CME Globex Notice: November 21, 2016

Topics in this issue include:

• Critical System Updates
  • Market By Order Market Data - December 4
  • Indicative Opening Enhancements - December 4
  • Trade Summary OrderID Opt-in Update - December 4
  • CME FX Displayed (Iceberg) Quantity Orders - December 4
  • User-Defined Instruments Expansion - December 18
  • MDP 3.0 Schema - January 8
  • Streamlined SBE Market Data Protocol - January 22
  • New Market Segment for FX Futures and Options - January 22
  • SecurityAltID Update for Eris Exchange - March 12
• New Functionality
  • New Henry Hub Intercommodity Strategy - January 8 ^Update
  • Settlement Enhancements - February 12
• Product Launches
  • CME Globex Test Product Launch - December 4
  • DME Singapore Fuel Oil Spreads - December 4
  • DME Middle East Fuel Oil Futures - December 18
  • New Synthetic Products - December 18
  • European (mini) Argus cif ARA LPG Propane Futures - December 18 ^New
  • New Henry Hub Intercommodity Strategy - January 8 ^Update
  • London Spot Gold and Silver Futures and Related Intercommodity Spreads - January 8 ^New
  • Bursa Malaysia Derivatives Berhad (BMD) Crude Palm Oil Futures Spreads - Q1 2017
• Product Changes
  • NYMEX Crude Oil and Refined Options on Futures Changes - December 4
  • Listing Cycle Expansion for Iron Ore 62% Fe, CFR China (TSI) Average Price Option - December 4
  • Resumption of Listing Cycle for Soybean Meal Futures - December 14 ^New
  • Listing Cycle Expansion for S&P 500 Annual Dividend Futures - December 18
  • Non-Reviewable Ranges for Vol Quoted FX Options - December 18 ^New
• Events and Announcements
  • Thanksgiving Holiday Schedule - This Week ^New
  • CME Group Security Ecosystem
  • CME Group Login: Two-factor Authentication Registration Update - December 3

 

Critical System Updates

Market By Order Market Data

Starting Sunday, December 4 (trade date Monday, December 5), to increase market transparency and customer choice, CME Group will offer Market by Order (MBO) information in-line with the current Market by Price (MBP) for CME Globex markets.

Market Data Platform with MBO will feature:

• Ability to view individual queue position and size of individual orders at a price while remaining anonymous
• Existing channels enhanced to provide both MBO and MBP data on a single feed
• CME Direct support
• Exchange and asset class roll out model

The client impact assessment provides functionality and messaging information.

MBO is now available in New Release for customer testing. Please view the updated MBO rollout schedule for production.

With the introduction of MBO overall incremental feed bandwidth is expected to increase 30-40%. During peak times the number of incremental feed packets per millisecond may increase up to 40-50%.

The MBO certification suite is now available in AutoCert+ for customer testing. Customer systems who choose to process MBO via CME Globex must complete this certification.

To ensure customers can access, trade and process the market data for Market By Order (MBO), CME Group held a mock trading session on Saturday, November 12. All customers and trading system providers who plan to support MBO are strongly encouraged to participate. For more information about the Mock Trading Session, please view the mock trading session script.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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Indicative Opening Enhancements

Starting Sunday, December 4 (trade date Monday, December 5), CME Group will introduce an enhancement to Indicative Opening behavior to increase transparency and provide market participants with Indicative Opening Quantity. With this enhancement, a new MDP3 Indicative Opening Quantity (IOQ) statistic will be sent with the Indicative Opening Price (IOP). The tag will represent the probable aggregated quantity of all orders executed during the opening. The IOQ will include max show and stop order quantity.

Along with this change, the logic for calculating the book quantity during the pre-open and reserve states will also be updated.

The client impact assessment provides dates, functionality and messaging information.

Indicative Opening Enhancements is now available in New Release for customer testing. Please view the Indicative Opening Enhancements Rollout Schedule for production launch dates.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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Trade Summary OrderID Opt-in Update

Starting Sunday, December 4 (trade date Monday, December 5), to increase transparency and simplify CME Globex functionality, all tag 37-OrderID values will be published in the Market Data Incremental Refresh Trade Summary messages.

With this release, iLink will no longer support FIX tag 1091-PreTradeAnonymity. CME Globex will not send tag 1091 to client systems, even when submitted on the original message.

