• CME Globex Notices: January 7, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080110
      • Notice Date
      • 07 January 2008
    • Welcome to the CME Globex Notices for the week of January 7, 2008.

      CBOT Mock Trading Notices

      Critical System Updates

      New Functionality

      Product Launches

      Product Changes

      Events and Announcements

      If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; +44.20.7796.7100 in Europe; or at +852.3101.7696 in Asia.


      Critical System Updates 

      CBOT and Hosted Exchange Mock Trading this Saturday, January 5 
      Effective this Sunday, January 13 (trade date Monday, January 14), the CBOT Commodities, Dow and Hosted Exchange products are scheduled to launch on the CME Globex electronic trading platform. The CBOT Interest Rate products are scheduled to launch in two weeks, on Sunday, January 27 (trade date Monday, January 27).

      Key information for customers includes:

      CBOT & Hosted Exchange Launch Schedule
      Mock Trading Sessions December 1 - Complete
      December 15 - Complete
      December 22 - Complete
      January 5 - Complete
      January 12
      January 26
      Commodities, Dow & Hosted Exchanges Product Launch January 13
      Interest Rate Product Launch January 27

      All CBOT-related functionality and CBOT and Hosted Exchange products are currently available for testing in New Release. Customers can certify for Cabinet pricing in New Release via the AutoCert+ tool. Please note: this brief certification is required for all systems that support options on the CME Globex platform.


      Changes to Instrument Creation (MO) Replay Channels 
      Effective Sunday, March 30, 2008, CME Group will decommission the Instrument Creation (MO) Replay channels 1 and 16 in the production and Certification environments. Channels 1 and 16 will be decommissioned in New Release effective Sunday, March 2.

      The new MO Replay channels on the Market Data Platform, introduced in November 2007, allow customers to listen only to the MO messages for which they receive market data. With these new channels, every product RLC data channel (e.g., channel 7, Equity futures; channel 8, Equity options, etc.) now has a dedicated MO Replay channel.

      Please note, these changes only affect the RLC-format channels. There are no changes to the ITC 2.1-format channels.

      The new MO Replay channels are currently available in New Release, Certification and production. The channel definition tables are available for Certification and New Release at www.cme.com/certsdk, and for production at www.cme.com/prodsdk.


      New Functionality 

      Volatility-Quoted Options Launch 
      In March 2008, volatility-quoted options are scheduled to launch on six FX options products: EuroFX, British pound, Japanese yen, Canadian dollar, Swiss franc and Australian dollar.

      Volatility-quoted options support delta-neutral trading, which virtually eliminates the execution risk inherent to trading premium price options. The volatility-quoted options will utilize the existing FX options and futures products.

      All of the volatility-quoted options suite, including all maturities in the American- and European-style, and Straddle, Strangle and Vertical strategies, are currently available in the New Release environment for customer testing.

      Customers can now certify for volatility-quoted options in New Release via AutoCert+. This brief certification is mandatory for all systems that will provide trading access to these options.

      More information on these new products and the associated messaging and functionality enhancements is available in the Volatility-Quoted Options Client Impact Assessment.


      Product Launches 

      NYMEX European-style Crude Oil and Natural Gas Options Launch 
      Effective Sunday, January 20, 2008 (trade date Monday, January 21), European-style options on NYMEX Crude Oil and Natural Gas futures will launch on the CME Globex platform. These options will support full User-Defined Spreads (UDS) functionality at launch.

      Complete CME Globex product specifications are available in the NYMEX & COMEX Options on CME Globex Snapshot. More information on European-style options is available from NYMEX Product Marketing at 212.299.2301.

      NYMEX European-style Options
      Product Instrument Group Code Product Code MDP Channel
      Crude Oil LO LCE 35
      Natural Gas GZ LNE 36

      These European-style NYMEX options are currently available for customer testing in the New Release environment.


      Product Changes 

      CME Globex Trading Hours for Dow Jones Equity Index Products 

      When the legacy CBOT Dow Jones Index contracts launch on the CME Globex platform, scheduled for Sunday, January 13, 2008 (trade date Monday, January 14), the trading hours will be harmonized with the CME Group equity futures and options.

