|Topics in this issue include:
|Critical System Updates|
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 are available in New Release for customer testing.
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.
NYMEX and DME Futures Enhancements
The messaging and functionality impacts are documented online in the Client Impact Assessment.
CME Group recommends all system providers supporting NYMEX 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 are available in New Release for customer testing.
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 futures is available for customer testing in New Release.
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 are available for New Release for customer testing.
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.
Below is the full list of Green products that are currently available in New Release for customer testing
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.
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 are available in New Release for customer testing.
Exchange Traded Funds (ETF) Delisting
Postponed - New Synthetic Future for Options on Eurodollar Calendar Spreads
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|
CME Globex Holiday Schedule
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Futures trading is not suitable for all investors, and involves risk of loss. Futures are a leverage instrument, and because only a percentage of a contract's value is required to trade, it is possible to lose more than the amount of money initially deposited for a futures product.
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