CME Globex Notices: September 6, 2021

Critical System Updates

BTIC on Cryptocurrency Futures with Friday Trading - September 26

Effective Sunday, September 26 (trade date Monday, September 27), pending completion of all regulatory review periods, the following BTIC on cryptocurrency futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

BTIC on Cryptocurrency Futures with Friday Trading
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
BTIC on Bitcoin Futures	BTB	BX	318
BTIC on Micro Bitcoin Futures	MIB	BX	318
BTIC on Ether Futures	ETB	RJ	318

The CME Globex trading hours for these futures will be as follows:

• Sunday - Friday 6:00 p.m. Eastern Time - 4:00 p.m. London Time (11:00 a.m./12:00 p.m. Eastern Time) for same day Reference Rate.
• Monday - Friday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. ET) - 5:00 p.m. Eastern Time for next day Reference Rate.
• Friday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. Eastern Time) - 5:00 p.m. ET for the following Business Day’s Reference Rate.
• Monday - Thursday 5:00 p.m. - 6:00 p.m. Eastern Time daily maintenance period.

These products 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 CME.

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TACO and BTIC Amended Trading Schedule - September 26

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.

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UpdateUpdate - iLink 3 FIXP Messaging Enhancements - October 3

† Denotes update to the article

†The previously announced launch of iLink 3 FIXP  messaging enhancements has been postponed to Sunday, October 3. 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, October 3, 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 17, 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 31, 2021

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Bursa Malaysia Derivatives (BMD) Night Trading Session  - December 2021

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 Monday - Thursday Night Trading Session
Night Session Trading Hours	21:00:00 hours to 23:30:00 hours (Malaysia time)

Example of Monday-Thursday Trading Schedule

• Trades executed during Monday night trading session will have a Tuesday trade date
• Trades executed during Tuesday night trading session will have a Wednesday trade date
• Trades executed during Wednesday night trading session will have a Thursday trade date
• Trades executed during Thursday night trading session will have a Friday trade date
• Friday night trading session is not supported

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.

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Product Launches

NewNew - Term SOFR 12 Month Reference Rate - September 19

Effective Sunday, September 19 (trade date Monday, September 20), a new Term SOFR 12 Month Reference Rate will be available on the Benchmark Administration Premium Simple Binary Encoding (SBE) Multicast channel ID 261; and the CME Globex Interest Rate futures MDP3 channel ID 312. The new reference rate will be published in addition to the 1 month, 3 month and 6 month Term SOFR reference rates on MDP3.

The first publication of the new Term SOFR 12 Month reference rate will take place on Tuesday, September 21 at approximately 5 a.m. Central Time (CT). Additional information on the CME Term SOFR Reference Rates is available on cmegroup.com

Term SOFR 12 MONTH Reference Rate
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Term SOFR 12 Month Reference Rate	T1Y	04

The new reference rate will be available for customer testing in New Release on Monday, September 13.

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BTIC on Cryptocurrency Futures with Friday Trading - September 26

Effective Sunday, September 26 (trade date Monday, September 27), pending completion of all regulatory review periods, the following BTIC on cryptocurrency futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

BTIC on Cryptocurrency Futures with Friday Trading
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
BTIC on Bitcoin Futures	BTB	BX	318
BTIC on Micro Bitcoin Futures	MIB	BX	318
BTIC on Ether Futures	ETB	RJ	318

The CME Globex trading hours for these futures will be as follows:

• Sunday - Friday 6:00 p.m. Eastern Time - 4:00 p.m. London Time (11:00 a.m./12:00 p.m. Eastern Time) for same day Reference Rate.
• Monday - Friday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. ET) - 5:00 p.m. Eastern Time for next day Reference Rate.
• Friday 4:30 p.m. London Time (11:30 a.m./12:30 p.m. Eastern Time) - 5:00 p.m. ET for the following Business Day’s Reference Rate.
• Monday - Thursday 5:00 p.m. - 6:00 p.m. Eastern Time daily maintenance period.

These products 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 CME.

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Petrol Intraday Index on Benchmark Administration Premium - September 27

Effective Monday, September 27, CME Group will launch Petroleum Intraday Index on Benchmark Administration Premium MDP.  The Intraday Index will be sent every 15 minutes. 

The messages for this index will be sent on the Benchmark Administration Premium Simple Binary Encoding (SBE) Multicast channel ID 261 via SBE template MDIncrementalRefreshSettle401. The Petroleum Intraday Index will be denoted with 731-SettlPriceType with a bit zero value of 0.

