|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.
Preliminary and Final Settlement Prices via FIX/FAST
The preliminary settlement prices are calculated based on market activity on all trading venues during the open outcry trading hours. They can be Actual or Net Change preliminary settlement prices based on whether the instruments are settled to their own activity or to another instrument’s settlement activity. Detailed information for preliminary settlement is available online.
The preliminary settlement data blocks will contain Tag 286-OpenCloseSettlFlag=100 or 101 to accurately identify the preliminary settlement price. These settlements are disseminated early Monday thru Friday to allow customers to prepare for the opening of the next trading day.
The final daily settlement prices are the official daily settlements published by CME Clearing and disseminated after the start of the next trading day on CME Globex, Monday through Thursday between 7:00 p.m. and 9:30 p.m. CT. Because final settlement prices for some instruments are not available until after 7:00 p.m. CT, not all final settlement prices are published in the Market Data Incremental Refresh (tag 35=X) on Fridays. Client systems should leverage the Security Definition (tag 35-MsgType=d) message upon Sunday startup to determine the most recent final settlement price in tag 1150-TradingReferencePrice.
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 NYMEX and DME futures enhancements launch on January 23, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these futures and futures spreads after their respective closes on Friday, January 21. After 16:15 CT on Friday, January 21, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).
GTC and GTD orders for NYMEX and DME futures and futures spreads may be re-entered during an extended pre-open period, starting at 15:00 CT, on Sunday, January 23. 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 NYMEX and DME 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 50%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 50%.
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.
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.
A mock trading session, to ensure customers can trade and receive market data for Green products in the CME Globex production environment, will be offered Saturday, January 22, 8:30 a.m. – 10:00 a.m. Central time. Detailed information for the mock trading session is now available online. Customers must register with their Global Account Manager to participate.
Please note: for the Green Exchange launch on January 23, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these futures and futures spreads after their respective closes on Friday, January 21. After 16:15 CT on Friday, January 21, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).
GTC and GTD orders for Green futures and futures spreads may be re-entered during the normal pre-open, starting at 16:15 CT, Sunday, January 23. 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.
Below is the full list of Green products that are currently available in New Release for customer testing
Options on Crude Oil Volatility Index (VIX) Futures
Effective Sunday, January 23 (trade date Monday, January 24), options on Crude Oil Volatility Index futures (VIX) will be listed for trading on CME Globex.
The Crude Oil Volatility Index (VIX) will be a 30-day forward looking index value on option implied volatility.
These options will be listed with tag 1151-SecurityGroup=CVP and tag 55-Symbol=VC.
The options on the Crude Oil Volatility (VIX) will be available for customer testing in New Release this Monday, January 10.
Options on Gold Volatility Index (VIX) Futures
Effective Sunday, January 23 (trade date Monday, January 24), options on Gold Volatility Index futures (VIX) will be listed for trading on CME Globex.
The Gold Volatility Index (VIX) will be a 60-day forward looking index value on options implied volatility.
These options will be listed with tag 1151-SecurityGroup=GVP and tag 55-Symbol=VG.
The options on the Gold Volatility Index (VIX) will be available for customer testing in New Release this Monday, January 10.
Weekly Treasury Options
Effective Sunday, January 23 (trade date, Monday, January 24), Weekly Treasury options will be listed for trading on CME Globex.
Weekly Treasury options (WTOs) provide users with increased flexibility in managing existing option positions, and new opportunities to trade high impact economic events, such as Treasury auctions and economic reports.
