CME Globex Notices: March 21, 2022

Critical System Updates

NewNew - Good Till Cancel (GTC) Order Eliminations for User-Defined Spreads (UDS)  - April 1

To facilitate internal maintenance, customers are asked to cancel all Good Till Cancel (GTC) orders for User-Defined Spreads (UDS) by close of business on Friday, April 1. All remaining GTC orders for UDS will be eliminated by the Global Command Center after the close on Friday. As a result, all listed UDS will naturally expire that weekend.

Clients can create UDS as usual starting Sunday, April 3.

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CME Globex Options Launching on CME Smart Stream on GCP JSON - April 10

Effective Sunday, April 10 (trade date Monday, April 11), CME Smart Stream on Google Cloud Platform (GCP) JSON will launch support for options. To support this change, the following new CME MDP attributes will be added top of book, level 2, trade and stats will be added to options messaging:

New options JSON CME Smart Stream on GCP topics will support CME Globex sourced products from the following Designated Contract Markets (DCM):

• CME
• CBOT
• COMEX
• NYMEX
• DME

Please review the Client Systems Wiki for additional information regarding Smart Stream on GCP JSON.

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

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Equity Options Market Data Source IP Update - April 29

Effective close of business Friday, April 29, CME Group will change the MDP MBO recovery source/host IPs for CME Globex Equity Options (311) and CME Globex Equity Options - excludes E-mini S&P 500 (319) as follows:

A new config.xml file will be available for customer download Saturday, April 30. See additional information on  SFTP - MDP Configuration.

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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 are currently available for customer testing in New Release.

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UpdateUpdate - Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex - May 15

† Denotes update to the article

Effective Sunday, May 15 (trade date Monday, May 16), the following futures pack spread will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.  This futures pack spread will be traded as a single outright future contract that represents four quarterly Inter-Commodity spreads between the Three-Month SOFR futures vs Eurodollar futures.

Please Note:

• The Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads follow the product definition conventions of the SED spread.
• Implieds will NOT be enabled.

When buying the SEP future, the trade will be decomposed in Clearing as buying of four Three-Month SOFR futures and sell of four Eurodollar futures.

Security Definition Example: SEPU3

†Example:  Buying the Sep 2023 SEP Future
†Buy the Sep 2023 SED spread → Buy Sep 2023 SOFR future, sell Sep 2023 ED future
†Buy the Dec 2023 SED spread → Buy Dec 2023 SOFR future, sell Dec 2023 ED future
†Buy the Mar 2024 SED spread → Buy Mar 2024 SOFR future, sell Mar 2024 ED future
†Buy the Jun 2024 SED spread → Buy Jun 2024 SOFR future, sell Jun 2024 ED future

The Three-Month SOFR futures (Clearing product code SR3) vs Eurodollar (Clearing product code ED) futures traded as SEP will be cleared as outright legs and will be priced as follows:

• The ED price will be determined as prior-day settlement.
• The SR3 price will be determined as the prior-day Eurodollar settlement price, plus ISDA (International Swaps and Derivatives Association) spread adjustment rounded to four decimals (0.2616), plus the SEP futures trade price.

For additional information on the SEP outright futures please refer to the Special Executive Report - SER-8948.

Clients can retrieve additional product and instrument information from the Reference Data API.

These futures will be available for customer testing in New Release on Monday, April 4.

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

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Product Launches

Options on Micro Bitcoin and Micro Ether Futures - This Week

Effective this Sunday, March 27 (trade date Monday, March 28), pending completion of all regulatory review periods, options on Micro Bitcoin and Micro Ether futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

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

Please Note: On Sunday, May 1, these cryptocurrency options will be migrated to a new dedicated cryptocurrency market data channel and market segment ID in Production and will be available for testing in New Release on Monday, April 11.

Please review the Cryptocurrency Market Data Channel Launch and Market Segment Update for additional details.

To facilitate this change, in New Release only, all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for these options will be cancelled or deleted after the close on Friday, April 8.

CME Group recommends all system providers use FIX tag-202 Strike Price in the Security Definition (tag 35-MsgType=d) message to determine strike price.

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

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NewNew - Russell 2000 Annual Dividend Index Futures and Nasdaq-100 Annual Dividend Futures - April 10

Effective Sunday, April 10 (trade date Monday, April 11), pending completion of all regulatory review periods, Russell 2000 Annual Dividend Index futures and Nasdaq-100 Annual Dividend futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These futures will be available for customer testing in New Release on Monday, March 28.

