Topics in this issue include:
For the latest roadmap of CME Group technology initiatives:
See the Development Launch Schedule.
The CME Globex Performance Enhancements will continue this Sunday, August 22. Below is the updated timelines. CME Group is implementing infrastructure and hardware upgrades to futures and options markets on the CME Globex platform. In internal testing, these enhancements improved performance on CME Globex more than 20% for both iLink 2 and iLink 3 order entry and MDP 3.0.
LAUNCH DATE | MARKET SEGMENT ID | MARKET SEGMENT DESCRIPTION |
---|---|---|
August 22 | 58 | CBOT Interest Rate Options |
60 | CME Globex Commodity Options CBOT Globex Commodity Options MGEX Globex Options |
|
74 | BMD Globex Futures BMD Globex Options |
|
80 | DME Globex Futures NYMEX Globex Crude & Crude Refined Futures |
|
84 | CBOT Interest Rate Futures |
Effective Sunday, September 26 (trade date Monday, September 27), CME Group will implement enhancements to iLink 3 FIXP messages to be a more consistent customer experience. With this change, any error conditions for Negotiate and Establish with invalid UUID and/or NextSeqNo will lead to the FIXP session being terminated. Currently, we reject FIXP messages in some scenarios and terminate sessions in other scenarios.
These enhancements will be reflected on the FIXP messages as follows:
iLink 3 FIXP Messaging Enhancements |
|||
---|---|---|---|
Request from Client System to CME Globex | Response from CME Globex to Client System | ||
FIXP Message | Error Conditions | Current | New |
Negotiate | Missing UUID | Negotiation Reject | Terminate |
UUID is not greater than the UUID used in the last successful Negotiate/Establish message | Negotiation Reject | Terminate | |
Establish | Missing UUID | Establishment Reject | Terminate |
UUID does not match with the UUID used in the previous Negotiate message | Establishment Reject | Terminate | |
Missing NextSeqNo | Establishment Reject | Terminate |
These changes are currently available in New Release for customer testing.
ILINK 3 FIXP MESSAGING ENHANCEMENTS TIMELINE | ||
---|---|---|
MARKET SEGMENT ID | MARKET SEGMENT DESCRIPTION | PRODUCTION LAUNCH |
76 | NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures | Sunday, September 26, 2021 |
12 50 60 70 |
Order Entry Service Gateway CME Interest Rate Options CME, CBOT and MGEX Commodity Options CME, CBOT and MGEX Commodity Futures |
Sunday, October 3, 2021 |
52 54 56 58 64 68 72 74 78 80 82 84 88 |
CME FX Futures and Options II CME Equity Options - S&P Option NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Market Options; COMEX Options; DME Options CBOT Interest Rate Options CME Equity Futures – E-mini S&P CME Equity Futures II; CBOT Equity Futures CBOT and CME Equity Options; excluding S&P BMD Futures and Options; NYMEX SEF NYMEX Emissions and Non-Crude Energy Futures DME Futures; NYMEX Crude and Crude Refined Energy Futures CME Interest Rate Futures CBOT Interest Rate Futures CME FX Futures and Options |
Sunday, October 17, 2021 |
Effective Sunday, September 26 (trade date Monday, September 27), and pending all relevant CFTC regulatory review periods, the Basis Trade at Cash Open (“TACO”) and Basis Trade at Index Close (“BTIC”) will open for Monday’s trade date on the previous Friday afternoon.
With this change and for the first time, CME Globex will support trading for a trade date over a weekend. The trade date for these products will not roll over on the weekend. This change will impact iLink 2 and iLink 3 order entry, MDP 3 market data, and CME STP and CME STP FIX.
Please review the Client Impact Assessment for information on functionality and messaging impacts.
This change is currently available for customer testing in New Release.
In December 2021 and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will add a night trading session for all active products on CME Globex. Due to the time difference between Malaysian time and Central time, the night trading session activities will begin the business day prior to actual trade date in Malaysian time. The new night trading session will be open for trading Monday - Thursday.
There will be no Friday night trading session. There is no impact to the current Monday - Friday day trading sessions.
