• Market Data Notices: March 5, 2012

      • To
      • Market Data Distributors
      • From
      • Market Data Notices
      • #
      • 20120305
      • Notice Date
      • 05 March 2012
    • Topics in this issue include:
      New Functionality
      Product Launches
      Product Changes
      S&P Launches and Changes
      Events and Announcements
      New Functionality

      NEW User-Defined Spreads: Covereds Execution Enhancement
      Effective Sunday, March 25, 2012 (trade date Monday, March 26), the execution for User-Defined Spreads (UDS):Covereds will be enhanced to better ensure delta neutrality.

      Currently, in certain scenarios, the matching process may result in a Covered trade that is under- or over-allocated on the futures fills. Starting Sunday, March 25, 2012, the Covered matching algorithm will track executions of a resting order such that when the executed quantity of a customer's option order results in an accumulated delta futures allocation at or above 0.5, a futures contract is allocated to the next fill.

      The enhancement is scheduled for a phased launch as follows:

      • Sunday, March 25
        • CME FX Options
      • Sunday, April 1
        • CME Equity Options
        • CBOT Equity Index Options
        • CBOT Commodity Options
        • CME Commodity, Industrial Commodity and TRAKRS Options
        • KCBT Options
        • MGEX Options
      • Sunday, April 15
        • CME Interest Rate Options
        • CBOT Interest Rate Options
        • COMEX Options
        • Green Exchange Options
        • NYMEX Crude Options
        • NYMEX Non-Crude Energy Options

      We recommend all system providers supporting Covereds test this enhancement thoroughly in New Release. Details on UDS:Covereds functionality are available  online.

      Product Launches

      Copper Calendar Swap Futures
      Effective this Sunday, March 11 (trade date Monday, March 12), Copper Calendar Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      This contract is listed with, and subject to, the rules and regulations of COMEX.

      Please view the New Product Summary.


       

      Copper Average Price Options
      Effective this Sunday, March 11 (trade date Monday, March 12), Copper Average Price options will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      This contract is listed with, and subject to, the rules and regulations of COMEX.

      Please view the New Product Summary.


       

      RBOB Gasoline vs. Euro-bob Oxy (Argus) NWE Barges Swap Futures
      Effective this Sunday, March 11 (trade date Monday, March 12), RBOB Gasoline vs. Euro-bob Oxy (Argus) NWE Barges Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

      Please view the New Product Summary.


       

      Fuel Oil Crack Spread Futures
      Effective this Sunday, March 11 (trade date Monday, March 12), the following petroleum swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      • 3.5% Fuel Oil (Platts) Barges FOB Rdam Crack Spread BALMO Swap Futures
      • 3.5% Fuel Oil (Platts) FOB MED Crack Spread BALMO Swap Futures

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

      Please view the New Product Summary.


       

      Gasoline 10 ppm (Platts) FOB MED Crack Spread Swap Futures
      Effective this Sunday, March 11 (trade date Monday, March 12), Gasoline 10 ppm (Platts) FOB MED Crack Spread Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

      Please view the New Product Summary.


       

      Petroleum Swap Futures
      Effective this Sunday, March 11 (trade date Monday, March 12), the following petroleum swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      • Dated Brent (Platts) BALMO Swap Futures
      • 1% Fuel Oil (Platts) Cargoes CIF MED BALMO Swap Futures
      • 1% Fuel Oil (Platts) Cargoes FOB MED BALMO Swap Futures
      • Mini European Naphtha (Platts) BALMO Swap Futures
      • Mini Gasoline Euro-bob Oxy (Argus) NWE Barges Swap Futures

      These contracts are listed with, and subject to, the rules and regulations of NYMEX.

      Please view the New Product Summary.


       

      Update MGEX-CBOT Wheat Intercommodity Spread Options
      Effective Sunday, March 25 (trade date Monday, March 26), MGEX-CBOT Wheat Intercommodity Spread options will be listed for trading on the CME Globex platform, open outcry and CME Clearport.

      The MGEX-CBOT Wheat Intercommodity Spread options are unique hedging tools based on the price differentials between hard red spring wheat futures listed on the Minneapolis Grain Exchange, Inc. (MGEX) and soft red winter wheat futures on the Chicago Board of Trade (CBOT), which are the result of fundamental supply and demand factors and varying protein levels between these two distinct classes of wheat.

      MGEX-CBOT Wheat Intercommodity Spread Options

      Option tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      MGEX-CBOT Wheat Intercommodity Spread Options MCW CW W5

      In addition, a new synthetic future will be launched for the options on MGEX-CBOT Wheat Intercommodity Spread futures.

      The new future will have tag 1151-SecurityGroup=MCX and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

      The options (tag 1151=MCW) will identify MCX as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

      The MGEX-CBOT Wheat intercommodity spread options and synthetic future will be available for customer testing in New Release on Monday, March 12, 2012.

      Please view the New Product Summary.


