• CME Globex Notices: January 17, 2022

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20220117
      • Notice Date
      • 20 January 2022

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical System Updates

      EC Calendar Spread Leg Pricing Methodology Change - This Week

      This Sunday, January 23 (for trade date Monday, January 24), to provide a more consistent leg pricing experience, the leg pricing methodology for the SecuritySubType=EC is being modified to use leg1 (the nearest expiration) as the anchor with prior day’s settlement price when the spread trades at zero, positive or negative price. Currently, when the spread trades at a positive price, the leg2 (the deferred expiration) acts as the anchor leg.

      In addition, a new BTIC on Adjusted Interest Rate FTSE-100 Total Return Index futures calendar spread will be listed for trading on CME Globex.

      Please review the client impact assessment for additional details.

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

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      Market Data Settlement Messaging Updates - March 6

      Effective Sunday, March 6 (trade date Monday, March 7), the market data incremental (tag 35-MsgType=X; tag 269=6) settlement messaging will be updated as follows for the products outlined below.

      To improve message efficiency, the following products will no longer support Settlement at Trading Tick (tag 731-SettlPriceType, Bit 2=1):

      Market Data Settlement Messaging Updates
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Mini-Corn Futures XC XC 340
      Mini Soybean Futures XK XK
      Mini-sized Chicago SRW Wheat Futures XW XW
      Mini-sized KC HRW Wheat Futures MKC MH
      Mid-Sized Milk Futures JQ 05 316
      Micro GBP/USD Futures M6B 6B 314
      Micro USD/CNH Futures MNH RM
      Micro USD/JPY Futures M6J 6J
      Micro INR/USD Futures MIR 6P
      Micro CHF/USD Futures MSF 6S
      London Spot Silver Futures SSP SL 360
      London Spot Gold Futures GSP GL

      Additionally to improve settlement message granularity, the following product will add support for Settlement at Trading Tick (tag 731-SettlPriceType, Bit 2=1) messaging:

      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      E-mini S& MidCap 400 Futures EMD ME 318

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

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      NewNew - Cryptocurrency Market Data Channel Launch and Market Segment Update - May 1

      On Sunday, May 1, 2022 to support increased client demand for cryptocurrency futures and options products, CME Group will launch two new dedicated cryptocurrency market data channels on CME Globex. In conjunction with the cryptocurrency channel migration the market segment ID will update for MDP 3.0, MSGW iLink and MSGW Drop Copy. This update will not impact data licensing and entitlement requirements. With the launch, the following cryptocurrency products and associated spreads will be migrated to the new channels:

      • Bitcoin Futures
      • Ether Futures
      • Micro Bitcoin Futures
      • Micro Ether Futures
      • BTIC on Bitcoin Futures
      • BTIC on Ether Futures
      • BTIC on Micro Bitcoin Futures
      • BTIC on Micro Ether Futures
      • Options on Bitcoin Futures

      Please review the client impact assessment for additional details.

      These channels will be available for customer testing in New Release on Monday, March 21.

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      Product Launches

      Listing Bitcoin Futures versus Micro Bitcoin Futures Fixed Price Ratio Inter-Commodity Spreads - This Week

      Effective this Sunday, January 23 (trade date Monday, January 24), Bitcoin futures vs Micro Bitcoin futures Fixed Price Ratio Inter-Commodity spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Listing Bitcoin Futures versus Micro Bitcoin Futures Fixed Price Ratio Inter-Commodity Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762-
      SecuritySubType      		 Market Data Channel
      Bitcoin Futures vs. Micro Bitcoin Futures BTC BF AE 318

      Please Note: Implieds will NOT be enabled.

      The spreads are structured as leg1 Bitcoin Futures (BTC) minus leg2 Micro Bitcoin Futures (MBT) with a ratio of 1:50. Additional information on the Fixed Priced Ratio Inter-Commodity spreads can be found on the Spreads and Combinations Available on CME Globex confluence page.

      Example: Buying the spreads results in:
      Buy 1 January 2022 Bitcoin Futures (BTC)
      Sell 50 March 2022 Micro Bitcoin Futures (MBT)

      These spreads 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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      EC Calendar Spread Leg Pricing Methodology Change - This Week

      This Sunday, January 23 (for trade date Monday, January 24), to provide a more consistent leg pricing experience, the leg pricing methodology for the SecuritySubType=EC is being modified to use leg1 (the nearest expiration) as the anchor with prior day’s settlement price when the spread trades at zero, positive or negative price. Currently, when the spread trades at a positive price, the leg2 (the deferred expiration) acts as the anchor leg.

