|Topics in this issue include:
|Critical System Updates|
Expanded Security Definition Messages for User-Defined Spreads
New tags for UDS Security Definition Messages
In addition, tag 600-LegSymbol, in the repeating group tag 555-NoLegs, will now identify the Symbol (tag 55) for each leg. Currently, tag 600 always contains [N/A].
The expanded Security Definition messages will be launched according to the following schedule:
There will be no template changes for this launch.
The expanded Security Definition messages are currently available for customer testing in the New Release environment.
The new data blocks will allow customer systems to differentiate actual final settlement prices (based on the trading day’s market activity) from theoretical final settlement prices (based on CME Clearing calculations). Theoretical settlement prices are only sent for instruments without an actual settlement price.
The theoretical settlement data blocks are similar to the settlement price data blocks, and will contain the following tags and values:
These new Theoretical Settlement data blocks will be available in New Release for customer testing this Monday, December 13.
Based on customer feedback, the requirements have been updated and clarified to be more easily supported by system providers. A summary of the clarifications are captured below.
The new tags will be used to indentify:
All customer order routing systems must support and accurately populate these new tags, and complete the mandatory certification via AutoCert+ by June 5.
The new tags are available in New Release for customer testing.
There are no impacts to FIX/FAST market data with this launch.
Please see the updated Client Impact Document for a more detailed description of technical and data requirements.
Please note: for the COMEX futures enhancements launch on December 12, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these COMEX futures and futures spreads after their respective closes this Friday, December 10. After 16:15 CT on Friday, December 10, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).
GTC and GTD orders for COMEX futures and futures spreads may be re-entered during an extended pre-open period, starting at 15:00 CT, this Sunday, December 12. TAS products will pre-open at their normal time, 16:15 CT. If you have any questions, please contact the CME Globex Control Center at 312.456.2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.
In internal testing environments, the enhancements for COMEX have resulted in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink and FIX/FAST response times by an average of 30%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 30%.
The messaging and functionality impacts are documented online in the Client Impact Assessment.
CME Group recommends all system providers supporting NYMEX, COMEX or DME futures test these changes thoroughly in New Release.
European Union Allowance Daily vs. In Delivery Month Intercommodity Spreads
The intercommodity spreads will use the value IS in tag 762-SecuritySubType.
These are intercommodity spreads between a daily and a monthly future. The spreads will be listed and expired according to the daily future’s schedule.
These new futures spreads will be available in New Release for customer testing this Monday, December 13.
Henry Hub Natural Gas Look-Alike Penultimate Financial Futures
A new intercommodity spread will also be listed for the Henry Hub Natural Gas futures (tag 1151=HH) vs. the Henry Hub Natural Gas Look-Alike Penultimate Financial futures (tag 1151=HP). These intercommodity spreads will be listed with tag 762-SecuritySubType=IS.
The Henry Hub Natural Gas Look-Alike Penultimate Financial future will be available for customer testing in New Release this Monday, December 13, 2010.
3 Additional FX E-micro Futures Contracts on CME Globex
The FX E-Micros are a series of innovative smaller-sized FX contracts, designed to enable retail traders and investors to cost-effectively access the security, transparency and liquidity of CME Group's FX products. The FX E-micro contracts will be one-tenth the size of the corresponding FX contracts, making them accessible to active individual traders, small Commodity Trading Advisers (CTAs), and Small Medium Enterprises (SMEs).
3-Year Eurodollar Mid-Curve Options
Eurodollar Mid-Curve options provide a wide variety of hedging and trading opportunities on the mid-range of the yield curve. Because they are short-dated, they offer a low premium, high time decay option alternative for trading this part of the curve. These new 3-Year Mid-Curve options will be listed with quarterly expirations.
These options will be available for New Release for customer testing this Monday, December 13, 2010.
Green Exchange Product Migration
As previously announced, following the Transition, Green futures products will continue to be available for trading via CME Globex and privately-negotiated transactions accepted for submission for clearing through CME ClearPort. In addition, with the Transition, ten Green options products (currently available for trading on the New York trading floor) will be transitioned to and newly listed for trading on the CME Globex platform.
3-month and 1-month FXVolContracts Futures and Spreads
These FX Realized Volatility products are defined as follows:
These are the first futures contracts that offer direct trading of FX volatility. FX VolContracts allow participants to buy or sell FX volatility without the complexity of managing standard options positions, and without the necessity of forming a strong directional view on the underlying.
The contracts are valued at $1,000 times the computed realized volatility for the specific time period. They are quoted as an annualized standard deviation in minimum increments of 0.01% (i.e., one may quote the contract as 12.52; 12.53; 12.54, 12.55, 12.56, etc.).
The calendar spreads will use the value SP in tag 762-SecuritySubType.
These products will be available for customer testing in New Release Monday, January 24.
FIX tag 55-Symbol Change for E-mini S&P SmallCap 600 Futures
The E-mini S&P SmallCap 600 (SMC) with the new tag 55 value is now available in New Release for customer testing.
Early Listing for In Delivery Month European Union Allowance Futures
Listing Rules for 2-Year Eurodollar Mid-Curve Options
With this change, the listing cycle will be four quarterly contracts plus two additional serial months.
These additional 2-Year Eurodollar Mid-Curve options will be available in New Release for customer testing this Monday, December 13, 2010.
New Synthetic Future for Options on Eurodollar Calendar Spreads
The new future will have tag 1151-SecurityGroup=SPX and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.
The options (tag 1151=SPO) will identify SPX as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.
Grain Options Listing Changes
For options on Soybean Meal futures (tag 1151=OZM), strikes will be listed at $5 per ton intervals for the first maturity month only. Soybean Meal options currently list the reduced strike intervals for strike prices less than $200 per ton; with this change, for the front month only, the reduced intervals will be listed for the entire strike range.
Expansion of Listings for Brazilian Real Futures
This change will make the contract listings at CME Group consistent with the expanded contract listings recently announced at the Singapore Exchange (SGX), and preserve customers' ability to capitalize on the Mutual Offset System (MOS) agreement between CME and SGX.
The new future quarterly contracts will be available for customer testing in New Release on Monday, December 20.
|Events & Announcements|
Settlement Prices via FIX/FAST On Fridays
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CME Co-Location Services Details
If you are interested in having the lowest possible latency connection to the CME Globex platform, contact your Global Account Manager today.
Learn more about CME Co-Location Services, visit www.cmegroup.com/colo
To request additional information and to apply, please contact your Global Account Manager at +1.312.634.8700 in the United States; +44.20.7796.7100 in Europe; and +65.6593.5574 in Asia.
For your convenience, the CME Co-Location Briefing Center is now open and located at 141 West Jackson in Chicago, IL.
The Briefing Center includes displays of:
Conference room facilities are also available.
To access the Briefing Center, an appointment is needed. Please contact your Global Account Manager for further information and to schedule an appointment today.