New Night Trading Session | |
---|---|
Product | NEW |
Night Session Trading Hours | 21:00:00 hours to 23:30:00 hours (Malaysia time) |
Example of Monday-Thursday Trading Schedule
Example of a Night Trading Session
This example shows the night trading session market phases using a Monday, August 9, 2021, night trading session, with trades executed for a Tuesday, August 10, 2021, trade date.
Monday Night Trading Session with a Tuesday Trade Date | ||
---|---|---|
Night Session Trading Market State | Malaysian Time (MYT) | |
Pre-Open | 20:45:00 | |
No-cancel | 20:59:30 | |
Open | 21:00:00 | |
Pause | 23:30:00 |
Products for Night Trading Session | |||
---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
|
Crude Palm Oil Futures | FCPO | BC | |
FTSE Kuala Lumpur Composite Index Futures | FKLI | BE | |
Gold Futures | FGLD | BG | |
USD RBD Palm Olein futures | FPOL | BL | |
MINI FTSE BURSE MALAYSIA MID 70 IDX | FM70 | BS | |
Crude Palm Oil Options | OCPO | BP (UDS: BZ) | |
FTSE Kuala Lumpur Composite Index Options | OKLI | BO (UDS: BU) | |
FUPO BMD CRUDE PALM OIL | FUPO | BA | |
Option on USD RBD Palm Olein Futures | OPOL | B8 | |
CRUDE PALM KERNEL OIL FUTURES | FPKO | BK | |
BMD Tin Futures | FTIN | BN | |
East Malaysia Crude Palm Oil Futures | FEPO | BR | |
3 Month Kuala Lumpur Interbank Offered Rate Futures | FKB3 | BT |
This change is currently available for customer testing in New Release.
Effective this Sunday, August 22 (trade date Monday, August 23), pending completion of all regulatory review periods, Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel | |
Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures | BSB | BW | 312 | |
3 Mo SOFR vs BSBY Inter-commodity Spread | SR3 | |||
BSBY vs Eurodollar Inter-commodity Spread | BSB | |||
Three-Month BSBY Calendar Spreads | BSB | |||
Three-Month BSBY Butterfly | BSB | |||
Three-Month BSBY Double Butterfly | BSB | |||
Three-Month BSBY Condor | BSB | |||
Three-Month BSBY Bundle | BSB | |||
Three-Month BSBY Balanced Strip | BSB |
These Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) futures are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of CME.
† Denotes update to the article
Effective Sunday, †October 3 (trade date Monday, October 4), and pending final regulatory approval, Bursa Malaysia Derivatives (BMD)’s East Malaysia Crude Palm Oil futures contract and spreads will be made available for trading on CME Globex.
Bursa Malaysia Derivatives (BMD) East Malaysia Crude Palm Oil Futures | |||
---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Market Data Channel |
East Malaysia Crude Palm Oil Futures | FEPO | BR | 430 |
This change is currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of BMD.
Effective Sunday, October 3 (trade date Monday, October 4), a new exchange-defined Fixed Price Ratio Inter-Commodity futures spreads will be made available for trading on CME Globex. The new spread will utilize a new strategy type (AE).
The AE spread is the simultaneous purchase(sale) of two energy contracts of different leg quantity ratios where the spread will trade at a fixed price ratio of 1:1. The AE spread will allow customers to trade two energy contracts of varying leg ratios in a single package.
Please review the client impact assessment for detailed spread construction and pricing examples.
The contracts are listed with, and subject to, the rules and regulations of NYMEX.
The spread will be available for customer testing in New Release on Monday, August 23.
Effective Sunday, October 3 (trade date Monday, October 4), a new exchange-defined South American Soybean/CBOT Soybean Inter-Commodity futures spread will be made available for trading on CME Globex. This new spread will utilize a new strategy type (BT).
The BT spread is the simultaneous purchase (sale) of a South American FOB Santos Soybeans Financially Settled (Platts) futures (SAS) and a CBOT Soybean futures (ZS) contract. The BT strategy type will allow customers to trade between the South American Soybean and benchmark CBOT Soybean contract in a single package.
