Volatility-Quoted Options Messaging Changes

This section describes the message-level changes to iLink order entry and MDP3.0 market data messaging in support of volatility-quoted options.

iLink Order Entry Detailed Impacts

iLink order entry messaging changes include:

New Order or Order Cancel Replace Request

For order entry purposes, the New Order or Order Cancel Replace Request (tag 35-MsgType=D or G) message handles the volatility value in the same manner as a standard price. Conversion from volatility to premium value occurs at match. The premium value is sent in the corresponding Execution Report (tag 35-MsgType=8) messages.

Tag 44-Price is populated in volatility terms and must comply with tick rules for the volatility value(s) expressed.

For purposes of order entry and price display, a 10.1 volatility value indicates a .101 volatility value on CME Globex for the option pricing in mathematical terms. Therefore, client systems should not send 0.20000 to represent 20.000 volatility value; CME Globex would reject such a value.

Tag	FIX Name	Req	Type	Description
44	Price	Y	Price (20)	Required. This is the volatility-quoted value for the option. Matching occurs with this value. A zero (0) or negative price will be rejected. Prices outside price-banding values will be rejected. Off-tick prices will be rejected.

Y = FIX required

Execution Report - Fill Notice

When CME Globex sends Execution Reports for volatility-quoted options trades (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2), the first Execution Report contains the volatility value in tag 31-LastPx. The subsequent Execution Report(s) associated with that trade will contain the calculated premium price in tag 31-LastPx.

Volatility-Quoted Options Execution Report

Tag	FIX Name	Req	Type	Description
31	LastPx	Y*	Price (20)	Will contain the volatility value

Premium-Quoted Options Execution Report

Tag	FIX Name	Req	Type	Description
31	LastPx	Y*	Price (20)	Will contain the calculated premium price.
810	UnderlyingPX	Y*	Price (20)	Price for the future used in calculating the conversion of volatility to premium for the option.
811	OptionDelta	Y*	Float (6,2)	Calculated delta, expressed as a decimal between -1 and 1.
1188	Volatility	Y	String (20)	Annualized volatility for option model calculations.
1189	ExpirationTimeValue	Y	Float	This value is expressed as a decimal portion of a year, typically the days to expiration divided by the days in a year. Currently the year assumption is 365.
1190	RiskFreeRate	Y*	Price (20)	Daily interest rate based on the settlement price of the previous day's Eurodollar futures front month quarterly (or 100 minus the previous day's Eurodollar front month quarterly settlement price). If the front month Eurodollar future is the quarterly month, then the next quarterly futures settlement price will be used. CME Globex divides the difference by 100 and the resulting quotient is the input into its options pricing model. Conditionally required for premiums; not required for volatility.

Y = FIX required Y* = CME required

New Values for Cancel Type Indicator

New values will be added to Cancel Reason on the following outbound application iLink messages:

Order Cancel Execution Report (tag 35-MsgType=8, tag 39-OrdStatus=4)
Quote Cancel Acknowledgment (tag 35-MsgType=b, tag 297-QuoteAckStatus=3)

Tag	FIX Name	Req	New Values	Type	Description
378	ExecReinstatementReason	N	108	Int(3)	Cancel due to the volatility-quoted option's resting order quantity is less than the minimum lot size
9775	UnsolicitedCancelType	N	I	Char(1)	Quotes cancelled due to the volatility-quoted options' resting quantity is less than the minimum lot size

N = Not required

Sample iLink Messages for Volatility-Quoted Options Trades

Volatility-Quoted Option New Order Buy (35=D)

8=FIX.4.2|9=222|35=D|11=MKL608|21=1|34=608|38=100|40=2|1=TEST_ACCOUNT|44=13|49=MKL197N|50=DUMMY|52=20160616-15:52:38.999|54=1|55=3A|56=CME|57=G|59=0|1091=N|60=20160616-15:52:38.999|107=V6AN6 P0730|142=Brio|1028=N|204=1|9702=3|9717=MKL608|10=149|