       

      NEW NY ULSD (Argus) vs. Heating Oil Spread BALMO Swap Futures
      Effective Sunday, March 25 (trade date Monday, March 26), NY ULSD (Argus) vs. Heating Oil Spread BALMO Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

      Please view the New Product Summary.


       

      NEW Midwest ISO Michigan Hub Electricity Futures
      Effective Sunday, March 25 (trade date Monday, March 26), the following Midwest ISO Michigan Hub Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

      • Midwest ISO Michigan Hub 5 MW Peak Calendar-Month Day-Ahead Swap Futures
      • Midwest ISO Michigan Hub 5 MW Off-Peak Calendar-Month Day-Ahead Swap Futures

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

      Please view the New Product Summary.


       

      European Union Aviation Allowance Futures
      Effective Sunday, April 1 (trade date Monday, April 2), the GreenX European Union Aviation Allowance (EUAA) futures will be listed on Green Exchange and available via CME Globex.

      These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

      European Union Aviation Allowance

      Future tag 1151-SecurityGroup tag 55-Symbol
      European Union Aviation Allowance Futures FLY VX

      This product will be available for customer testing in New Release Monday, March 19.


      NEW December vs. December Wheat Calendar Spread Option (CSO)
      Effective Sunday, April 1 (trade date Monday, April 2), options on the December vs. December Wheat futures calendar spread will be listed for trading on the CME Globex platform and open outcry.

      December vs. December Wheat Calendar Spread Option (CSO)

      Option tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      Dec vs. Dec Wheat CSO CWZ W1 W2

      In addition, a new synthetic future will be launched for the options on December vs. December Wheat future calendar spread.

      The new future will have tag 1151-SecurityGroup=CWZ and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

      The options (tag 1151=CWZ) will identify CWZ as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

      The December vs. December Wheat calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 19.


      NEW May vs. November Soybean Calendar Spread Option (CSO)
      Effective Sunday, April 1 (trade date Monday, April 2), options on the May vs. November Soybean futures calendar spread will be listed for trading on the CME Globex platform and open outcry.

      May vs. November Soybean Calendar Spread Option (CSO)

      Option tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      May-Nov Soybean CSO SC7 Q1 Q2

      In addition a new synthetic future will be launched for the options on May vs. November Soybean future calendar spread.

      The new future will have tag 1151-SecurityGroup=SC7 and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

      The options (tag 1151=SC7) will identify SC7 as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

      The May vs. November Soybean calendar spread option and synthetic future will be available for customer testing in New Release on Monday, March 19.


      NEW S&P Case-Shiller Home Price Index Options
      Effective Sunday, April 1 (trade date Monday, April 2), pending all relevant CFTC regulatory review periods, the following S&P Case Schiller Home Price Index options will be listed for trading on CME Globex.

      S&P Case Shiller Home Price Index Options

      Option tag 1151-SecurityGroup tag 55-Symbol (Outrights) tag 55-Symbol (UDS)
      Composite Home Price Indices Options CUS A7 A8
      Chicago Home Price Indices Options CHI A7 A8
      Los Angeles Home Price Indices Options LAX A7 A8
      New York Home Price Indices Options NYM A7 A8

      These options will be available in New Release for customer testing on Monday, March 12.

      These contacts are listed with, and subject to, the rules and regulations of CME.

      Product Changes

      Implied Functionality for GreenX InterCommodity Spreads
      Effective this Sunday, March 11, 2012 (trade date Monday, March 12), implied functionality will be enabled for the following GreenX intercommodty spreads:

      Implied Functionality for GreenX InterCommodity Spreads

      Spreads tag 1151-SecurityGroup tag 55-Symbol
      In Delivery Month Certified Emission Reduction (CER) Futures Contract vs. In Delivery Month European Union Allowance (EUA) Futures CRE VX
      In Delivery Month Certified Emission Reduction (CER) Futures Contract vs. In Delivery Month European Union Allowance (EUA) Futures CRE
      Certified Emission Reduction Plus (CERplusSM) Futures vs. In Delivery Month European Union Allowance (EUA) Futures CPL

      Implied functionality for the GreenX intercommodty spreads are currently available in New Release for customer testing.

      These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.


      FIX tag 55-Symbol Changes for Energy Futures and Futures Spreads
      Effective this Sunday, March 11, the FIX tag 55-Symbol values for the following Energy futures and futures spreads will be changed as follows:

      FIX tag 55-Symbol Changes for Energy Futures and Futures Spreads

      Futures Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      Crude Volatility Index CVF OP CM
      European Gasoil (ICE) GLI
      New York Harbor Ethanol QEN
      Gulf Coast Gasoline LR
      Gulf Coast Harbor ULSD LU
      Intercommodity Spreads LR:LU
      ASCI Financial A0X
      REBCO RE

      Market Data Platform channels and implied functionality will not be impacted.

      These changes are currently available in New Release for customer testing.