      In addition, a new BTIC on Adjusted Interest Rate FTSE-100 Total Return Index futures calendar spread will be listed for trading on CME Globex.

      Please review the client impact assessment for additional details.

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

      Back to Top

      Japanese Power (Day-Ahead) Tokyo Base-Load Average Price Option - This Week

      Effective this Sunday, January 23 (trade date Monday, January 24), pending completion of all regulatory review periods, Japanese Power (Day-Ahead) Tokyo Base-Load Average Price option will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Japanese Power (Day-Ahead) Tokyo Base-Load Average Price Option
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Japanese Power (Day-Ahead) Tokyo Base-Load Average Price Option JTO PH (UDS: PG) 387

      This Japanese Power (Day-Ahead) Tokyo Base-Load Average Price option are 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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      Container Freight Futures - February 13

      Effective Sunday, February 13 (trade date Monday, February 14), pending completion of all regulatory review periods, Container Freight futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Container Freight Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 TAG 996-UNITOFMEASURE Market Data Channel
      Container Freight (China/East Asia to US West Coast) (FBX01) (Baltic) Futures CS1 FT FEU (Forty Foot Equivalent Unit) 386
      Container Freight (US West Coast to China/East Asia) (FBX02) (Baltic) Futures CS2
      Container Freight (China/East Asia to US East Coast) (FBX03) (Baltic) Futures CS3
      Container Freight (China/East Asia to North Europe) (FBX11) (Baltic) Futures CS4
      Container Freight (North Europe to China/East Asia) (FBX12) (Baltic) Futures CS5
      Container Freight (China/East Asia to Mediterranean) (FBX13) (Baltic) Futures CS6

      Please Note: Container Freight futures will feature a new value for tag 996-UnitofMeasure=FEU (Forty Foot Equivalent Unit).

      These futures will be available for customer testing in New Release on Monday, January 31.

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

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      Listing 20-Year U.S. Treasury Bond Futures - March 6

      Effective Sunday, March 6 (trade date Monday, March 7), pending completion of all regulatory review periods, 20-Year U.S. Treasury Bond Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Listing 20-Year U.S. Treasury Bond Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      20-Year U.S. Treasury Bond Futures TWE ZY 344

      These futures will be available for customer testing in New Release on January 31.

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

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      Listing 20-Year U.S. Treasury Bond Futures Spreads - March 6

      Effective Sunday, March 6 (trade date Monday, March 7), the following Implied Treasury spreads for the 20-Year U.S. Treasury Bond Futures will be listed on CME Globex.

      Listing 20-Year U.S. Treasury Bond Futures Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762- SecuritySubType
      2-Year T-Note vs. 20 Year T-Bond Inter-commodity Ratio Spread TTW IV IV
      2-Year T-Note vs. 20 Year T-Bond Inter-commodity Ratio Spread TWW
      3-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread TRW
      3-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread THW
      5-year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread FTW
      5-year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread FYW
      10-year T-Note vs. 20-year T-Bond Inter-commodity Ratio Spread TYW
      10-year T-Note vs. 20-year T-Bond Inter-commodity Ratio Spread TOW
      Ultra 10-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread NYW
      Ultra 10-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread NTW
      T-Bond vs. 20-Year T-Bond Inter-commodity Ratio Spread ZBW
      T-Bond vs. 20-Year T-Bond Inter-commodity Ratio Spread ZTW
      20-Year T-Bond vs. Ultra T-Bond Inter-commodity Ratio Spread TWU
      20-Year T-Bond vs. Ultra T-Bond Inter-commodity Ratio Spread TWB

      These spreads will be available for customer testing in New Release on Monday, January 31.

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

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      Product Changes

      Expansion to Strike Price Listing and Increased Listing Cycle Schedule for Options on E-mini Nasdaq-100 Index Futures - This Week

      Effective this Sunday, January 23 (trade date Monday, January 24), the following changes will be made to the E-mini Nasdaq-100 Options on CME Globex:

      • Expansion of strike price listing for all E-mini Nasdaq-100 Options
      • Increased listing schedule for E-mini Nasdaq-100 Weekly Options (Friday expiries).

      For additional information on these changes, please refer to the Special Executive Report SER-8895.