|Options||Tag 1151-SecurityGroup||Tag-55 Symbol|
|Ultra Bonds Week 1||UB1||UB|
|Ultra Bonds Week 2||UB2|
|Ultra Bonds Week 3||UB3|
|Ultra Bonds Week 4||UB4|
|Ultra Bonds Week 5||UB5|
|30-Year Treasury Bonds Week 1||ZB1||UZ|
|30-Year Treasury Bonds Week 2||ZB2|
|30-Year Treasury Bonds Week 3||ZB3|
|30-Year Treasury Bonds Week 4||ZB4|
|30-Year Treasury Bonds Week 5||ZB5|
|10-Year Treasury Notes Week 1||ZN1||TE|
|10-Year Treasury Notes Week 2||ZN2|
|10-Year Treasury Notes Week 3||ZN3|
|10-Year Treasury Notes Week 4||ZN4|
|10-Year Treasury Notes Week 5||ZN5|
|5-Year Treasury Notes Week 1||ZF1||0N|
|5-Year Treasury Notes Week 2||ZF2|
|5-Year Treasury Notes Week 3||ZF3|
|5-Year Treasury Notes Week 4||ZF4|
|5-Year Treasury Notes Week 5||ZF5|
|2-Year Treasury Notes Week 1||ZT1||N2|
|2-Year Treasury Notes Week 2||ZT2|
|2-Year Treasury Notes Week 3||ZT3|
|2-Year Treasury Notes Week 4||ZT4|
|2-Year Treasury Notes Week 5||ZT5|
3-month and 1-month FXVolContracts Futures and Spreads
Effective Sunday, February 6 (trade date Monday, February 7), the following 3-month and 1-month FXVolContracts (realized volatility futures and spreads) will be listed for trading on CME Globex.
These FX Realized Volatility products are defined as follows:
|Futures||Tag 1151-SecurityGroup||tag 55-Symbol|
|GBP/USD 3-month Realized Volatility futures and calendar spreads||36B||6B|
|CAD/USD 3-month Realized Volatility futures and calendar spreads||36C||6C|
|JPY/USD 3-month Realized Volatility futures and calendar spreads||36J||6J|
|CHF/USD 3-month Realized Volatility futures and calendar spreads||36S||6S|
|AUD/USD 3-month Realized Volatility futures and calendar spreads||36A||6A|
|EUR/USD 3-month Realized Volatility futures and calendar spreads||36E||6E|
|GBP/USD 1-month Realized Volatility futures and calendar spreads||16B||6B|
|CAD/USD 1-month Realized Volatility futures and calendar spreads||16C||6C|
|JPY/USD 1-month Realized Volatility futures and calendar spreads||16J||6J|
|CHF/USD 1-month Realized Volatility futures and calendar spreads||16S||6S|
|AUD/USD 1-month Realized Volatility futures and calendar spreads||16A||6A|
|EUR/USD 1-month Realized Volatility futures and calendar spreads||16E||6E|
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.). More information is available online.
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.
Pine Prairie Energy Center Natural Gas Futures
Effective Sunday, February 6 (trade date Monday, February 7), pending Federal Energy Regulatory Commission (FERC) approval of modifications to the Pine Prairie Energy Center’s FERC Gas Tariff seeking to add new pooling services for the delivery of the three contracts, the following new Pine Prairie Energy Center Natural Gas futures will be listed for trading on CME Globex:
These are normal fixed quantity contracts, however the contract size varies according to maturity. The quantity will be defined as:
Details on the original contract size are available online.
The Daily/Weekend (PPD) and BALMO (PPB) futures are daily contracts (tags 871=24, 872=19 in the Security Definition message).
These new futures will be available in New Release for customer testing this Monday, January 10.
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 are now available for customer testing in New Release.
User-Defined Spreads for E-mini S&P 500 and E-mini NASDAQ-100 Options
Please note: this change will have no impact on the tag 55-Symbol values for the outright options. Only the tag 55 values for the UDS are changing.
Expansion of Listings for Lean Hog Options
Expansion of TAS on Gold Silver and Copper Futures
These futures and calendar spreads will be available in New Release for customer testing this Monday, January 10.
Implied Functionality for CBOT Corn Futures and Mini-Sized Corn Futures
Implied functionality is indicated for every instrument on CME Globex in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator.
|Events & Announcements|
Messaging Policy Q1 Benchmarks
The benchmarks are published quarterly and are based on the per-product Volume Ratios, including the prior quarter's roll trading.
The CME Globex Messaging Policy creates fair business guidelines by which customers are billed a surcharge for overly high message rates. Under the CME Globex Messaging Policy, each clearing member firm (active or inactive clearing member firms which maintain relationships with CME Clearing) must not exceed product-specific benchmarks, tailored to the valid trading strategies of each market. CME Group calculates benchmarks based on a per-product Volume Ratio.
CME Group is currently reviewing the Messaging Policy and information regarding any future changes will be available via the Globex Notices.
Please contact your Global Account Manager with any questions.
CME Group and GreenX to Host Product Migration Teleconference
For more information and to register for the event, please contact Andrew Pisano.