      Expansion of Contract Month Listing for NY ULSD (Argus) vs. Heating Oil Spread Swap
      Effective this Sunday, March 11 (trade date Monday, March 12), CME Group will expand the listing of contract months for NY ULSD (Argus) vs. Heating Oil Spread Swap futures (7Y) through March 2013, pending receipt of required regulatory approvals.

      The NY ULSD (Argus) vs. Heating Oil Spread Swap futures are listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.


      Heating Oil Last Day Financial Futures
      Effective this Sunday, March 11 (trade date Monday, March 12), CME Group will expand the listing of contract months for Heating Oil Last Day Financial futures (23) through April 2013, pending receipt of required regulatory approvals.

      The Heating Oil Last Day Financial p futures are listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.


      FIX tag 55-Symbol Changes for 3-Year Eurodollar Mid-Curve Options
      Effective Sunday, March 18, the FIX tag 55-Symbol values for the 3-Year Eurodollar Mid-Curve options will be changed as follows:

      FIX tag 55-Symbol Changes for 3-Year Eurodollar Mid-Curve Options

      Futures Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      3-Year Eurodollar Mid-Curve Options GE3 E2 E3

      To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options after their close on Friday, March 16. After 16:00 CT on Friday, March 16 all remaining GTC and GTD orders for these products will be cancelled by the CME Group Global Command Center (GCC).

      This change is currently available for in New Release customer testing.


      Butterfly Spreads on Energy Futures
      Effective Sunday, March 25 (trade date Monday, March 26), butterfly spreads will be listed on CME Globex for the following futures:

      Butterfly Spreads on Energy Futures

      Futures Tag 1151-SecurityGroup
      New York Harbor (ULSD) Futures LH
      RBOB Gasoline Futures RB
      New York Harbor No. 2 Heating Oil Futures HO

      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  Trading Services. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. These energy butterfly spreads will not support implied functionality.

      These contacts are listed with, and subject to, the rules and regulations of NYMEX.

      The energy butterfly spreads will be available for customer testing in New Release on Monday, March 12.


      Additional Listings for In Delivery Month European Union Allowance (EUA) Options
      Effective Sunday, March 25, 2012 (trade date Monday, March 26), the following December maturities in GreenX In Delivery Month European Union Allowance (EUA) options (tag 1151-SecurityGroup=EAX) will be listed on Green Exchange and available via CME Globex.

      • DEC 2016
      • DEC 2017
      • DEC 2018
      • DEC 2019
      • DEC 2020

      These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

      These contracts will be available in customer testing in New Release on Monday, March 12.

      S&P Launches and Changes

      New S&P Real-time Indexes
      Effective this Monday, March 12, CME Group will begin disseminating the new index detailed below. This index will be transmitted every 15 seconds.

      New S&P Real-time Indexes

      Index Name Tag-55
      Symbol
      Dissemination
      Times
      Fee
      Liable
      Currency
      S&P 400 Daily Risk Control 15% Index TR SPM15UT 8:30 to 16:30 CT XF USD

       
      Events & Announcements

      Eris Exchange Market Data Available via Streamlined FIX/FAST
      Starting this Monday, March 12, CME Group will begin disseminating Eris Exchange market data in streamlined FIX/FAST.

      Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a dedicated message specification distinct from the CME Globex FIX/FAST format and new templates.

      The following Eris Exchange market data will be available via streamlined FIX/FAST:

      • Order Books in Market by Order (MBO) Format
      • Trades
      • Security Definitions
      • Request for Quotes (RFQs)

      Eris Exchange market data is currently available for customer testing in the New Release.

      Mandatory certification via AutoCert+ is required for customers wishing to receive streamlined FIX/FAST market data for the Eris Exchange.

      Detailed information for Eris market data via streamlined FIX/FAST is available.

      The  Eris Exchange is a Designated Contract Market (DCM) for USD Interest Rate Swap Futures that provides liquidity and anonymity to their customers. The trades are futures contracts which replicate the cash flows associated with OTC Interest Rate Swaps. The futures contracts consist of plain-vanilla transaction terms for date and rate flexibility. Trades are cleared through CME Clearing.

      These products are being made available to authorized and licensed customers of the Eris Exchange for dissemination through the CME Market Data Platform (MDP); however they are not available for trading on CME Globex.

Futures & Options Trading

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

Idea Exchange

Idea Exchange is your direct link to the product managers, marketers, and the development teams who create cmegroup.com and will allow you to review functionality, participate in focus and provide feedback on upcoming Web initiatives

Idea Exchange - Join Our User Focus Program

Contact Us

CME Group/Chicago HQ:
Local: +1 312 930 1000
Toll Free: +1 866 716 7274

Global Customer Contacts

More CME Group Direct Lines
Phone list by department

Global Partnerships

Global

Global Offices Contact Information

 
Calgary Houston Chicago New York Washington São Paulo Belfast London Singapore Hong Kong Seoul Tokyo Beijing

© 2014 CME Group Inc. All rights reserved.

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, and COMEX.