Please review the client impact assessment for detailed spread construction and pricing examples.
The spread will be available for customer testing in New Release on Monday, August 23.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
Effective this Sunday, August 22 (trade date Monday, August 23), the listing cycle for the North European Hot-Rolled Coil Steel (Argus) futures will be expanded on CME Globex.
Listing Cycle Expansion for North European Hot-Rolled Coil Steel (Argus) 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 |
North European Hot-Rolled Coil Steel (Argus)Futures | EHR | MA | Monthly contracts listed for twelve (12) consecutive months. Add a new contract month after the nearby expiry. | Monthly contracts listed for eighteen (18) consecutive months. Add a new contract month after the nearby expiry. |
These futures are currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of COMEX.
Effective this Sunday, August 22 (trade date Monday, August 23), the CME Group will change the tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message for the E-mini FTSE 100 and Developed European Index futures from EQ (Calendar Spread) to RT (Reduced Tick) on CME Globex. To support these changes, the existing SP (Calendar Spread) products were removed on Friday, August 14, 2021.
Please Note: To facilitate this change, customers were asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on August 13. After 16:00 CT on August 13, all remaining GT orders for these spreads were cancelled or deleted by the CME Global Command Center (GCC).
Change to E-mini FTSE 100 and Developed European Index Futures Strategy Type | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
CURRENT TAG 762- SECURITYSUBTYPE |
NEW TAG 762- SECURITYSUBTYPE |
E-mini FTSE 100 (GBP) Index Futures | FTI | FZ | EQ (Calendar Spread) with All Possible Combos | RT (Reduced Tick Spread) with all possible combos |
E-mini FTSE 100 (USD) Index Futures | FTU | FZ | EQ (Calendar Spread) with All Possible Combos | RT Futures - Reduced Tick (RT) with all possible combos |
E-mini FTSE Developed Europe Index Futures | DVE | DV | EQ (Calendar Spread) with All Possible Combos | RT Futures - Reduced Tick (RT) with all possible combos |
This change is currently available for customer testing in New Release.
These contracts are listed with, and subject to, the rules and regulations of CME.
Effective Sunday, September 12 (trade date Monday, September 13), the listing cycle for the following Cobalt Metal (Fastmarkets) futures will be expanded on CME Globex.
Listing Cycle Expansion for Cobalt Metal (Fastmarkets) 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 |
Cobalt Metal (Fastmarkets) Futures | COB | CA | Monthly contracts listed for the current year and the next 2 calendar years. | Monthly contracts listed for the current year and the next 3 calendar years. |
These changes will be available for customer testing in New Release on Monday, August 30.
These contracts are listed with, and subject to, the rules and regulations of COMEX.
Effective Sunday, September 12 (trade date Monday, September 13), the following changes will be implemented for Options on Brazilian Real/U.S. Dollar (BRL/USD) futures:
Changes to Options on Brazilian Real/U.S. Dollar Futures | ||||||
---|---|---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current tag 969-MinPriceIncrement | New tag 969-MinPriceIncrement | Current Strike Increment | New Strike Increment |
Monthly and Weeklies Options on Brazilian Real/U.S. Dollar (BRL/USD) Futures | BR (Monthly) 1R-5R (Weeklies) |
OR | 0.500000000 | 0.100000000 | 0.00500 | 0.00100 |
These changes will be available for customer testing in New Release on Monday, August 30.
Effective Sunday, September 19 (trade date Monday, September 20), the Non-Reviewable Ranges will be modified for following products.
Changes to Non-Reviewable Ranges for CBL Global Emissions Offset Futures Contract | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current Non-Reviewable Range | New Non-Reviewable Range |
CBL Global Emissions Offset Futures |
GEO | VX | 200 | 50 |
These changes will be available for customer testing in New Release on Monday, September 13.
These contracts are listed with, and subject to, the rules and regulations of NYMEX.