Trade Summary OrderID Opt-in Release Schedule
Group	Channel Number	Channel Name	New Release Date	Production Date
1	384	NYMEX Globex Metals, Softs, & Alternative Market Futures	Available	Sunday, December 4, 2016
1	385	NYMEX Globex Metals, Softs, & Alternative Market Options
1	360	COMEX Globex Futures		Sunday, January 8, 2017
1	361	COMEX Globex Options
1	380	NYMEX Globex Emissions Futures
1	381	NYMEX Globex Emissions Options
1	440	DME Globex Futures
1	441	DME Globex Options
1	382	NYMEX Globex Crude & Crude Refined Futures		Sunday, January 22, 2017
1	383	NYMEX Globex Crude & Crude Refined Options
1	386	NYMEX Globex Nat Gas & other Non-Crude Energy Futures
1	387	NYMEX Globex Nat Gas & other Non-Crude Energy Options
1	410	CME Europe Globex Futures
1	411	CME Europe Globex Options
2	340	CBOT Globex Commodity Futures	Available	Sunday, March 26, 2017
2	346	CBOT Globex Commodity Futures II
2	341	CBOT Globex Commodity Options
2	342	CBOT Globex Equity Index Futures
2	343	CBOT Globex Equity Index Options
2	344	CBOT Globex Interest Rate Futures
2	345	CBOT Globex Interest Rate Options
2	460	MGEX Globex Futures
2	461	MGEX Globex Options
2	310	CME Globex Equity Futures	Available
2	311	CME Globex Equity Options
2	312	CME Globex Interest Rate Futures
2	313	CME Globex Interest Rate Options
2	318	CME Globex Equity Futures - excludes E-mini S&P 500
2	319	CME Globex Equity Options - excludes E-mini S&P 500
2	314	CME Globex FX Futures	Available
2	315	CME Globex FX Options	Available
2	316	CME Globex Commodity Futures	Available
2	317	CME Globex Commodity Options	Available
2	320	CME Globex FX Futures II
2	321	CME Globex FX Options II
2	430	BMD Globex Futures
2	431	BMD Globex Options
2	450	KRX Globex Futures

 

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CME FX Displayed Quantity (Iceberg) Orders

Effective Sunday, December 4, the Displayed Quantity order qualifier will be enabled for all CME FX futures and options markets, except the following groups:

CME FX Displayed Quantity
Product	Futures/Options	Quoting Style	iLink tag 55-Symbol MDP 3.0 tag 1151-SecurityGroup
Australian Dollar	Futures	Premium	6A
	Options	Premium	0A, ZA, XA
	Options	Volatility	3U, 3A
British Pound	Futures	Premium	6B
	Options	Premium	XB, YB, 2B
	Options	Volatility	3P, B3
Canadian Dollar	Futures	Premium	6C
	Options	Premium	2C, XD, CD
	Options	Volatility	3D, 3C
EuroFX	Futures	Premium	6E
	Options	Premium	XT, XE, 2E
	Options	Volatility	3R, 3E
Japanese Yen	Futures	Premium	6J
	Options	Premium	QJ, XJ, 2J
	Options	Volatility	3Q, 3Y
Swiss Franc	Futures	Premium	6S
	Options	Premium	XS, YS, 2S
	Options	Volatility	3W, 3S

Customers will be able to define the Displayed Quantity in tag 210-MaxShow of the New Order or Cancel/Replace Request (tag 35-MsgType=G) messages.  More information on Display Quantity is available in the iLink Order Qualifiers.

The Displayed Quantity order functionality is currently available in New Release for customer testing for the impacted markets.

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User-Defined Instruments Expansion

Effective Sunday, December 18 (trade date Monday, December 19), User-Defined Instruments (UDI) will be listed on CME Globex whenever the option strike is created on CME ClearPort for trade submission. With this launch, UDIs may be published on any options channel.

UDIs are disseminated with the Market Data Security Definition (tag 35-MsgType=d) message with tag 9779-UserDefinedInstrument=Y. Customers can submit quotes and orders against the UDI and also incorporate the UDI into User-Defined Spreads.

Flex options created on the trading floor will not be added to CME Globex.

This enhancement will be available for customer testing in New Release Monday, November 28.

