• CME Globex Notices: November 30, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20091130
      • Notice Date
      • 30 November 2009
    • Topics in this issue include:
      New Functionality
      Product Launch
      Product Changes
      Events and Announcements
      New Functionality

      New Price Synchronization Functionality
      Effective this Sunday, December 6, 2009 (trade date Monday, December 7), the price synchronization functionality will be launched for the market opening process on CBOT, KCBT and MGEX Commodity futures. Price synchronization functionality helps facilitate the alignment of outright and spread prices by enabling implied functionality ten seconds after the market opens.

      This functionality is currently enabled for NYMEX, COMEX and DME futures.

      NEW Enhanced Mass Quote Governor
      Effective Sunday, December 20, 2009, enhancements to the Mass Quote Governor functionality will be launched.

      Detailed information on these enhancements is available in the  Enhanced Mass Quote Governor Overview.

      Please contact your  CME Globex Account Manager at 312.634.8700 with any questions or concerns.

      Product Launches

      Gulf Coast Sour Crude Oil Futures
      Effective this Sunday, December 6, 2009 (trade date Monday, December 7), Gulf Coast Sour Crude Oil futures and intercommodity spreads will be listed for trading on CME Globex.

      Gulf Coast Sour Crude Oil futures will have tag 55-Symbol=CL and tag 1151-SecurityGroup=MB. Futures strips and calendars will also be listed for trading, as well as the Gulf Coast Sour Crude Oil vs Light Sweet Crude Oil WTI (MB-CL). Implied functionality will be supported for the first 12 months and the June vs. December spreads for the first two years.

      This new physically delivered sour crude oil contract will provide a valuable hedging tool for managing the sweet-sour crude oil price risk, and it correlates closely with the sour crude oil grades in the U.S. Gulf Coast.

      The Gulf Coast Sour Crude Oil futures and spreads are now available for customer testing in New Release.

      Monthly and Seasonal Strip Snowfall Index Futures
      Effective this Sunday, December 6 (trade date Monday, December 7), the following new monthly and seasonal strip Snowfall Index futures will be listed for trading on the CME Globex platform.


      Location tag 55-Symbol tag 1151-SecurityGroup
      Monthly Nov Strip Dec Strip Jan Strip Feb Strip Mar Strip
      Chicago O'Hare International SB SW SWX SWZ SWF SWG SWH
      Minneapolis International BV BVX BVZ BVF BVG BVH
      Detroit International EK EKX EKZ EKF EKG EKH
      New York LaGuardia FG FGX FGZ FGF FGG FGH

      Snowfall Index futures are geared to the amount of snowfall recorded in a given month in a designated location. They provide a way to

      • Protect revenues and manage risks related to snowfall
      • Accept the risks related to snowfall in exchange for possible profit

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

      Long-Term U.S. Treasury Bond Futures and Intercommodity Spreads
      Effective Sunday, January 10 (trade date Monday, January 11), Long-Term U.S. Treasury Bond ("Ultra T-Bond") futures and intercommodity spreads will be listed for trading on the CME Globex platform. Calendar spreads and butterflies will also be available.

      Ultra T-Bond Futures and Spreads

      Product tag 55-Symbol tag 1151-SecurityGroup
      Ultra T-Bond futures ZB UB
      2-Year U.S. Treasury Note vs Ultra T-Bond TUL
      3-Year U.S. Treasury Note vs Ultra T-Bond TOU
      5-Year U.S. Treasury Note vs Ultra T-Bond FOL
      10-Year U.S. Treasury Note vs Ultra T-Bond NOL
      30-Year U.S. Treasury Note vs Ultra T-Bond BOB
      Ultra T-Bond vs 30-Year Interest Rate Swap UOS

      Recent fiscal policy has shifted toward increased issuance on the long end of the Treasury curve. In response to the demand from institutional investors with long duration needs, CME Group is launching these Long-Term U.S. Treasury Bond futures. Ultra T-Bond futures will be a natural complement to the U.S. Treasury futures complex, providing market participants with a more direct way to manage long-term risk and add duration to their portfolios.

      These products will be available for customer testing in New Release Monday, December 21.

      Product Changes

      NEW Market Data Book Depth Changes in New Release
      Effective Sunday, December 13, in New Release only, the market depth for all products on the following channels will be changed to 1 deep:

      • NYMEX Crude Oil Energy Options (channel ID 35)
      • NYMEX Non-Crude Oil Energy Options (36)
      • NYMEX and COMEX Metal Options (37)
      • CBOT Commodity Options (112)

      Currently these channels have 3-deep market data depth in New Release. This change will bring New Release into alignment with the current market data depths in production.

      Display Factor Changes

      Effective Sunday, December 13, changes to tag 9787 values will be implemented for the following fractional price products. As a reminder, CME Group does not recommend using the DisplayFactor information for any products with fractional prices. Instruments with fractional prices are identified in the Security Definition (tag 35-MsgType=d) message in the repeating group tag 871-InstAttribType=24, tag 872-InstAttribValue=12.

      Fractional Products Display Factor Changes

      Product Tag 55-Symbol Tag 1151-SecurityGroup Current
      Tag 9787-DisplayFactor
      Tag 9787-DisplayFactor
      CBOT Commodity Futures & Future Spreads
      Mini-sized Corn XC XC 0.01 1
      Mini-sized Soybean XK XK 0.01 1
      Mini-sized Wheat XW XW 0.01 1
      Corn ZC ZC 0.01 1
      Oat ZO ZO 0.01 1
      Soybean ZS ZS 0.01 1
      Wheat ZW ZW 0.01 1
      CBOT Commodity Options
      Corn OC OZC 0.01 1
      Oat OO OZO 0.01 1
      Wheat OW OZW 0.01 1
      Soybean Calendar Spread Options Q1 12S, SZ5 0.01 1
      Corn Calendar Spread Options Q1 CZS, CZC 0.01 1
      Rough Rice RR OZR 0.001 1
      Soybean SQ OZS 0.01 1
      Wheat Calendar Spread Options W1 CZW, WC6 0.01 1
      MGEX Futures & Future Spreads
      National Corn Index IC IC 0.01 1
      Hard Red Winter Wheat Index IH IH 0.01 1
      Hard Red Spring Wheat Index IP IP 0.01 1
      National Soybean Index IS IS 0.01 1
      Soft Red Winter Wheat Index IW IW 0.01 1
      Hard Red Spring Wheat MW MWE 0.01 1
      KCBT Futures & Future Spreads
      Wheat KE KE 0.01 1

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

      More information on tag 9787-DisplayFactor is available in the  FIX/FAST Message Specifications module of the FIX/FAST SDK.

      DJIA ($10) Options Display Factor Change
      Effective Sunday, December 13 (trade date Monday, December 14), the Security Definition (tag 35-MsgType=d) messages for DJIA ($10) options will reflect the following corrections:

      • The fractional price indicator will be corrected to reflect that DJIA ($10) options use decimal prices (tag 871-InstAttribType=24; tag 872-InstAttribValue=12)
      • Tag 9787-DisplayFactor will be corrected to 1

      These changes will be available for customer testing in New Release this Monday, December 7.

      Events & Announcements

      Product Information XML File Update
      Effective Sunday, December 13, the Product Information XML files on the  CME Group ftp site will include a root element, as shown below. Current tags will also be cleaned up to better follow XML specifications. These changes will be made in both FuturesProductSuppData.xml and OptionsProductSuppData.xml.



      These files provide easy access to general product information for futures and options products in the production and New Release environments. These files contain data only for instruments cleared by CME Clearing.

      The New Release files will be updated for customer testing for Monday, December 7.