• CME Globex Notices: January 24, 2022

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20220124
      • Notice Date
      • 27 January 2022

    • Topics in this issue include:

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

      Critical System Updates

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

      On Sunday, May 1 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

      UpdateUpdate - Container Freight Futures - February 27

      † Denotes update to the article

      Effective † Sunday, February 27 († trade date Monday, February 28), 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, February 14.

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

      † Denotes update to the article

      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 01-01 M2) TTW IV IV
      2-Year T-Note vs. 20 Year T-Bond Inter-commodity Ratio Spread († TWW 07-01 M2) TWW
      3-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread († TRW 01-01 M2) TRW
      3-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread († THW 04-01 M2) THW
      5-year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread († FTW 01-01 M2) FTW
      5-year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread († FYW 05-01 M2) FYW
      10-year T-Note vs. 20-year T-Bond Inter-commodity Ratio Spread († TYW 01-01 M2) TYW
      10-year T-Note vs. 20-year T-Bond Inter-commodity Ratio Spread († TOW 03-01 M2) TOW
      Ultra 10-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread († NYW 01-01 M2) NYW
      Ultra 10-Year T-Note vs. 20-Year T-Bond Inter-commodity Ratio Spread († NTW 02-01 M2) NTW
      T-Bond vs. 20-Year T-Bond Inter-commodity Ratio Spread († ZBW 01-01 M2) ZBW
      T-Bond vs. 20-Year T-Bond Inter-commodity Ratio Spread († ZTW 04-03 M2) ZTW
      20-Year T-Bond vs. Ultra T-Bond Inter-commodity Ratio Spread († TWU 01-01 M2) TWU
      20-Year T-Bond vs. Ultra T-Bond Inter-commodity Ratio Spread († TWB 07-05 M2) TWB

      † Please Note: CME Group may update the Treasury Inter-Commodity Spread ratios in early February. Updated ratios will be announced in future GCC notices.

      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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      NewNew - Bursa Malaysia Derivatives (BMD) Market Segment Migration and Test Environment Host IP Update - March 13

      On Sunday, March 13 (trade date Monday, March 14) Bursa Malaysia Derivatives (BMD) Globex Futures and Options market data channels will migrate to market segment id 60 (tag 1300-MarketSegmentID). With this update MSGW iLink and Drop Copy sessions must update the network configuration. Below are the channels that will be migrated to a new market segment ID.

      The following outlines the BMD market segment update:

      Channel Name MDP Channel ID
      MDP 3.0: Tag ApplID-1180      		 Current Market Segment
      MDP 3.0: Tag 1300-MarketSegmentID      		 New Market Segment
      MDP 3.0: Tag 1300-MarketSegmentID
      BMD Globex Futures 430 74 60
      BMD Globex Options 431

      The following outlines the updated BMD iLink and Drop Copy IP addresses:

      Session Type Environment New Host IP - Primary New Host IP - Backup
      iLink New Release 69.50.112.195 69.50.112.194
      Certification
      Production 205.209.201.85 205.209.201.9
      DR
      Drop Copy New Release 69.50.112.195 69.50.112.194
      Certification
      Production 205.209.216.161 205.209.218.161
      DR

      In conjunction with the market segment IP change the host IPs will be updated in the New Release and Certification environments. The new host IPs will be updated in the Market Data Configuration file.

      The new market segment and updated host IPs in the Market Data Configuration file will be available for customer testing in New Release on Monday, February 14.

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      Product Changes

      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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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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