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MDP 3.0 Schema

Starting January 8, 2017 (trade date Monday, January 9), CME Group continues implementing new MDP 3.0 SBE schema files to support the upcoming Market by Order, Triangulation and Consolidated Fills initiatives on CME Globex. For more information regarding these initiatives, please see the CME Group Customer Forum. With the new MDP 3.0 SBE schema release, CME Group expects up to a 10% bandwidth increase per market data channel.

In order to ease customer development efforts, the new SBE schema files will support appended Template Extension. CME Group recommends that the new Schema file be downloaded and implemented on the production launch date for each channel.

Schema Channel Launch Schedule
Channels	Production	New Release
340 - CBOT Globex Commodity Futures 346 - CBOT Globex Commodity Futures II 341 - CBOT Globex Commodity Options 460 - MGEX Globex Futures 461 - MGEX Globex Options	January 8, 2017	Available
342 - CBOT Globex Equity Index Futures 343 - CBOT Globex Equity Index Options 344 - CBOT Globex Interest Rate Futures 345 - CBOT Globex Interest Rate Options	January 22, 2017	Available
430 - BMD Globex Futures 431 - BMD Globex Options 450 - KRX Globex Futures Administrative Messages for TCP Replay	January 22, 2017	Available

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Streamlined SBE Market Data Protocol

Effective Sunday, January 22, CME Group will continue implementing Streamlined Simple Binary Encoding (SBE) market data protocol. Streamlined SBE will replace the existing streamlined FIX/FAST market data protocol to align the market data protocol with MDP 3.0 encoding format.

Please refer to the table for the implementation schedule and client impact assessments.

Streamlined SBE Market Data Protocol
SBE Feed	Production	New Release	Client Impact Assessment Availability
Blocks	Available	Available	Blocks Streamlined Conversion to SBE
Equity Indices - S&P & Dow Jones	Available	Available	Equity Indices Streamlined Conversion to SBE
Eris	Available	Available	Eris Exchange Streamlined Conversion to SBE
OTC-EOD	Available	Available	OTC-EOD Streamlined Conversion to SBE
Equity Indices - Bloomberg	January 22	Available	Equity Indices Streamlined Conversion to SBE

A new SBE config.xml file for production is now available for customer download from CME Group FTP site.

The new Streamlined SBE schema is currently available in New Release.

Customer systems receiving market data via Streamlined SBE must complete a mandatory certification suite for each market type.

Streamlined FIX/FAST and ITC 2 Blocks Decommission

The following streamlined FIX/FAST and ITC 2 Blocks feeds will be decommissioned in the New Release and Production environments as follows:

Streamlined FIX/FAST and ITC 2 Blocks Decommission
SBE Feed	Production	New Release
FIX/FAST and ITC2 Blocks CME/CBOT/CME Europe	December 30	December 30
FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME	March 31	March 31
FIX/FAST Equity Indices – Bloomberg, S&P & Dow Jones	January 20	January 20
FIX/FAST Eris Exchange	April 21	April 21
FIX/FAST OTC-EOD	December 30	December 30

To support the new schema rollout for OTC-EOD the CME FTP site will be updated as follows:

Production:ftp://ftp.cmegroup.com/SBEFix/Production/Templates/
Schema Version	Current	December 4, 2016
V5	streamlinemktdata.xml	streamlinemktdata_v5.xml
V6	streamlinemktdata_v6.xml	streamlinemktdata.xml

All other streamlined channels will continue to send data on current schema versions.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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New Market Segment for FX Futures and Options

Starting Sunday, January 22, CME Group will launch a new market segment for some CME FX futures and options markets to support the upcoming Triangulation initiative. For more information, please visit the CME Group Customer Forum page.

The market segment for FX futures and options markets will be changed as follows:

Market Segment Changes for FX Futures and Options
Product	MDP 3.0 Channel	Current Tag 1300- MarketSegemntID	New Tag 1300- MarketSegemntID	Production Launch	New Release Launch
CME Globex FX Options	315	52	88	January 22	November 22
CME Globex FX Futures	314	62	88	February 5	December 13

There will be no changes to MDP 3.0 channels, functionality or messaging format associated with these market segment changes.

Please note: There are no market segment changes for CME Globex FX Futures II and CME Globex FX Options II on MDP 3.0 channel 320 and 321, respectively.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for all User-Defined Spreads (UDS) on Market Segment ID 52 by the close on Friday, January 20. Any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on CME FX outright options, futures and futures spreads will not be cancelled.