      Expansion to Strike Price Listing for Options on E-mini Nasdaq-100 Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Strike Price Listing Procedures New Strike Price Listing Procedures
      Options on E-mini Nasdaq-100 Futures NQ QZ 100 index point integer multiples upon listing: +30% to -50% of the prior day’s settlement price on the underlying future contract
      10 index point integer multiples for the nearest expiration: +10% to -20% of the prior day’s settlement price on the underlying future contract.      		 500-point increment: -50% to +30% (when listed)
      100-point increment: -40% to +20% (‹186 DTE)
      50-point increment: -25% to +10% (‹96 DTE)
      10-point increment: -10% to +5% (‹35 DTE)
      Dynamic strikes allowed at 5 index point increments.
      Options on E-mini Nasdaq-100 Index Futures - End-of-Month (European-Style) QNE NW 100 index point integer multiples upon listing: +30% to -50% of the prior day’s settlement price on the underlying future contract
      10 index point integer multiples for the nearest three expirations: +10% to -20% of the prior day’s settlement price on the underlying future contract

      Wednesday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)

      Monday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)

      		 Q1A-Q5A & Q1C-Q5C NW Strikes listed within +10% to -20% of the prior day’s settlement price of the underlying future contract in 10 index point increments.
      Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-4 (European-Style); QN1-QN4 NW Weeks 1, 2 and 4: +10% to -20% of the prior day’s settlement price of the underlying future contract in 10 index point increments
      Week 3: +30% and -50% of the prior day’s settlement price of the underlying future contract in 100 index point increments and +10% and -20% in 10 index point increments

      Increased Listing Cycle Schedule for Weekly Options on E-mini Nasdaq-100 Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Cycle New Listing Cycle
      Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-4 (European-Style); QN1-QN4 NW 2 weekly contracts of week 3; no listings provided for March, June, Sept, or Dec. 3 consecutive contracts of Week 3, including Mar, Jun, Sep, and Dec. These options will expire into the next named quarterly month (i.e., QN3H2 will expire into positions in the NQM2 Future)

      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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      NewNew - Change to Strike Price Listing for Options on Bitcoin Futures - February 13

      Effective Sunday, February 13 (trade date Monday, February 14), 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 New
      Options on Bitcoin Futures BTC B2

      Two nearest contract months:
      50% up and 50% down at 50 below settlement price if price is less than 2,501;

      Three nearest contract months:
      50% up and 50% down at 100 around settlement price if price is less than 5,001;

      Four nearest contract months:
      50% up and 50% down at 500 around settlement price if price is less than 10,001;

      All contract months:
      50% up and 50% down at 1000 around settlement price if price is less than 100,001;
      50% up and 50% down at 5000 around settlement price if price is greater than 100,001.

      Persistent strikes of:
      500,000; 100,000; 50,000; 10,000; 5,000; 1,000

      Dynamic Strike support:
      In increments of 25

      		 At all times:
      Persistent strikes of:
      $500,000; $100,000; $50,000; $10,000; $5,000; $1,000
      Dynamic Strike Support:
      Strike increments of 25
      If bitcoin > $500K:
      Strike increment = $100,000: -100% to +400%
      Strike increment = $10,000: -50% to +100%
      If bitcoin <= $500K: Strike increment = $50,000: -100% to +400%
      Strike increment = $5,000: -50% to +100%
      If bitcoin <= $100K: Strike increment = $10,000: -100% to +400%
      Strike increment = $1,000: -50% to +100%
      If bitcoin <= $50K: Strike increment = $5,000: -100% to +400%
      Strike increment = $500: -50% to +100%
      If bitcoin <= $10,000: Strike increment = $1000: -100% to +400%
      Strike Increment = $100: -50% to +100%
      If bitcoin <= $5,000: Strike increment = $500: -100% to +400%
      Strike Increment = $50: -50% to +100%
      Less than 35 Days to Expiration (DTE):
      If bitcoin > $500K:
      Strike increment = $5,000: -10% to +20%
      If bitcoin <= $500K:
      Strike increment = $2,500: -10% to +20% If bitcoin <= $100K
      Strike increment = $500: -10% to +20%
      If bitcoin <= $50K
      Strike increment = $250: -10% to +20%
      If bitcoin <= $10,000
      Strike increment = $50: -10% to +20%
      If bitcoin <= $5,000:
      Strike increment = $25: -10% to +20%

      These options will be available for customer testing in New Release on Monday, January 31.

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

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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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