• CME Globex Notices: January 20, 2015

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Account Management
      • #
      • 20150120
      • Notice Date
      • 20 January 2015

      Topics in this issue include:

      New - Ratio Calendar Spread for Treasury Bond Futures

      Effective Sunday, February 15 (trade date Tuesday, February 17), due to unique changes in the deliverable basket affecting the upcoming March-June Treasury Bond (ZB) calendar roll, a new reduced-tick ratio calendar spread will be listed for trading on CME Globex. The March-June 2015 Treasury Bond Futures Roll: Mind the Gap is available now for more information.

      This spread is a reduced tick calendar spread with the usual quarter-32nd tick, but with a leg ratio of 3:2. The details of the spread are included in the Security Definition message as defined below.

      Product FIX/FAST and iLink: tag 1151-Security Group
      MDP 3.0: tag 6937-Asset
      FIX/FAST and iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Tag 762-SecuritySubType Tag 623-
      Treasury Bond Reduced-Tick Ratio Calendar Spread ZBX ZB RT Front Leg: 3
      Back Leg: 2

      This spread will not be implied and will not be SLEDS eligible.

      The ratio spread will be listed alongside the current Reduced Tick calendar spread. Trade leg assignment and spread pricing differences are outlined in the following scenarios:

      • ZBH5 is priced at 150.0 (1500)
      • ZBM5 is priced at 165.0 (1650)
      • The Reduced Tick calendar spread ZBH5-ZBM5 trades at -15.0 (-15000)
        • Front leg – deferred leg
        • (150.0 – 165.0) = -15.0
      • The Reduced-Tick Ratio calendar spread ZBXH5-ZBXM5 trades at 120.0 (120000)
        • (Front leg*3)-(deferred leg*2)
        • ((150.0*3)-(165.0*2)) = 120.0

      The reduced-tick ratio calendar spread is currently available for testing in the New Release environment.

      New - New Release and Certification Availability

      The New Release and Certification environments will be unavailable for customer testing and certification starting midnight tonight. The environments will be available per their normal schedule at noon Central time, Monday, January 26.

      Please contact Certification Support for Electronic Trading (CSET) with any questions in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.