The new MDP 3.0, Market Segment Gateway, and DropCopy 4.0 config.xml files will be available for customer download in the following environments as follows:

• New Release – Available
• Production – Sunday, January 8, 2017

The new MDP 3.0 config.xml files will contain old and new Source IPs for ;MDP 3.0 channels 314 and 315. The old Source IP addresses will be removed on Monday, December 19 in new release and Sunday, February 12 in production. If a firewall or network device is configured with the Source IP information, please correct your configuration to use the entire range of eligible addresses.

To ensure customers can access, trade and process market data for these market segment changes, CME Group will host a mock trading session on Saturday, January 21. All customers who support these market segments are strongly encouraged to participate. More information on the customer mock trading session will be announced in future CME Globex notices.

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SecurityAltID Update for Eris Exchange

Effective Monday, March 12, the Eris Exchange SBE Streamlined feed will add tag 455-SecurityAltID support for the Market Data Security Definition (tag 35-MsgType=d) and Market Data Incremental Refresh (tag 35-MsgType=X) trade messages. The Eris Exchange SBE channel will also migrate to SBE schema version 6 to support this change.

Additional details are outlined in the Eris SBE migration client impact.

Tag 455-SecurityAltID will be available in New Release for customer testing Monday, December 5.

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New Functionality

Update - New Henry Hub Intercommodity Strategy

† Denotes update to the article

Effective Sunday, January 8 (trade date Monday, January 9), † Henry Hub Combo HB:IN (MDP3 tag 6937-Asset=HB) for the two nearest expiration months will listed on CME Globex.  This strategy utilizes a new strategy type (tag 762-SecuritySubType=BC) for a Buy-Buy transaction between two commodities of the same maturity.

Henry Hub Combo HB:IN Strategy
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType
Henry Hub Natural Gas (Platts FERC) Basis Futures (HB) vs Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index Futures (IN)	† HB	FD	BC (Buy-Buy Strategy)

The BC strategy is the simultaneous purchase (sale) of a monthly Henry Hub Natural Gas (Platts FERC) Basis futures (MDP3 tag 6937=HB) and Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures (MDP3 tag 6937=IN). Both legs must have the same maturity.

This strategy is available as a futures Exchange-Defined Spread only.

The BC strategy has:

• Two products
  • Front leg monthly Henry Hub Natural Gas (Platts FERC) Basis futures
  • Back leg Henry Hub Natural Gas (Platts Gas Daily/Platts IFERC) Index futures
• Two legs
• Quantity/side ratio +1:+1

Pricing

• The BC Strategy Trade price is the summation of the outright future legs
• Leg price assignment:
• Determine anchor outright futures leg
  • Leg with most recent trade, best bid/best offer, or Indicative Opening Price.
• Subtract the anchor outright futures leg from the BC Strategy Trade Price and assign remainder to non-anchor outright futures leg.

Pricing Example
† HB-IN: HB-IN F7 trades at 4

• HBF7 Leg1 has the most recent trade price at 1 and is designated the anchor

• INF7 Leg2 = 3 († HB-IN Price – Leg1 Price)

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

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

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Settlement Enhancements

Effective Sunday, February 12 (trade date Monday, February 13), new settlement information will be available on CME MDP 3.0.

• Tag 731-SettlePriceType (bits 1 and 2) will be fully supported to identify theoretical vs. actual and rounded vs. unrounded settlement prices
  •  Tag 731 is published on the Incremental Refresh, Security Definition and Snapshot Full Refresh messages (35=X, d or W)
• The Cabinet settlement price will be published in tag 270-MDEntryPx when tag 269-MDEntryType=6 messages for settlements
  • Currently, MDP 3.0 publishes a value of zero when an option settles to cabinet.

These settlement enhancements will be available for customer testing in New Release on Monday, December 5.

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Product Launches

CME Globex Test Product Launch

Effective Sunday, December 4 (trade date Monday, December 5), to support the ability to test connectivity and messaging on CME Globex, a new CME Europe test product will be listed in the production environment. Test product functionality on CME Globex is detailed on the Client Systems Wiki.

Please note: For this test contract, CME Group is restricting throughput to one message per 30 seconds per iLink session.

The test product will mimic the CME Europe British Pound / U.S. Dollar (GBP/USD) Physically Deliverable futures contract (GBP).