The Intraday Index will include the following values:

Petrol Intraday Index on Benchmark Administration Premium
TAG	FIX NAME	NEW VALID VALUES	DESCRIPTION
269	MDEntryType	3 = Index Value	Indicates the type of price
37500	ClearingProductCode	CVX = Petroleum Index	Clearing Product Code
167	SecurityType	INDEX = Index Product	Identifies the type of instrument
731	SettlPriceType	00000000 – Intraday Index	Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit):    1=Final    0=I

Additional product and instrument reference information can be obtained via Reference Data API.

The Petroleum Index will be available for customer testing in New Release on Wednesday, September 15.

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NewNew - Launch of E-mini Russell 2000 Monday and Wednesday Options - October 3

Effective Sunday, October 3 (trade date Monday, October 4), pending completion of all regulatory review periods, E-mini Russell 2000 Monday and Wednesday Options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Launch of E-mini Russell 2000 Monday and Wednesday Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Monday Weekly Options on E-mini Russell 2000 Index Futures (European-Style)	R1A, R2A, R3A, R4A, R5A	Outright – R4; UDS – R5	319
Wednesday Weekly Options on E-mini Russell 2000 Index Futures (European-Style)	R1C, R2C, R3C, R4C, R5C	Outright – R4; UDS – R5	319

These  options will be available for customer testing in New Release on Monday, September 20.

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

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Bursa Malaysia Derivatives (BMD) East Malaysia Crude Palm Oil Futures - October 3

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.

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Fixed Price Ratio Inter-Commodity Futures Spread - October 3

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 is currently available for customer testing in New Release.

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South American Soybean/CBOT Soybean Inter-Commodity Futures Spread - October 3

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 is currently available for customer testing in New Release.

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

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Product Changes

Listing Cycle Expansion for Cobalt Metal (Fastmarkets) Futures - This Week

Effective this 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 are currently available for customer testing in New Release.

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

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Changes to Monthly and Weeklies Options on Brazilian Real/U.S. Dollar Futures - This Week

Effective this 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:

• Reduce minimum price increment tag 969-MinPriceIncrement
• Reduce strike increment

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 are currently available for customer testing in New Release.

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UpdateUpdate - Amendments to Price Limit Calculation and Trading Halt Procedures for Select Equity Products - September 19

† Denotes update to the article

Effective Sunday, September 19 (trade date Monday, September 20), and pending all relevant CFTC regulatory review periods, the following changes will be implemented for these products:

• the price limits procedure will be amended from the current quarterly calculation in March, June, September, and December to a daily calculation with the 8%, 12%, and 16% offsets
• in the event of a trading halt, rounding conventions will be aligned with Japan Exchange Group methodology

Amendments to Price Limit Calculation and Trading Halt Procedures for Select Equity Products
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Yen Denominated Nikkei Stock Average Futures	NKD	NK
USD Denominated Nikkei Stock Average Futures	NIY	N1
E-mini Yen Denominated Nikkei Stock Average Index Futures	ENY	N1
Yen Denominated TOPIX Index Futures	TPY	TJ

For additional information, please refer to Special Executive Report SER-8840.

These changes will be available for customer testing in New Release on †Monday, September 20.

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Changes to Non-Reviewable Ranges for CBL Global Emissions Offset Futures - September 19

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.

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Amendment to Minimum Price Increment for EUR/USD Products on FX Link - September 19

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 is currently available for customer testing in New Release.

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

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Amendment to Daily Settlement Tick Size for E-mini and Micro E-mini S&P 500 Futures and Options - September 19

Effective Sunday, September 19 (trade date Monday, September 20), in parallel with the delisting of the S&P 500 futures and options, the daily settlement price increment for the following E-mini and Micro E-mini S&P 500 futures and options will be amended to 0.25 index points for futures and 0.05/0.25 index points for options.

The daily settlement price for these products will not be subject to rounding and the CME Globex trading tick will be the same as the settlement tick, the Market Data Incremental Refresh (tag 35-MsgType=X) messages will be published on the incremental feed with:

• tag 269-MDEntryType=6 (Settlement Price)
• tag 270-MDEntryPx - the price value on the CME Clearing settlement tick
• tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
• tag 5796-TradingReferenceDate

The current daily settlement price rounding increment is 0.10 index points increment for futures and 0.05/0.10 index points for 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
E-mini S&P 500 Futures	ES	ES
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 are currently available for customer testing in New Release.

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

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Delisting and Removal of S&P 500 Futures and Options - September 20

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.

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Change to Strike Price Listing for Options on Bitcoin Futures - September 26

Effective Sunday, September 26 (trade date Monday, September 27), the strike price listing rule will be changed for options on Bitcoin futures on CME Globex and for submission for clearing via CME ClearPort.

