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Effective Sunday, September 18 (trade date Monday, September 19), pending completion of all regulatory review periods, event-based options contracts will be listed for trading on CME Globex. Event-based contracts are daily-expiring, cash settled, European Style options on futures contracts. Event-based contracts will provide access to some of our most recognized global products, including metals, energy, equities, and foreign currencies. Additionally, non-tradable underlying futures will be listed to support the new event-based options. Event-based contracts will be listed on a new MDP 3.0 channel. 

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

This topic provides an overview of the concepts with which clients must be familiar to process event-based contracts.


Contents

Revision History

DateDescription
March 30, 2022 Initial release

Key Events and Dates

DateMilestone
Now AvailableNew Release MDP 3.0 heartbeats for network connectivity testing and network configuration file update
Monday, April 4, 2022New Release launch
Sunday, May 1, 2022New production event-based contract network configuration and product information added to config.xml file
Sunday, May 1, 2022

Production MDP 3.0 heartbeats for network connectivity testing

Sunday, September 18, 2022

Production launch

MDP 3.0 Channel and Market Segment 

The new event-based contract channel is shown below. Market segment 74 is already available.

Channel ID

Name

Market Segment ID

MDP 3.0: Tag 1300-MarketSegmentID

329

Event-Based Contracts

74

Event-Based Contracts

The new event-based options contracts and the underlying non-tradable synthetic futures are shown below. The new event-based MDP channel will support multiple exchanges.  

Event Contracts and Synthetics

Product

MDP 3.0: tag 6937-Asset

iLink: tag 55-Symbol

MDP 3.0: tag 1151 - Security Group

Market Data Channel ID

MDP 3.0:  tag 1180-ApplID

Exchange

MDP 3.0: tag 207-SecurityExchange

Event Contract Options on E-mini S&P 500 Futures

ECES

VE

329

XCME

E-mini S&P 500 Futures Synthetic

ECES

0C

310

XCME

Event Contract Options on E-mini Nasdaq-100 Futures

ECNQ

VN

329

XCME

E-mini Nasadaq-100 Futures Synthetic

ECNQ

0B

318

XCME

Event Contract Options on E-mini Russell 2000 Futures

ECRTY

VR

329

XCME

E-mini Russell 2000 Futures Synthetic

ECRTY

0B

318

XCME
Event Contract Options on Euro/U.S. Dollar (EUR/USD) FuturesEC6EV6329XCME
Euro/U.S. Dollar (EUR/USD) Futures SyntheticEC6E02320XCME

Event Contract Options on Dow Jones Industrial Average Futures

ECYM

VM

329

XCBT

E-mini Dow Jones Industrial Average Futures Synthetic

ECYM

0B

342

XCBT

Event Contract Options on Gold Futures

ECGC

VG

329

XCEC

Gold Futures Synthetic

ECGC

0D

360

XCEC

Event Contract Options on Silver Futures

ECSI

VS

329

XCEC

Silver Futures Synthetic

ECSI

0D

360

XCEC

Event Contract Options on Copper Futures

ECHG

VH

329

XCEC

Copper Futures Synthetic

ECHG

0D

360

XCEC

Event Contract Options on Light Sweet Crude Oil Futures

ECCL

VC

329

XNYM

Light Sweet Crude Oil Futures Synthetic

ECCL

09

382

XNYM

Event Contract Options on Henry Hub Natural Gas Futures

ECNG

VA

329

XNYM

Henry Hub Natural Gas Futures Synthetic

ECNG

08

386

XNYM

Mass Quote Protections and Price Banding Functionality

Mass Quote Protections for event-based contracts will not include delta protections (Delta at Group Code, Delta at Aggregate Product Line, Delta at Product Line). The Mass Quote Protection system will treat event-based contracts as having a delta of zero, so any delta protection selected will never be triggered and should not be relied upon to manage risk. Other Mass Quote Protections, including Quote Fills (X), Executions (Y), Traded Quantity (Z), and Sides, will be available for event-based contracts.  Price Banding is also unsupported.