No Globex Spreads or Strips will be listed. Market data will be disseminated on MDP 3.0 channel 410

CME Globex Test Product
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - SecurityGroup
Test  -  British Pound / U.S. Dollar (GBP/USD) Physically Deliverable futures	0GB (zero-G-B)	$J

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

Please contact your Global Account Manager with any feedback or requests for additional functionality in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

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DME Singapore Fuel Oil Spreads

Effective Sunday, December 4 (trade date Monday, December 5), the Dubai Mercantile Exchange (DME) will list the following Singapore Fuel Oil spreads for trading on CME Globex.

DME Singapore Fuel Oil Listing DME Calendar Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762- SecuritySubType
Singapore vs. Middle East Fuel Oil 180 cst Spread (Platts) Futures	DSM	DSM:DSM	SP - Standard Calendar Spread
Singapore vs. Middle East Fuel Oil 380 cst Spread Platts) Futures	DSI	DSI:DSI

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

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

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DME Middle East Fuel Oil Futures

Effective Sunday, December 18 (trade date Monday, December 19), the following Dubai Mercantile Exchange Singapore Fuel Oil products will be listed for trading on CME Globex.

DME Singapore Fuel Oil (Platts) Futures
Product	iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Singapore Fuel Oil 180 cst  (Platts) Futures	DUP	DE
Singapore Fuel Oil 380 cst  (Platts) Futures	DSE	DE
Singapore Fuel Oil 180 cst vs. 380 cst (Platts) Futures	DSD	DE

Note: The minimum price fluctuation will be $0.01 on CME Globex.

These futures will be available for customer testing in New Release on Monday, December 5.

Please view New Product Summary.

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

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New Synthetic Products

Starting Sunday, December 18, the following new synthetic products will be listed on CME Globex for internal testing.

These products are not available for order entry and only Security Definition and Security Status (tag 35-MsgType=d, f) market data messages will be published.

New Synthetic Products
Product	MDP 3.0 tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel	Market Segment ID
Test Corn Future	00C	#E	340	70
Test Corn Option	0OC	$2	341	60
Test E-Mini Dow ($5)	0YM	$W	342	66
Test E-Mini Dow ($5)	0OY	#F	343	60
Test 10-Year U.S. Treasury Note Future	00N	$T	344	84
Test 10-Year U.S. Treasury Note Option	0YN	$U	345	58
Test Soybeans	00S	$S	346	72
Test E-Mini S&P 500 Future	0ES	$E	310	64
Test E-Mini S&P 500 Option	0SO	$Q	311	54
Test Eurodollar Future	0GE	$D	312	82
Test Eurodollar Option	0GG	$R	313	50
Test AUD/USD	0AU	$F	314	62
Test AUD/USD	0AD	$1	315	52
Test Lean Hog Future	0HE	$K	316	70
Test Lean Hog Option	0HO	$B	317	52
Test Nikkei 225 (Yen)	0NK	#2	319	54
Test EUR/USD American Future	06E	#C	320	62
Test EUR/USD American Option	00E	#D	321	52

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New - European (mini) Argus cif ARA LPG Propane Futures

Effective Sunday, December 18 (trade date Monday, December 19), Mini European Propane CIF ARA (Argus) Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

European (mini) Argus cif ARA LPG Propane Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Mini European Propane CIF ARA (Argus) Futures	MPS	ZZ

These futures will be available for customer testing in New Release on Monday, December 5.

Please see New Product Summary.

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

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New - London Spot Gold and Silver Futures and Related Intercommodity Spreads

Effective Sunday, January 8 (trade date Monday, January 9), London Spot Gold and Silver will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

London Spot Gold and Silver Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
London Spot Gold Futures	GSP	GL
London Spot Silver Futures	SSP	SL

With this change, two additional intercommodity spreads between the spot futures and the active month of the corresponding COMEX Gold and Silver futures will be listed.

Intercommodity Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762-SecuritySubType
Gold Spot Spread	GC	GCZ6-GSPX601	RT (Reduced Tick) .01 tick, 1/10th outright GC
Silver Spot Spread	SI	SIZ6-SSPX601	RT (reduced tick) .001 tick, 1/5th outright SI

These futures will be available for customer testing in New Release on Monday, December 12.

Please see New Product Summary.

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

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