• CME Globex Notices: May 7, 2018

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      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20180507
      • Notice Date
      • 10 May 2018

    • Topics in this issue include:

    • Critical System Updates

      MDP 3.0 Performance Enhancements - May 20

      Effective Sunday, May 20 (trade date Monday, May 7), CME Group will continue performance improvements on the following CME Globex MDP 3.0 channels. In internal testing, these enhancements improved MDP 3.0 performance up to 60%.

      These enhancements will not impact iLink order routing or market structure dynamics.

      MDP 3.0 Performance Enhancements
      Launch Date Impacted MDP 3.0 Channels
      May 20

      CME Interest Rate Options – 313
      CME Globex FX Futures II – 320
      CME Globex FX Options II – 321
      NYMEX Globex Crude & Crude Refined Futures – 382
      DME Globex Futures - 440
      June 3 CME Globex Equity Futures excluding ES – 318 CBOT Globex Equity Index Futures - 342
      CBOT Globex Interest Rate Options - 345
      CBOT Globex Commodity Futures II – 346
      NYMEX Globex Emissions Futures – 380
      NYMEX Globex Nat Gas & Other Non-Crude Energy Futures - 386

       
      June 10

      CME Globex Equity Futures (ES) – 310
      COMEX Globex Futures - 360
      COMEX Globex Options - 361
      NYMEX Globex Emissions Options - 381
      NYMEX Globex Crude & Crude Refined Options – 383
      NYMEX Globex Metals, Softs & Alternative Markets Futures - 384
      NYMEX Globex Metals, Softs & Alternative Markets Options – 385
      NYMEX Globex Nat Gas & Other Non-Crude Energy Options – 387
      DME Globex Options – 441
      June 24

      CME Globex Equity Options (ES) – 311
      CME Globex Commodity Options – 317
      CME Globex Equity Options excluding ES - 319
      CBOT Globex Commodity Options – 341
      CBOT Globex Equity Index Options – 343
      BMD Globex Futures – 430
      BMD Globex Options - 431
      KRX Globex Futures - 450
      MGEX Globex Options - 461

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      UpdateUpdate - Price Precision Extension - 2018

      † Denotes update to the article

      CME Group is implementing end-to-end technology changes to support increased price granularity. Currently, CME Group systems support a maximum of 7 decimals. With this initiative, products with up to 9 decimals may be listed and traded. In Q4 2018, pending regulatory approval, the 2 Year Treasury Note futures and spreads will move from 7 decimals to 8 to support trading at 1/8 of 1/32.

      † Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.

      † Starting Sunday, August 12, the price precision extension rollout will begin with MDP 3.0.

      Price Precision Timeline:

       

      For complete updated rollout information and dates, refer to Key Events and Dates in the Client Impact Assessment.

      The Client Impact Assessment includes additional information on the following:

      • CME Globex iLink
      • CME Globex MDP3
      • Streamlined MDP
      • ITC
      • CME Globex Drop Copy
      • Referential Data

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

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      CME Globex API Secure Logon – iLink and Drop Copy

      CME Group is committed to our customers’ information security. To ensure the highest levels of security, CME Group has launched the CME Globex API Secure Logon in Q1 2018 to harden iLink and Drop Copy 4.0 session authentication.

      The new Secure Logon is in production and will be supported in parallel with the current model with surcharges until Friday, June 29. Any iLink or Drop Copy Target sessions that connect using plain text password are subject to surcharges as follows:

      • Sunday April 29 – Friday June 1: $100/session/month
      • Sunday June 3 – Friday June 29: $500/session/month

      Only Secure Logons will be supported starting Sunday, July 1.

      The Client Impact Assessment provides more detailed process and messaging information.

      A new iLink and Drop Copy certification suite is currently available in AutoCert+. iLink and Drop Copy 4.0 customer systems must complete this mandatory certification.

      The CME Globex API Secure Logon is now available for customer testing in New Release.

      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 Functionality

      Globex MDP3 SBE Schema Update - August 12

      Starting Sunday, August 12, in conjunction with the price precision initiative, CME Group will update the schema for all Globex MDP3 SBE market data channels.  Please view the rollout schedule.   This release will not support template extension, however the order of the fields will be preserved in the new templates.  Please review an overview of changes. 

