

      Changes to Non-Reviewable Ranges for Natural Gas and Crude Oil Options  - This Week

      Effective Sunday, July 30 (trade date Monday, July 31), the Non-Reviewable Ranges will be modified for following natural gas and crude oil options:

      Changes to Non-Reviewable Ranges for Natural Gas and Crude Oil Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Non-Reviewable Range New Non-Reviewable Range
      Daily Natural Gas Option KDB GZ The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.05 The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.025
      Henry Hub Natural Gas Calendar Spread (12 month) Options IZ ON
      Henry Hub Natural Gas Calendar Spread (2 month) Options IB ON
      Henry Hub Natural Gas Calendar Spread (3 month) Options AIC ON
      Henry Hub Natural Gas Calendar Spread (5 month) Options IE ON
      Henry Hub Natural Gas Calendar Spread (6 month) Options IM ON
      Henry Hub Natural Gas Financial Calendar Spread (1 month) Option G4X ON
      Henry Hub Natural Gas Financial Calendar Spread (3 month) Option G3B ON
      Henry Hub Natural Gas Financial Calendar Spread (4 month) Option G10 ON
      Henry Hub Natural Gas Financial Calendar Spread (6 month) Option G6B ON
      Natural Gas (Henry Hub) Last-day Financial 2 Month Spread Option AG2 ON
      Natural Gas (Henry Hub) Last-day Financial 5 Month Spread Option AG5 ON
      Natural Gas (Henry Hub) Last-day Financial 12 Month Spread Option AG7 ON
      Henry Hub Natural Gas Last Day Financial Option AE7 GZ
      Natural Gas Options ON ON
      Natural Gas Weekly Options ON# ON

      Natural Gas Weekly Financial Options

      LN# LG
      Natural Gas Calendar Spread Options IAY ON
      Natural Gas Option on Calendar Futures Strip A6J GZ
      Natural Gas Option on Summer Futures Strip A4D GZ
      Natural Gas Option on Winter Futures Strip A6I GZ
      Natural Gas European Options LNE LG
      Brent Calendar Spread (12 Month) Options AZ OT The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.50 The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.25
      Brent Calendar Spread (2 Month) Options AB OT
      Brent Calendar Spread (3 Month) Options AC OT
      Brent Calendar Spread (6 Month) Options AM OT
      Brent Calendar Spread (1 Month) Options AA OT
      Brent Crude Oil Last Day Financial Calendar Spread (12 Month) Options 9Y OT
      Brent Crude Oil Last Day Financial Calendar Spread (2 Month) Options 9B OT
      Brent Crude Oil Last Day Financial Calendar Spread (3 Month) Options 9D OT
      Brent Crude Oil Last Day Financial Calendar Spread (6 Month) Options 9L OT
      Crude Oil Financial Calendar Spread (2 Month) Options 7B LO
      Crude Oil Financial Calendar Spread (3 Month) Options 7C LO
      Crude Oil Financial Calendar Spread (6 Month) Options 7M LO
      Crude Oil Financial Calendar Spread (12 Month) Options 7Z LO
      Crude Oil Option on Calendar Futures Strip Options A6F LO
      Crude Oil Option on Quarterly Futures Strip Options A6E LO
      Daily Brent Crude Oil Option ODB OT
      Daily Crude Oil Calendar Spread (1 Month) Options DNM LO
      Daily Crude Oil Calendar Spread (2 Month) Options DTM LO
      Daily Crude Oil Options ICD LO
      WTI Average Price Options AAO LO
      WTI Crude Oil Calendar Spread Option (3 Month) WC LO
      WTI Crude Oil Calendar Spread Option (6 Month) AWM LO
      WTI Crude Oil Calendar Spread Option (12 Month) AWZ LO

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      Implied Functionality on Crude and Refined Energy Futures Butterflies  - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), implied functionality will be enabled for Crude and Refined Energy Butterflies in the first 12 months plus June and December for two additional years. Butterflies are identified with “BF” in tag 762-SecuritySubType in the MDP 3.0 Security Definition (tag 35-MsgType=d) message.

      Implied Functionality on Crude and Refined Energy Futures Butterflies
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Light Sweet Crude Oil Futures CL CL
      RBOB Gasoline Futures RB CL
      NY Harbor ULSD Futures HO CL
      Brent Last Day Financial Futures BZ OP
      DME Oman Crude Oil Physically Settled Futures OQD DE

      Implied functionality on these spreads is currently available for customer testing in New Release.

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

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      External Name Change Henry Hub Natural Gas Last Day Financial Option - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), the external name format in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc for Henry Hub Natural Gas Last Day options on futures will be changed. With this change, tag 202-StrikePrice strike price in MDP 3.0 will change to support the external name change.

      Henry Hub Natural Gas Last Day Financial Option
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbo
      New iLink: tag 107-SecurityDesc
      MDP 3.0: tag 55-Symbo
      Current
      202-StrikePrice
      New
      202-StrikePrice
      Henry Hub Natural Gas Last Day Financial Option AE7 GZ

      Examples:
      AE7N7 C75
      AE7N7 P535

      Examples:
      AE7N7 C750
      AE7N7 P5350
      Examples:
      75.0000000
      535.0000000
      Examples:
      750.0000000
      5350.0000000

      To facilitate this change, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options after their close on Friday, August 4. After 16:00 CT on Friday, August 4, all remaining GTC and GTD orders for these options will be cancelled by the CME Group Global Command Center (GCC).