Effective Sunday, September 19 (trade date Monday, September 20), pending completion of all regulatory review periods, the minimum price increment tag 969-MinPriceIncrement for both the Euro/US Dollar Spot FX and Euro/US Dollar Spot FX Basis Spread on FX Link will be amended as follows.
Amendment to Minimum Price Increment for EUR/USD Products on FX Link | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current TAG 969 - MINPRICEINCREMENT | New TAG 969 - MINPRICEINCREMENT |
Euro / US Dollar Spot FX (Non-tradable) | EURUSD | 6E | 0.100000000 | 0.050000000 |
Euro / US Dollar Spot FX Basis Spread |
This change will be available for customer testing in New Release on Monday, August 23.
This contract is listed with, and subject to, the rules and regulations of CME.
Effective Sunday, September 19 (trade date Monday, September 20), the daily settlement tick fluctuation will be amended on MDP 3.0 Market Data Incremental Refresh (tag 35-MsgType=X) for the following E-mini and Micro E-mini S&P 500 futures and options.
Amendment to Daily Settlement Tick Size for E-mini and Micro E-mini S&P 500 Futures and Options | ||||
---|---|---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
Current TAG 969 - MINTICKINCREMENT | New TAG 969 - MINTICKINCREMENT |
E-mini S&P 500 Futures | ES | ES | 10.000000000 | 25.000000000 |
E-mini S&P 500 Options | ES | EW | ||
E-mini S&P 500 EOM Options | EW | EW | ||
E-mini S&P 500 Weekly Options | EW1-EW4 | EW | ||
E-mini S&P 500 Monday Weekly Options | E1A-E5A | EW | ||
E-mini S&P 500 Wednesday Weekly Options | E1C-E5C | EW | ||
E-mini S&P 500 Quarterly PM Options | EYC | CM | ||
E-mini S&P 500 500 Index Futures | MES | MS | ||
Options on Micro E-mini S&P 500 Stock Price Index Futures | MES | EO (oh) | ||
Micro E-mini S&P 500 Stock Price EOM Options | EX | EO (oh) | ||
Weekly Options on Micro E-mini S&P 500 Stock Price Index Futures | EX1-EX4 | EO (oh) |
Please Note: This change will not impact reduced tick or Variable Tick Table (VTT) functionality for E-mini S&P 500 options.
Please see Special Executive Report-8828 and CME Submission No. 21-344 for related changes.
These changes will be available for customer testing in New Release on Monday, August 23.
These contracts are listed with, and subject to, the rules and regulations of CME.
On Monday, September 20, the following S&P 500 futures and options will be delisted, and effective close of business Friday, September 24, these products will be removed from CME Globex.
Delisting and Removal of S&P 500 Futures and Options | ||
---|---|---|
Product | MDP 3.0: tag 6937-Asset | iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group |
S&P 500 Stock Price Index Futures | SP | SP |
Options on S&P 500 Stock Price Index Futures | SP | OS |
Options on S&P 500 Stock Price Index Futures - End-of-Month (European-Style) | EV | OS |
Weekly Options on S&P 500 Stock Price Index Futures - Week 1-Week 4 (European-Style) | EV1-EV4 | OS |
Monday Weekly Options on S&P 500 Stock Price Index Futures - Week 1-Week 5 (European-Style) | S1A-S5A | OS |
Wednesday Weekly Options on S&P 500 Stock Price Index Futures - Week 1-Week 5 (European-Style) | S1C-S5C | OS |
Options on S&P 500 Stock Price Index Futures - End-of-Month (European-Style) | YPC | BM |
Please see Special Executive Report-8828 for additional details on position migrations.
CME Group is targeting the initial launch of SPAN 2 Margin Methodology in Q4 2021, starting with a subset of energy products. Any firm that currently uses the CME SPAN methodology and trades impacted products will need to implement one of the following services for computing CME SPAN 2 margin requirements:
Please Note: A limited number of existing pre-trade execution margin calculation processes may continue to be supported.
Firms using CME SPAN for pre-trade risk management can contact the Post Trade Services team for more information:
US | UK | APAC |
---|---|---|
+1 312 580 5353 | +44 20 3379 3500 | +65 6593 5599 |