CME Reference Data API

To support event-based options contracts the following changes are being made to the CME Reference Data API service:

  • New subtype value. The new subtype value will only be eligible for Event-Based Contracts.
    • subtype=EVENT
  • New attribute fixedPayout. The new fixPayout will be populated "null" for non-Event-Based Contracts.
    • fixPayout = The fixed payout amount for any in-the-money strike.
  • New Relationship Link - Links the non-tradable futures product to the tradable futures product. The new referenceProduct will only be present for Event-Based Contracts.
    • referenceProduct 

Example: New Structure for Direct Link to Event-Based Options Contracts Tradable Product

The example below shows the direct link from the event-based options contracts non-tradable futures contract to the tradable futures contract.

"_links" : {

    "self" : {

      "href" : "https://api.refdata.cmegroup.com/v2/products/[guid] "

    },

    "overlyingProducts" : {

      "href" : "https://api.refdata.cmegroup.com/v2/products/[guid] /overlyings" 

    },

    "referenceProduct" : {

     "href" : "https://api.refdata.cmegroup.com/v2/products/[guid] " 

    },

"instruments" : {

      "href" : https://api.refdata.cmegroup.com/v2/products/[guid]/instruments  

    }

Network Configuration

This section describes the new network connection details for MDP 3.0, iLink and Drop Copy.

Existing Convenience Gateway (CGW) sessions will support event-based contracts.

Market Data

The upcoming connection IP and port impacts for the new event-based options contracts MDP 3.0 channel are shown below. Network configuration information for existing channels for synthetic contracts can be obtained via the network configuration file.

New Release Environment

Name

Channel ID

Environment

Feed

Multicast

Port

Source/Host IP

Event-based contracts - Incremental

329

NR

A

224.0.28.206

14329

69.50.112.95

Event-based contracts - Snapshot MBP

329

NR

A

224.0.28.208

14329

69.50.112.81

Event-based contracts - Snapshot MBO

329

NR

A

224.0.28.208

23329

69.50.112.96

Event-based contracts - Instrument Replay

329

NR

A

224.0.28.210

14329

69.50.112.108

Event-based contracts - Incremental

329

NR

B

224.0.28.207

15329

69.50.112.95

Event-based contracts - Snapshot MBP

329

NR

B

224.0.28.209

15329

69.50.112.81

Event-based contracts - Snapshot MBO

329

NR

B

224.0.28.209

22329

69.50.112.96

Event-based contracts - Instrument Replay

329

NR

B

224.0.28.211

15329

69.50.112.108

Production Environment

Name

Channel ID

Environment

Feed

Multicast

Port

Source/Host IP

Event-based contracts - Snapshot MBO

329

PROD

A

224.0.31.226

23329

205.209.222.158

Event-based contracts - Instrument Replay

329

PROD

A

224.0.31.227

14329

205.209.222.151

Event-based contracts - Incremental

329

PROD

A

224.0.31.224

14329

205.209.223.17

Event-based contracts - Snapshot MBP

329

PROD

A

224.0.31.225

14329

205.209.222.96

Event-based contracts - Snapshot MBO

329

PROD

A

224.0.31.226

23329

205.209.222.159

Event-based contracts - Instrument Replay

329

PROD

A

224.0.31.227

14329

205.209.222.152

Event-based contracts - Incremental

329

PROD

A

224.0.31.224

14329

205.209.221.19

Event-based contracts - Snapshot MBP

329

PROD

A

224.0.31.225

14329

205.209.222.97

Event-based contracts - Incremental

329

PROD

B

224.0.32.224

15329

205.209.212.16

Event-based contracts - Snapshot MBP

329

PROD

B

224.0.32.225

15329

205.209.213.68

Event-based contracts - Snapshot MBO

329

PROD

B

224.0.32.226

22329

205.209.214.68

Event-based contracts - Instrument Replay

329

PROD

B

224.0.32.227

15329

205.209.214.57

Event-based contracts - Incremental

329

PROD

B

224.0.32.224

15329

205.209.211.16

Event-based contracts - Snapshot MBP

329

PROD

B

224.0.32.225

15329

205.209.213.63

Event-based contracts - Snapshot MBO

329

PROD

B

224.0.32.226

22329

205.209.213.78

Event-based contracts - Instrument Replay

329

PROD

B

224.0.32.227

15329

205.209.213.74

MSGW iLink and Drop Copy

With this launch MSGW iLink and MSGW Drop Copy session clients systems will connect to market segment ID 74. MSGW iLink and MSGW Drop Copy network configuration information can be obtained via the following links:

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).

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