Volatility-Quoted Option New Order Buy Acknowledgment - Execution Report (35=8)

8=FIX.4.2|9=309|35=8|34=937|369=608|52=20160616-15:52:39.271|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL608|14=0|17=76363:2010|20=0|37=7611708607|38=100|39=0|40=2|41=0|44=13|48=475586|54=1|55=3A|59=0|60=20160616-15:52:39.256|107=V6AN6 P0730|150=0|151=100|167=OPT|432=20160616|1028=N|1091=N|9717=MKL608|10=194|

Volatility-Quoted Option New Order Sell (35=D)

8=FIX.4.2|9=222|35=D|11=MKL609|21=1|34=609|38=100|40=2|1=TEST_ACCOUNT|44=13|49=MKL197N|50=DUMMY|52=20160616-15:52:44.273|54=2|55=3A|56=CME|57=G|59=0|1091=N|60=20160616-15:52:44.273|107=V6AN6 P0730|142=Brio|1028=N|204=1|9702=3|9717=MKL609|10=117|

Volatility-Quoted Option New Order Sell Acknowledgment - Execution Report (35=8)

8=FIX.4.2|9=309|35=8|34=938|369=609|52=20160616-15:52:44.521|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL609|14=0|17=76363:2011|20=0|37=7611708608|38=100|39=0|40=2|41=0|44=13|48=475586|54=2|55=3A|59=0|60=20160616-15:52:44.513|107=V6AN6 P0730|150=0|151=100|167=OPT|432=20160616|1028=N|1091=N|9717=MKL609|10=187|

Volatility Quoted Option Sell - Trade Execution Report (35=8)

8=FIX.4.2|9=409|35=8|34=939|369=609|52=2016061615:52:44.533|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL609|14=100|17=76363:M:155TN0000004|20=0|31=13|32=100|37=7611708608|38=100|39=2|40=2|41=0|44=13|48=475586|54=2|55=3A|59=0|60=20160616-15:52:44.513|75=20160616|107=V6AN6 P0730|150=2|151=0|167=OPT|337=TRADE|375=CME000A|393=2|432=20160616|442=3|527=7611708608201606164|1028=N|1057=Y|1091=N|9717=MKL609|10=144|

Premium Quoted Option Sell - Trade Execution Report (35=8)

8=FIX.4.2|9=413|35=8|34=940|369=609|52=2016061615:52:44.533|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL609|14=100|17=76363:M:157TN0000007|20=0|31=11.72|32=100|37=7611708608|39=2|40=2|41=0|48=206108|54=2|55=ZA|60=2016061615:52:44.513|75=20160616|107=6AN6 P0730|150=2|167=OPT|337=TRADE|375=CME000A|442=2|527=7611708608201606164|810=7600|811=-0.1006091|1028=N|1188=13|1189=0.060274|1190=0.00765|9717=MKL609|10=102|

Future Sell - Trade Execution Report (35=8)

8=FIX.4.2|9=344|35=8|34=941|369=609|52=20160616-15:52:44.533|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL609|14=0|17=76363:M:159TN0000004|20=0|31=7600|32=10|37=7611708608|39=2|40=2|41=0|48=174033|54=2|55=6A|60=20160616-15:52:44.513|75=20160616|107=6AU6|150=2|167=FUT|337=TRADE|375=CME000A|442=2|527=7611708608201606164|1028=N|9717=MKL609| 10=107|

Volatility Quoted Option Buy - Trade Execution Report (35=8)

8=FIX.4.2|9=409|35=8|34=942|369=609|52=2016061615:52:44.534|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL608|14=100|17=76363:M:154TN0000004|20=0|31=13|32=100|37=7611708607|38=100|39=2|40=2|41=0|44=13|48=475586|54=1|55=3A|59=0|60=20160616-15:52:44.513|75=20160616|107=V6AN6 P0730|150=2|151=0|167=OPT|337=TRADE|375=CME000A|393=2|432=20160616|442=3|527=7611708607201606164|1028=N|1057=N|1091=N|9717=MKL608|10=122|