      The new version 9 schema is currently available on the New Release public FTP.   Customers can begin testing schema version 9 in New Release on Sunday, May 20. 

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      Streamlined MDP SBE Schema Update - August 26

      Starting Sunday, August 26, in conjunction with the price precision initiative, CME Group will update the schema for streamlined SBE market data channels to support schema version 9 to ensure consistency between market data channels.  Please view the rollout schedule.  This release will not support template extension; however, the order of the fields will be preserved in the new templates. Please review an overview of changes. 

      The new version 9 schema is currently available on the New Release public FTP.   Customers can begin testing schema version 9 in New Release on Sunday, May 20. 

      Please Note: The schema update timeline for Streamlined Equity Indices, Eris Exchange and Bitcoin channels will be announced at a later date.

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      Product Launches

      UpdateUpdate - TACO on E-Mini S&P 500 Futures - This Week

      † Denotes update to the article

      Effective Sunday, May 13 (trade date Monday, May 14) and pending all relevant CFTC regulatory review periods, CME will permit Basis Trade at Cash Open (TACO) transactions on E-Mini S&P 500 futures for trading on CME Globex and for submission for clearing via CME ClearPort. A TACO transaction on the E-Mini S&P 500 futures is an outright future trading the differential between the equity future and underlying cash index's marking at the publication of the Special Opening Quotation (SOQ). The TACO instrument is similar to the BTIC (Trade at Cash Close) instrument but uses the cash market open and will trade Sunday – Friday following a unique trading schedule.

      Due to the uniqueness of the TACO trading schedule, † customers trading TACO using the same session to trade multiple products should be prepared to:

      • †manage Fill Notice Execution Reports with different trade dates
      • †ensure correct trade date is selected in any User Interface (UIs), including CME Direct and CME FirmSoft

      CME Group recommends customers thoroughly test this behavior in New Release.

      TACO on E-Mini S&P 500 Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      TACO on E-Mini S&P 500 Futures ESQ 3T 318

      †Please Note: Good Till Cancel (GTC) and Good Till Date (GTD) orders are not supported.

      TACO Trading Hours for E-mini S&P Contract:
      Sunday – Friday as follows:

      • Sunday Pre-Open 4:00 pm Central Time (CT)
      • Trading starts on Sunday at 5:00 pm (CT) and stops on Monday at 8:30 am (CT)
      • Monday – Friday trading stops and market close at 8:30 am (CT), ALL day orders eliminated
      • Monday – Thursday Pre-Open 9:30 am (CT)
      • Monday – Thursday trades from 10:00 am (CT) – 4:00 pm (CT)
      • Monday – Thursday Market Halt occurs at 4:00 pm – 5:00 pm (CT) - Globex Maintenance Period NO day orders eliminated
      • Monday – Thursday Pre-Open 4:45 pm (CT)
      • Monday – Thursday trades from 5:00 pm (CT) –  8:30 am (CT) next business day
      • No trading allowed after 8:30 am (CT) on Friday, ALL day orders eliminated

      Please Note: Preliminary and final settlements will be published externally; these prices are not used for Clearing end of day mark to market, the Special Opening Quote (SOQ) for the TACO will be used by Clearing for mark to market purposes.

      The settlement price in Market Data Incremental Refresh (tag 35-MsgType=X, 269=6) message is the price of the last traded differential of the trading session and is used for the following:

      • internal Price Banding
      • display of reference price of the last traded differential on customer systems

      TACO on E-Mini S&P 500 futures are currently available for customer testing in New Release.

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      Product Changes

      New New - Delisting and Removal of Mini Naphtha (Free Spec) Barges CIF ARA (Argus) Futures  - This Week

      On Monday, May 7, the Mini Naphtha (Free Spec) Barges CIF ARA (Argus) futures were delisted and on Friday, May 11 these futures will be removed from CME Globex at close of business.

      Delisting and Removal of Mini Naphtha (Free Spec) Barges CIF ARA (Argus) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

      Mini Naphtha (Free Spec) Barges CIF ARA (Argus) Futures

      NBF

      RF

      This future currently has no open interest.

