|Topics in this issue include:
|Critical System Updates|
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
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 this Friday, January 21. After 16:15 CT this 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, this 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 this 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 this Friday, January 21. After 16:15 CT this 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, this 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
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) are currently available for customer testing in New Release.
Options on Gold Volatility Index (VIX) Futures
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) are currently available for customer testing in New Release.
Weekly Treasury Options
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.
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 this Monday, January 24.
Pine Prairie Energy Center Natural Gas Futures
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 are currently available in New Release for customer testing.
Expansion of TAS on Gold Silver and Copper Futures
The TAS Copper futures are currently available in New Release for customer testing.
Implied Corn Spreads Reinstated
From the beginning of this test, market performance was monitored against a wide range of objective measurement criteria to determine changes in the market. Unless there were clear improvements in the market, the assumption was that the implied spreading functionality would be reinstated at the end of the trial period.
Based on our assessment of this data and customer feedback, it is our intention to reinstate the implied spreading functionality effective January 31, 2011.
CME Group will continue to look at methods of improving market quality including consideration of a partial implied spreading functionality where implieds provide support only to back month contracts. We will provide the market with significant advance notice before testing this or other potential modifications.
Butterfly Spreads on Crude Oil Futures
Twelve one-month and two six-month butterfly spreads will be available upon launch.
Butterfly spreads consists of three instruments within the same product and with equally distributed maturity months (e.g., M2-U2-Z2). Further details are available in the Electronic Trading Concepts. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. Crude Oil butterfly spreads will not support implied functionality.
Crude Oil butterfly spreads is currently available for customer testing in New Release.
|Events & Announcements|
Implied Delay Functionality for Grain Futures
The change will be available for testing in the New Release environment starting this Monday, January 24.
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.
Details on the process are available online. An e-mail notification will be distributed to Class A clearing firms on Monday, January 31. Class A clearing firms will have 30 days to review their idle session IDs. All idle session IDs will be deleted at end of day March 4.