      These are currently available for customer testing in New Release.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

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      New New - Changes to Product Name and Underlying Futures for Canadian Heavy Crude Oil Index (Net Energy) Average Price Options  - August 6

      Effective Sunday, August 6 (trade date Monday, August 7), the Canadian Heavy Crude Oil Index (Net Energy) Averaged Price options product name and underlying futures will be changed as follows:

      Changes to Product Name and Underlying Futures for Canadian Heavy Crude Oil Index (Net Energy) Average Price OptionS
      Current Product Name New Product Name MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Current Underlying Product
      tag 311-UnderlyingSymbol
      New Underlying Product
      tag 311-UnderlyingSymbol
      Canadian Heavy Crude Oil Index (Net Energy) Average Price Option Western Canadian Select Oil (Net Energy) Monthly Index Average Price Option WCI XZ Canadian Heavy Crude Oil Index (Net Energy) Futures
      tag 311-UnderlyingSymbol= WCC
      Western Canadian Select Oil (Net Energy) Monthly Index Futures
      tag 311-UnderlyingSymbol = WCW

      This change is currently available in New Release for customer testing.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

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      New New - Minimum Order Quantity Change for Volatility-Quoted Options  - August 20

      Effective Sunday, August 20 (trade date Monday, August 21), the minimum order quantity for all Volatility-Quoted Options will be reduced from 20 to 10 lots.

      • Australian Dollar
        • Volatility-Quoted Options: tag 6937=VXA, VAA-VAE
      • British Pound
        • Volatility-Quoted Options: tag 6937=VXB, VBA-VBE
      • Swiss Franc
        • Volatility-Quoted Options: tag 6937=VXS, VSA-VSE
      • Canadian Dollar
        • Volatility-Quoted Options: tag 6937=VXC, VCA-VCE
      • Japanese Yen
        • Volatility-Quoted Options: tag 6937=VXJ, VJA-VJE
      • Euro FX
        • Volatility-Quoted Options: tag 6937=VXT, VTA-VTE

      In conjunction with this change, the minimum quantity requirement to trigger a triangulation execution will be set at 10 for the Japanese Yen and Euro FX (already set at 10 for the other currencies).  The alignment of the minimum order quantity for VQO orders with the minimum triangulation quantity across all currency pairs will serve to minimize unfilled quantity on VQO trades.

      The reduced minimum order quantity will be available in New Release for customer testing on Monday, August 7.

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      Decommission of MexDer Order Routing Offering - August 25

      Effective end of day Friday, August 25, Globex order routing and market data for MexDer products will no longer be available via the CME Globex platform. Existing order routing customers to MexDer markets and customers wishing to pursue market access to MexDer should contact Laura Vazquez at lvazquez@grupobmv.com.mx or +(52 55) 53 42 9840. Customers wishing to pursue market access to CME Group markets should contact Global Account Management in the U.S. at 312-634-8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505.

      New Release order routing will be decommissioned end of day Wednesday, August 16

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      Group Code Change E-mini S&P 500 Options  - August 27

      Effective Sunday, August 27 (trade date Monday, August 28), the E-mini S&P 500 Options group codes will change for the following products:

      Group Code Change S&P 500 Options
      Product MDP 3.0: tag 6937-Asset Current
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      New
      iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      E-mini S&P 500 Options ES EZ EW
      E-mini S&P 500 Wednesday Weekly Options E1C- E5C EK EW
      S&P 500 Wednesday Weekly Options S1C- S5C SW OS

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for User-Defined Spreads (UDS) only for the affected products by the close on the Friday, August 25.  After 16:00 CT on Friday, August 25 any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on outright options will not be impacted.

      These options will be available for customer testing in New Release on Monday, August 7.

      These contracts are listed with, and subject to, the rules and regulations of CME.

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      New New - Change to Last Eligible Trade Date For CME Europe Futures  - August 13

      On Friday May 19, CME Europe Limited (CMEEL) advised members and other participants that the last trading date for all remaining Products listed on CMEEL will be August 30, 2017. Effective, August 13, 2017 (for trade date Monday, August 14, 2017) the last trade date for all contract months in all remaining CME Europe Limited (CMEEL) products will adjusted to be August 30, 2017. This change is required to support the orderly wind down of the CME Europe Exchange. Additional information regarding this change can be found in CME Clearing Europe Notice 17-24.

      Change to Last Eligible Trade Date CME Europe Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      German Power Baseload Calendar Month Future GPB PO
      Italian Power Baseload (GME) Calendar Month Future IPB PO
      Italian Power Peakload (GME) Calendar Month Future IPP PO
      UK Natural Gas Daily Future NDE JQ
      UK Natural Gas Calendar Month Future NME JQ
      Dutch Natural Gas Daily Future TDE JQ
      Dutch Natural Gas Calendar Month Future TME JQ

      This change will be available in New Release for customer testing on Monday, July 31.

      These contracts are listed with, and subject to, the rules and regulations of CME Europe.

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      Last Trading Date for CME Europe Limited (CMEEL) - August 30

      On Friday May 19, CME Europe Limited (CMEEL) advised members and other participants that the last trading date for all remaining Products listed on CMEEL will be August 30. Members with open positions after that last trading date will be closed out in accordance with CME Clearing Europe Rules and in accordance with the Planned Termination Event as described in CME Clearing Europe Notice 17-24.

      Additional information regarding this change can be found in the CME Europe Ltd Exchange Advisory Notice 17-014.

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