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      Strike Price Increment for Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month - May 20

      Effective Sunday, May 20 (trade date Monday, May 21), the strike price listing rules for Brent Crude Oil Last Day Financial Calendar Spread options - 1 Month will be modified on CME Globex.

      Strike Price Increment for Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Strike Listing Rule New Strike Listing Rule
      Brent Crude Oil Last Day Financial Calendar Spread Option - 1 Month 9C OT Dynamic strikes only at $0.05 per barrel strike increment. Minimum 20 strikes at $0.05 per barrel strike increment above and below the at-the-money strike then 10 strikes at $0.25 per barrel strike increment above and below the highest and lowest $0.05 per barrel increment strikes then 4 strikes at $0.50 per barrel strike increment above and below the highest and lowest $0.25 per barrel increment strikes plus dynamic strikes at $0.05 per barrel strike increment for the nearest 36 months.
      Dynamic strikes only for months 37+ at $0.05 per barrel strike increment.

      This change is currently for customer testing in New Release.

      This contract is listed with, and subject to, the rules and regulations of NYMEX.

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      Listing Cycle Expansion for Black Sea Wheat Financially Settled (Platts) Futures  - June 3

      Effective Sunday, June 3 (trade date Monday, June 4), the listing cycle for Black Sea Wheat Financially Settled (Platts) futures will be expanded on CME Globex.

      Black Sea Wheat Financially Settled (Platts) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      Black Sea Wheat Financially Settled (Platts) Futures BWF WP Monthly contracts listed for twelve (12) consecutive months. Monthly contracts listed for fifteen (15) consecutive months.

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

      This change will be available for customer testing in New Release on Monday, May 28.

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      New New - Strike Price Increment for Silver Options and Silver Weekly Options  - June 3

      Effective Sunday, June 3 (trade date Monday, June 4), the strike price listing rules for Silver options and Silver Weekly options will be modified on CME Globex.

      Strike Price Increment for Silver Options and Silver Weekly Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Strike Listing Rule New Strike Listing Rule
      Silver Option SO SO Minimum 40 strikes at $0.25 per troy ounce strike increment above and below the at-the-money strike. If the underlying futures settle price is less than $10.00, then 10 strikes at $0.10 per troy ounce strike increment above and below the at-the-money strike in addition to the above $0.25 increment strikes. Dynamic strikes at $0.25 ($0.10 if the underlying futures settle price is below $10.00) per troy ounce strike increment above and below the highest and lowest pre-listed strikes. Minimum 40 strikes at $0.25 per troy ounce strike increment above and below the at-the-money strike plus dynamic strikes at $0.05 per troy ounce strike increment for the nearest 48 calendar months. If the underlying futures’ settle price for contract months 1-3 is less than $25.00 then additional strikes at $0.05 per troy ounce strike increment.
      Silver Weekly Option SO1–SO5 SO Minimum 20 strikes at $0.25 per troy ounce strike increment above and below the at-the-money strike. If the underlying futures settle price is less than $10.00, then 10 strikes at $0.10 per troy ounce strike increment above and below the at-the-money strike in addition to the above $0.25 increment strikes. Minimum 20 strikes at $0.05 per troy ounce strike increment above and below the at-the-money strike then 16 strikes at $0.25 per troy ounce strike increment above and below the highest and lowest $0.05 increment strikes plus dynamic strikes at $0.05 per troy ounce strike increment.

      The existing dynamic strike generation rule will also change to $0.05 intervals.

      These options will be available for customer testing in New Release on Monday, May 21.

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

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      Listing Cycle Changes and Delisting of E-mini Nifty 50 Index Futures - June 28

      On Monday, February 26, the E-mini Nifty 50 Index futures September 2018 and December 2018 contract months were removed from CME Globex.  With this change, the June 2018 contract will be the last available contract month listed for trading. Following the expiration of the June 2018 contract month, on Thursday, June 28, E-mini Nifty 50 Index futures will be delisted and removed from CME Globex at the close of business.

      Listing Cycle Changes and Delisting of E-mini Nifty 50 Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      E-mini Nifty 50 Index Futures MNF FN Four months in the March Quarterly Cycle and two nearest serial months Monthly contracts listed up to and including June 2018

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

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CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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