Effective Monday, July 27, 2009, CME Group will introduce a new spread, Mixed Spread, (MX – spread type) for trading in the CME Group open outcry markets. This spread type will be disseminated via CME MDP Channels 3 and 100 in the ITC 2.1 Format.
In addition, CME Group will modify the current process of sending Category Code “t’ market data messages for open outcry spreads containing more than four legs. The 20-character Description field in the ITC spread message will contain “RTH SPRD” + indicate which leg of the spread for the given message.
Tickers tests will be conducted on Friday, July 17, 2009 and July 24, 2009 at 5:00pm over Channel 3 and Channel 100 of MDP for both of these changes. Please review sample messages of each spread change below.
Mixed spread type description and ITC 2.1 sample messages:
Spread type: MX
Number of legs: 2
Leg types: 2 option legs
Description1: Buy (or sell) near month put (or call), buy (or sell) deferred month call (or put) at different strikes, same or different quantity
Quote Basis: Total Premium Example:
N 390P- U 410C 122 pts 50 times
U 350P- Z 320P 170 pts 50 x 75 times
Description 2: Buy (or sell) month put (or call), sell (or buy) same or deferred month call (or put) at different strikes, in related commodities
Quote Basis: Net Premium Example:
4XM 1410P- 3XN 1430C 10 pts 105 times
EVM 850P- OSN 900P 2350 pts 50 times
aM Lt O00000060814020Rb RTH SPRD MX022 0000035+TD O EV U09P0075000+ESP Z09TU092 00025O CS Z09C0 077500+ASP Z09GZ092 00037c
aB Lt O00000020816110Rb RTH SPRD MX02E 0000016+TD O PY N09P0004100+AC N09PM09E 00500O PY Z09P0 004200+AC Z09JX09E 00250c
Spread Messages Containing more than 4 legs ITC 2.1 description sample messages:
Description: Generic spreads containing more than 4 legs will be disseminated with multiple messages with differing sequence numbers but containing the same ITC timestamp as the first part of the message.
Sample 1: Generic spread with 9 future legs. Each leg within the spread has a different price and quantity and are
linked together with “RTH SPRD – 1 OF 3”, “RTH SPRD – 2 OF 3” and “RTH SPRD – 3 OF 3”.
aB LA 800000081032130Rb RTH SPRD - 1 OF 3 GN032 0000010+TDF BO N09DN09 2 0000010+T 00001F BO Q09DQ09 2 0000020+T 00002F C N09DN09 E 0000030+T 00003c
aB LA 800000091032130Rb RTH SPRD - 2 OF 3 GN032 0000010+TDF C U09DU09 E 0000040+T 00004F O N09DN09 E 0000050+T 00005F O U09DU09 E 0000060+T 00006c
aB LA 800000101032130Rb RTH SPRD - 3 OF 3 GN032 0000010+TDF RR N09DN09 3 0000070+T 00007F RR U09DU09 3 0000080+T 00008F TY Z09KZ09 U 0000090+T 00009c
Sample 2: Generic spread with 6 option legs + 5 future legs. Each leg within the spread has a different price and quantity and are linked together with “RTH SPRD – 1 OF 3”, “RTH SPRD – 2 OF 3” and “RTH SPRD – 3 OF 3”.
aM LA 800000391113420Rb RTH SPRD - 1 OF 3 GN044 0001000-TDO PE M09P0910000+AED M09EM094 4 0001000-T 00001O CE M09C0910000+AED M09EM094 4 0002000+T 00002O PE U09P0920000+AED U09DU094 4 0003000-T 00003O CE U09C0920000+AED U09DU094 4 0004000+T 00004c
aM LA 800000401113420Rb RTH SPRD - 2 OF 3 GN044 0001000-TDO PE Z09P0930000+AED Z09DZ094 4 0005000-T 00005O CE Z09C0930000+AED Z09DZ094 4 0006000+T 00006F ED M09EM09 4 0007000-T 00007F ED U09DU09 4 0008000+T 00008c
aM LA 800000411113420Rb RTH SPRD - 3 OF 3 GN034 0001000-TDF ED Z09DZ09 4 0009000-T 00009F ED H10EH10 4 0010000+T 00010F EM M09EM09 4 0011000+T 00011c
Please refer to the attached text file for more examples spread messages containing more than 4 legs.
Please contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice.
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