      Product Current Trading Hours New Trading Hours
      Floor Hours e-cbot Hours Floor Hours CME Globex Hours
      E-mini Dow ($5) Futures and Options n/a 6:15 p.m. to 4:00 p.m. next day n/a Mon-Thu: 3:30 p.m. to 3:15 p.m. next day;
      maintenance window 4:30 to 5:00 p.m.
      Sun & Holidays: 5:00 p.m. to 3:15 p.m. next day
      BIG Dow ($25) Futures
      Dow Jones US Real Estate Futures
      Dow ($10) Futures and Options 7:20 a.m. to 3:15 p.m. 6:15 p.m. to 7:00 a.m. next day 8:30 a.m. to 3:15 p.m. Mon-Thu: 3:30 p.m. to 8:15 a.m. next day;
      maintenance window 4:30 to 5:00 p.m.
      Sun & Holidays: 5:00 p.m. to 8:15 a.m. next day

      Euroyen TIBOR Futures Pack Spreads Algorithm Indicator Change 
      Effective Sunday, January 20 (trade date Monday, January 21), the Matching Algorithm Indicator for the Euroyen TIBOR future Pack Spreads (Strategy Type Code PS) will be corrected to read A for Allocation, to match the outright futures. Currently, the Pack Spreads show a T.

      The Matching Algorithm Indicator can be found in the Instrument Creation (MO) message, position 685.


      Russian Ruble Futures Extended 
      Effective Sunday, January 20, 2008 (trade date Monday, January 21), the listed Russian Ruble futures will be extended out four additional years on the CME Globex platform. The number of listed contracts will be extended to a total of 20 March quarterly cycle futures, from the currently available four.

      These additional futures are currently available for customer testing in Certification and New Release.


      Brazilian Real Futures Quarterly Calendar Spreads 
      Effective Sunday, January 20, 2008 (trade date Monday, January 21), in response to customer requests, CME Group will list four March quarterly cycle contract month calendar spreads for Brazilian Real futures. These quarterly calendar spreads are in addition to the currently listed serial calendar spreads.

      The four new March quarterly cycle calendar spreads for Brazilian Real futures will be constructed:

      • 2nd March Quarterly vs. 1st March Quarterly
      • 3rd March Quarterly vs. 1st March Quarterly
      • 4th March Quarterly vs. 1st March Quarterly
      • 3rd March Quarterly vs. 2nd March Quarterly

      These serial contract month calendar spreads for Brazilian Real futures are currently listed on CME Globex:

      • Month 2 vs. Month 1
      • Month 3 vs. Month 1
      • Month 4 vs. Month 1
      • Month 3 vs. Month 2
      • Month 4 vs. Month 2
      • Month 5 vs. Month 2

      Twelve consecutive months of outright Brazilian Real futures are listed on CME Globex.

      These new quarterly calendar spreads are currently available for customer testing in New Release.


      S&P 500 and E-mini S&P 500 Options 
      Effective Sunday, January 20, 2008 (trade date Monday, January 21), the strike listing rules for E-mini S&P 500® options on futures will change as follows:

      E-mini S&P 500 Options Strike Listing Rules
      Strike Interval Current Listing Rules New Listing Rules
      5 index points ATM ± 25 ATM ± 10%
      10 index points ATM ± 75 ATM ± 20%
      25 index points ATM ± 125 ATM ± 50%

      With this launch, CME Group is also listing one additional serial option for both the S&P 500 options and the E-mini S&P 500 options, for a total of three serial and four March quarterly options. Currently, CME Group lists two serials and four quarterlies for both these products.

      These new S&P 500 and E-mini S&P 500 options are currently available for customer testing in New Release.


      Events and Announcements 

      Messaging Policy Updates for Merger 
      Effective with the launch of the CBOT and Hosted Exchange products on the CME Globex platform, these products will become subject to the CME Globex Messaging Policy. Benchmarks have been added to the Messaging Policy to match the benchmarks currently used on e-cbot. CME Group will begin assessing surcharges for options starting Monday, March 31, and immediately for futures.


      Error Trade Policy Update for Options 
      In connection with the migration of CBOT products to CME Globex, CME and CBOT are adopting a fully harmonized trade cancellation and price adjustment rule that will cover products traded on CME Globex and e-cbot, effective Sunday, January 13, 2008. This Special Executive Report provides information on:

      • Changes to CME Rule 588 ("Trade Cancellations and Price Adjustments")
      • Adoption of CBOT Rule 588
        • Will be identical to CME Rule 588
      • Changes to CME Rule 622 ("Claims Relating to Trade Cancellations or Price Adjustments")
      • Adoption of CBOT Rule 622
        • Will be identical to CME Rule 622
      • Changes to CBOT Chapter 5B ("e-cbot")

      Please note that as a result of these changes, erroneous options trades will no longer be busted in most circumstances, but will instead be price adjusted by the CME Globex Control Center.


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