Premium Quoted Option Buy - Trade Execution Report (35=8)

8=FIX.4.2|9=413|35=8|34=943|369=609|52=20160616-15:52:44.534|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL608|14=100|17=76363:M:156TN0000007|20=0|31=11.72|32=100|37=7611708607|39=2|40=2|41=0|48=206108|54=1|55=ZA|60=20160616-15:52:44.513|75=20160616|107=6AN6 P0730|150=2|167=OPT|337=TRADE|375=CME000A|442=2|527=7611708607201606164|810=7600|811=-0.1006091|1028=N|1188=13|1189=0.060274|1190=0.00765|9717=MKL608|10=100|

Future Buy - Trade Execution Report (35=8)

8=FIX.4.2|9=344|35=8|34=944|369=609|52=20160616-15:52:44.534|49=CME|50=G|56=MKL197N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=MKL608|14=0|17=76363:M:158TN0000004|20=0|31=7600|32=10|37=7611708607|39=2|40=2|41=0|48=174033|54=1|55=6A|60=20160616-15:52:44.513|75=20160616|107=6AU6|150=2|167=FUT|337=TRADE|375=CME000A|442=2|527=7611708607201606164|1028=N|9717=MKL608| 10=105|

MDP 3.0 Market Data Detailed Impacts

This section provides the message-level conisderations for Volatility-Quoted options on MDP 3.0.

Market Data Channels and Book Depth

The volatility-quoted option market by price will be published to a 3-deep level on the following channels.

CME Globex FX Options	MDP 3.0 Channel
AUD/USD (Australian Dollar)	315
CAD/USD (Canadian Dollar)	321
CHF/USD (Swiss Franc)	315
EUR/USD (Euro FX)	321
GBP/USD (British Pound)	315
JPY/USD (Japanese Yen)	315

MDP 3.0 Security Definition (tag 35-MsgType=d) Message

When tag 871-InstAttrbType=24 and tag 872-InstAttribValue bit 12 (i.e. position 13) is set to 1 in the Security Definition (tag 35-MsgType=d) message, the instrument is volatility-quoted option eligible.

The → symbol indicates a repeating group tag.

Tag

FIX Name

Req

Type

Description

870

NoInstAttrib

Y

NUM_IN_GROUP

Number of repeating group InstrAttribType entries.

Indicates number of repeating groups and length of each repeating group in the message.

871

→InstAttribType

Y

INT

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

872

→InstAttribValue

Y

STRING

Bitmap field of 32 Boolean type indicators:

0 (least significant bit): Electronic Match Eligible

1: Order Cross Eligible

2: Block Trade Eligible

3: EFP Eligible

4: EBF Eligible

5: EFS Eligible

6: EFR Eligible

7: OTC Eligible

8: iLink Mass Quoting Eligible

9: Negative Strike Eligible

10: Negative Price Eligible

11: Is Fractional (indicates product has fractional display price)

12: Volatility Quoted Option

13: RFQ Cross Eligible

14: Zero Price Eligible

15: Decaying Product Eligibility

16: Variable Product Eligibility

17: Daily Product Eligibility

18: GT Orders Eligibility (Previously Tag 827)

19: Implied Matching Eligibility (Previously tag 1144)

20-31: Reserved for future use

The new repeating group will be added to both the premium and volatility Security Definition (35=d) message to allow customers to link volatility-quoted options and the corresponding premium contract.

The → symbol indicates a repeating group tag.

Tag	FIX Name	Req	Type	Description
1647	NoRelatedInstruments	N	INT	Number of related instruments group
1649	→RelatedSymbol	N	STRING	Related Instrument Symbol For premium option, the volatility strike symbol will be referenced For volatility option, the premium strike symbol will be referenced
1650	→RelatedSecurityID	N	INT	Related Security ID For premium option, the volatility strike ISIN will be referenced For volatility option, the premium strike ISIN will be referenced
1651	→RelatedSecurityIDSource	N	CHAR	Related Security ID source

Y = FIX required N = Not required

Page tree

Volatility-Quoted Options Messaging Changes