Change to Strike Price Listing for Options on Bitcoin Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Strike Price Listing	New Strike Price Listing
Options on Bitcoin Futures	BTC	B2	All contract months: 100000 point strike listed for all contract months 10000 point strike increments from 10000-600% above the ATM strike price 1000 point strike increments from 1000-400% above the ATM strike price Dynamic Strike creation in 25 point strike increments. Nearest four contract months: 500 point strike increments from 50% below to 50% above the ATM strike price. Nearest three contract months: 100 point strike increments from 30% below to 30% above the ATM strike price. Nearest two contract months: If underlying future price falls below 5000, 50 point strike increments from 20% below to 10% above the ATM strike price.	All contract months: Persistent strikes of: 500,000; 100,000; 50,000; 10,000; 5,000; 1,000. 50% up and 50% down at 1000 around settlement price if price is less than or equal to 100,000; 50% up and 50% down at 5000 around settlement price if price is greater than 100,000. Nearest four contract months: 50% up and 50% down at 500 around settlement price if price is less than or equal to 10,000. Nearest three contract months: 50% up and 50% down at 100 around settlement price if price is less than or equal to 5,000. Nearest two contract months: 50% up and 50% down at 50 below settlement price if price is less than or equal to 2,500.

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 CME.

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UpdateUpdate - Change to Maximum Order Quantity for Micro Bitcoin Futures - September 26

† Denotes update to the article

Effective Sunday, September 26 (trade date Monday, September 27), †maximum order quantity, tag 1140-MaxTradeVol for Micro Bitcoin futures will be amended on CME Globex and for submission for clearing via CME ClearPort as follows:

Change to Maximum Order Quantity for Micro Bitcoin Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current tag 1140-MaxTradeVol	New tag 1140-MaxTradeVol
Micro Bitcoin Futures	MBT	BF	100	500
Calendar Spreads on †Micro Bitcoin Futures	MBT	BF	100	500

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 CME.

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NewNew - Change to Strike Price Listing for E-mini Russell 2000 Options - October 3

Effective Sunday, October 3 (trade date Monday, October 4), the strike price listing rule will be changed for E-mini Russell 2000 Options on CME Globex and for submission for clearing via CME ClearPort.

Change to Strike Price Listing for E-mini Russell 2000 Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Strike Price Listing Schedule	New Strike Price Listing Schedule
Options on E-mini Russell 2000 Index Futures	RTO	R4	At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day's settlement price of the underlying futures At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day's settlement price of the underlying futures Once the option's underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day's settlement price of the underlying futures	50 index point integer multiples, when listed: +30% to -50% of the prior day's settlement price on the underlying future contract 10 index point integer multiples, 186 days prior to expiry (6-months prior to expiration): +10% to -25% of the prior day's settlement price on the underlying future contract 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks): +5% to -15% of the prior day's settlement price on the underlying future contract Dynamic strikes allowed at 5 index point increments.
Options on E-mini Russell 2000 Index Futures - End-of-Month	RTM	R4	At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures	50 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples, 186 days prior to expiry (6-months prior to expiration): +10% to -25% of the prior day’s settlement price on the underlying future contract 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks): +5% to -15% of the prior day’s settlement price on the underlying future contract Dynamic strikes allowed at 5 index point increments.
Weekly Options on E-mini Russell 2000 Index Futures - Week 1-4	R1E-R4E	R4	R1E, R2E and R4E (Week 1, 2 & 4) 5 index point integer multiples upon listing: +10% to -25% of the prior day’s settlement price on the underlying future contract R3E (Week 3) At all multiples of 25 index points within ±50% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures At all multiples of 10 index points within ±20% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures Once the option’s underlying futures contract becomes second nearest to delivery, at all multiples of 5 index points within ±10% of quarterly Exercise Price Reference, centered on previous day’s settlement price of the underlying futures	50 index point integer multiples, when listed: +30% to -50% of the prior day’s settlement price on the underlying future contract 10 index point integer multiples, 186 days prior to expiry (6-months prior to expiration): +10% to -25% of the prior day’s settlement price on the underlying future contract 5 index point integer multiples, 35 days prior to expiry (or 5 Weeks): +5% to -15% of the prior day’s settlement price on the underlying future contract Dynamic strikes allowed at 5 index point increments.

These  options will be available for customer testing in New Release on Monday, September 20.

For additional information, please refer to Special Executive Report SER-8853.

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

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Events and Announcements

CME SPAN 2 Margin Methodology - Q4 2021

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:

• CME Core – a CME Group hosted web application for Margin Calculation “CME CORE”
• Margin API – a CME Group hosted margin calculation API
• Deployable Margin Software – a CME Group java margin calculation library

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

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