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

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Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures - April 10

Effective Sunday, April 10 (trade date Monday, April 11), pending completion of all regulatory review periods, Eris Bloomberg Short Term Bank Yield (BSBY) Swap futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

These Eris futures are 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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UpdateUpdate - Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads on CME Globex - May 15

† Denotes update to the article

Effective Sunday, May 15 (trade date Monday, May 16), the following futures pack spread will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.  This futures pack spread will be traded as a single outright future contract that represents four quarterly Inter-Commodity spreads between the Three-Month SOFR futures vs Eurodollar futures.

Please Note:

• The Three-Month SOFR Futures vs Eurodollar Futures Inter-Commodity Pack Spreads follow the product definition conventions of the SED spread.
• Implieds will NOT be enabled.

When buying the SEP future, the trade will be decomposed in Clearing as buying of four Three-Month SOFR futures and sell of four Eurodollar futures.

Security Definition Example: SEPU3

†Example:  Buying the Sep 2023 SEP Future
†Buy the Sep 2023 SED spread → Buy Sep 2023 SOFR future, sell Sep 2023 ED future
†Buy the Dec 2023 SED spread → Buy Dec 2023 SOFR future, sell Dec 2023 ED future
†Buy the Mar 2024 SED spread → Buy Mar 2024 SOFR future, sell Mar 2024 ED future
†Buy the Jun 2024 SED spread → Buy Jun 2024 SOFR future, sell Jun 2024 ED future

The Three-Month SOFR futures (Clearing product code SR3) vs Eurodollar (Clearing product code ED) futures traded as SEP will be cleared as outright legs and will be priced as follows:

• The ED price will be determined as prior-day settlement,
• The SR3 price will be determined as the prior-day Eurodollar settlement price, plus ISDA (International Swaps and Derivatives Association) spread adjustment rounded to four decimals (0.2616), plus the SEP futures trade price.

For additional information on the SEP outright futures please refer to the Special Executive Report - SER-8948.

Clients can retrieve additional product and instrument information from the Reference Data API.

These futures will be available for customer testing in New Release on Monday, April 4.

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

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Product Changes

Changes to Listing Schedule of One-Month Eurodollar Futures - April 3

Effective Sunday, April 3 (trade date Monday, April 4), the listing cycle for the following One-Month Eurodollar futures will be expanded on CME Globex:

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.

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Changes to Lead Month Roll Procedure for E-mini S&P 500 and Micro E-mini S&P 500 Futures - June 12

Effective Sunday, June 12 (trade date Monday, June 13), the lead month roll procedure for E-mini S&P 500 and Micro E-mini S&P 500 futures will be amended on CME Globex as follows:

Please Note: This change will be implemented for the June 2022 roll, making the March 2022 contracts the final roll using the existing procedure.

For example, the June 2022 quarterly contracts expire on Friday, June 17, 2022. Prior to the June quarterly contract expiration, the lead month will switch from the June contract to the September contract on Sunday, June 12, 2022, for trade date Monday, June 13, 2022, as opposed to Thursday, June 9, 2022 under the existing procedure.

This change will reflect the current observed trading patterns around roll dates and align the lead month roll for the contracts with the balance of the Exchange’s U.S. Equity Products.

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Events and Announcements

NewNew - Messaging Efficiency Program Q2 2022 Benchmarks

The Q2 2022 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. No changes were made to Q2 2022 existing Product Group Benchmarks vs. Q1 2022 Product Group Benchmarks.

The CME Globex Messaging Efficiency Program creates fair business guidelines by which customers are billed a surcharge for overly high message rates.

CME Globex firms who exceed the benchmark ratios in applicable product groups and are signed-up accordingly, receive email notifications of any potential surcharges. CME Globex firms who have access to the Firm Administrator Dashboard have the ability to view their messaging statistics on a T+1 basis.

Please contact your Global Account Manager with any questions.

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Messaging Efficiency Program Micro Ether Notification - March 31

Beginning Thursday evening, March 31 (trade date April 1), Micro Ether futures & spreads will be subject to EMT thresholds.

CME Group recommends market participants make any necessary technical adjustments to EZ Product Group messaging in order to refrain from exceeding EMT Thresholds at either the Globex Firm ID or iLink Session ID levels. And to be mindful that Product Group EZ includes both the standard sized and Micro Ether Contracts.

As a reminder, the Excessive Messaging Threshold (EMT) is separate from the regular Messaging Program and thresholds are as follows:

• Any Globex Firm ID which exceeds a Raw Message Count of 10 million for a Globex trade date and a Volume Ratio >500:1 in a specific product group may be subject to a $10,000 surcharge as well as other escalations.
• Any iLink Session ID which exceeds a Raw Message Count of 1 million for a Globex trade date and a Volume Ratio >500:1 in a specific product group may be subject to a $10,000 surcharge as well as other escalations.

Please refer to the CME Globex Messaging Efficiency Program or contact the following with any questions:

• Global Command Center (GCC) at 1.800.438.8616.
• Global Account Management

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