CME Group has determined that in the interests of saving quote vendor connection costs, CBOT metals will be migrated to the CME Market Data Platform at the end of February 2008 (specific date to be determined). As a result, all CBOT customers with BT Radianz connections to the CBOT network should terminate those connections by February 29, 2008 .
The MDP will support two channels for CBOT metals -- one will support top of book, and the other depth of market, both in the CBOT flavor of the ITC 2.1 specification . Channel definitions, IP addresses and Port information will be distributed as soon as they are available.
In addition, all Open Auction (floor-traded) Metals will be delisted, effective January 18, 2008 .
For assistance with disconnecting BT Radianz circuits, please contact Lakisha Speights at 312.338.7110, or email firstname.lastname@example.org.
The previously announced volatility-quoted FX options for trading on the CME Globex® electronic trading platform, originally scheduled to begin in February 2008, have been rescheduled to begin trading on March 9, 2008.
Volatility – based quoting facilitates “delta-neutral” trading, virtually eliminating the execution risk that is inherent to trading in premium-quoted options.
Volatility-quoted options will be available in both American- and European-style expiration on the following options products:
These products will be fully fungible with the existing premium-quoted FX options and futures.
The table in Exhibit 1, on the following page, details product and group code information for each product.
MDP Channel Information
Market data for foreign currency volatility-quoted options will be disseminated via the Market Data Platform as follows:
|Message Type||MDP Channel|
|ITC 2.1 Market Data||205|
|RLC Market Data||12|
Volatility Pricing Conventions
Please note that ITC 2.1 market data messages require no changes to support volatility-quoted options. Volatilities will be transmitted in the price field, and will be represented in decimal form; i.e. a volatility of 6 1/4% will be represented by .0625; this will be represented in the ITC 2.1 transmission format as 0006250, with a fractional indicator of 3, which will be interpreted as 6.250. For RLC messaging enhancements, please refer to the Volatility-Quoted Options Client Impact Assessment document.
Volatility-Quoted FX Options Codes
|Product||Expiration Style||Listing Term||Group Code||Product Code|
|Australian Dollar Volatility-Quoted Options||American||Monthly||3A||V6A|
|Australian Dollar Volatility-Quoted Options||American||Weekly||3A||VA(1-5)|
|British Pound Volatility-Quoted Options||American||Monthly||3B||V6B|
|British Pound Volatility-Quoted Options||American||Weekly||3B||VB(1-5)|
|British Pound Volatility-Quoted Options||European||Monthly||3B||VXB|
|British Pound Volatility-Quoted Options||European||Weekly||3B||VB(A-E)|
|Canadian Dollar Volatility-Quoted Options||American||Monthly||3C||V6C|
|Canadian Dollar Volatility-Quoted Options||American||Weekly||3C||VC(1-5)|
|Canadian Dollar Volatility-Quoted Options||European||Monthly||3C||VXC|
|Canadian Dollar Volatility-Quoted Options||European||Weekly||3C||VC(A-E)|
|Euro FX Volatility-Quoted Options||American||Monthly||3E||V6E|
|Euro FX Volatility-Quoted Options||American||Weekly||3E||VE(1-5)|
|Euro FX Volatility-Quoted Options||European||Monthly||3E||VXT|
|Euro FX Volatility-Quoted Options||European||Weekly||3E||VT(A-E)|
|Japanese Yen Volatility-Quoted Options||American||Monthly||3J||V6J|
|Japanese Yen Volatility-Quoted Options||American||Weekly||3J||VJ(1-5)|
|Japanese Yen Volatility-Quoted Options||European||Monthly||3J||VXJ|
|Japanese Yen Volatility-Quoted Options||European||Weekly||3J||VJ(A-E)|
|Swiss Franc Volatility-Quoted Options||American||Monthly||3S||V6S|
|Swiss Franc Volatility-Quoted Options||American||Weekly||3S||VS(1-5)|
|Swiss Franc Volatility-Quoted Options||European||Monthly||3S||VXS|
|Swiss Franc Volatility-Quoted Options||European||Weekly||3S||VS(A-E)|