|Topics in this issue include:
|Critical System Updates|
New Mandatory iLink Tags
To ensure customer readiness CME Group recommends the following action items must be completed prior to the June 5, deadline:
These tags are available in New Release for customer testing. There are no impacts to FIX/FAST market data with this launch. Please contact your Global Account Manager with any questions.
Please see the updated Client Impact Document for a more detailed description of technical and data requirements.
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 are currently available for customer testing in New Release.
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.
Green Exchange CERplus Futures and Intercommodity Spreads
The CERplusSM products are defined as follows:
The CERplusSM Futures contract will be an additional contract offering to the existing Green Exchange IDM CER Futures contracts. Existing IDM CER contracts with Open Interest for 2011 and 2012 maturities will not be affected by the introduction of the CERplusSM. The CERplusSM Futures contract will initially be listed for delivery in December 2013 maturity.
The intercommodity spreads will use the value IS in tag 762-SecuritySubType.
These products will be available for customer testing in New Release Monday, February 14.
CERplus is a trademark of Green Exchange LLC, used under license.
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|
Postponed: Implied Delay Functionality for Grain Futures
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.