CME Globex Notices: September 26, 2022

Critical Updates

iLink 3 SBE Schema Update - This Week

On this Sunday, October 2 (trade date Monday, October 3), CME Group will complete the iLink 3 SBE schema update to version 8 to support the upcoming CME Globex enhancements. More information regarding these enhancements will be published in the future CME Globex Notices. The overview of iLink 3 schema updates is now available.

In order to ease customer development efforts, the new SBE schema files will support Template Extension for iLink 3 messages sent from client systems to CME Globex until the end of day Friday, November 18. Client systems can send iLink 3 messages using schema version 7 or 8; however CME Globex will only send messages using schema version 8.

Futures and Options on Futures - Production Rollout
DATE	MESSAGES FROM CLIENT	MESSAGES FROM CME GLOBEX
Currently	V7 or V8 for market segments that support V8	V8 for market segments that support 8
October 2	V7 or V8 for all segments	V8 only
November 20	V8 only	V8 only

Effective Sunday, November 20, version 8 schema will be the only version supported in production. Any messages sent in V7 will be rejected.

The new version 8 schema is currently available in New Release for customer testing.

Back to Top

iLink 3 Order Cancel and Cancel/Replace Requests by ClOrdID - This Week

Starting this Sunday, October 2 (trade date Monday, October 3), CME Group will begin launching a new risk management feature that allows clients to cancel and modify resting orders using FIX tag 11-ClOrdID, without providing tag 37-OrderID. This feature will be enabled for all CME Group futures and options on futures on CME Globex. It is only available on iLink 3 sessions using the v8 schema. However, iLink 2 sessions are also impacted by this launch.

Prior to each launch weekend, clients must ensure all resting Good Till Cancel (GTC) and Good Till Date (GTD) orders have a unique tag 11-ClOrdID value per SenderComp and market segment. On each launch weekend, any resting GTC/GTD orders will be evaluated for duplicative ClOrdID values per SenderComp and market segment. Orders with duplicate values will be eliminated prior to the open.

Please review the Client Impact Assessment for full technical details and launch schedule.

Certification in AutoCert+ is required to utilize the new Order Cancel and Cancel/Replace Requests by ClOrdID functionality. This change and the new AutoCert+ test suite are currently available in New Release for customer testing and certification.

Back to Top

NewNew - CME Globex Performance Change for E-mini S&P 500 Futures - October 30

Effective Sunday, October 30 (trade date Monday, October 31), CME Globex will implement internal changes to the lead month future contracts in E-mini S&P markets that will result in additional processing on a small subset of match events. These changes will have no functional or messaging impacts to client gateways. In internal testing, these changes increased latency slightly and had no impact on market dynamics. There is no plan to apply these changes to other markets at this time.

Back to Top

UpdateUpdate - CME FX Instrument Migration and Market Data Channel Consolidation - October 30

† Denotes update to the article

On Sunday, October 30 (trade date Monday, October 31), to streamline the dissemination of CME FX market data offerings, CME FX futures and options instruments will be migrated onto distinct existing market segments and their MDP 3.0 market data channels consolidated on CME Globex as follows:

• Migrate all CME FX futures and FX Link instruments to a single market segment (MDP 3.0: Tag 1300-MarketSegmentID=52) from the current two market segments.
• Migrate all CME FX options instruments to a single existing market segment (MDP 3.0: Tag 1300-MarketSegmentID=88) from the current two market segments.
• Consolidate the CME FX futures market data channels to a single market data channel (MDP 3.0: TAG ApplID-1180=314) from the current two market data channels
• Consolidate the CME FX Options market data channels to a single market data channel (MDP 3.0: TAG ApplID-1180=321) from the current two market data channels

With this update the IP configuration for MSGW iLink and Drop Copy sessions will be updated. iLink and Drop Copy Convenience Gateway (CGW) network configurations will not be impacted.

Source IP information for configured firewall or network devices will not be impacted by these changes. These changes will not impact data licensing and entitlement requirements. The updated MDP 3.0 channel config file will reflect the new CME FX futures and options product mapping.

Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders will not be cancelled with these changes.

† In internal testing, the instrument migration reduced CME Globex latency for the futures less than 10% at the median and up to 90% at the 99th percentile. CME FX options’ latency remained unchanged.

Please review the client impact assessment for additional details.

These changes will be available for customer testing in New Release on Monday, October 3.

Product Launches

Ethylene CFR NE Asia (ICIS) Futures and Propylene CFR NE Asia (ICIS) Futures - This Week

Effective this Sunday, October 2 (trade date Monday, October 3), pending completion of all regulatory review periods, the Ethylene CFR NE Asia (ICIS) futures and Propylene CFR NE Asia (ICIS) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Ethylene CFR NE Asia (ICIS) Futures and Propylene CFR NE Asia (ICIS) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Ethylene CFR NE Asia (ICIS) Futures	NA2	JR	386
Propylene CFR NE Asia (ICIS) Futures	NA3	JR	386

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

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

Back to Top

Argus North American Crude Oil Futures - This Week

Effective this Sunday, October 2 (trade date Monday, October 3), pending completion of all regulatory review periods, Argus North American Crude Oil futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Argus North American Crude Oil Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Southern Green Canyon (Argus) vs. WTI Trade Month Futures	SCT	CC	382
Bakken Cushing (Argus) vs. WTI Trade Month Futures	BKT	CC	382
Southern Green Canyon (Argus) vs. WTI Financial Futures	SCF	CC	382
Bakken Cushing (Argus) vs. WTI Financial Futures	BKF	CC	382

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

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

Back to Top

E-mini Nasdaq-100 Tuesday & Thursday Options - This Week

Effective this Sunday, October 2 (trade date Monday, October 3), pending completion of all regulatory review periods, E-mini Nasdaq-100 Tuesday and Thursday options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

E-mini Nasdaq-100 Tuesday & Thursday Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
Tuesday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style)	Q1B-Q5B	QZ	319
Thursday Weekly Options on E-mini Nasdaq-100 Index Futures - Week 1-5 (European-Style	Q1D-Q5D	QZ	319

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

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

Back to Top

Bursa Malaysia Derivatives (BMD) Crude Palm Oil vs East Malaysia Crude Palm Oil Inter-Commodity Futures Spreads - This Week

Effective this Sunday, October 2 (trade date Monday, October 3), and pending final regulatory approval, inter-commodity spreads between Bursa Malaysia Derivatives (BMD)’s Crude Palm Oil vs BMD East Malaysia Crude Palm Oil futures will be made available for trading on CME Globex.

BURSA MALAYSIA DERIVATIVES (BMD) CRUDE PALM OIL VS EAST MALAYSIA CRUDE PALM OIL INTER-COMMODITY FUTURES 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
Crude Palm Oil vs East Malaysia Crude Palm Oil Futures	FCPO	BC	IS	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.

Back to Top

NewNew - LNG North West Europe Marker (Platts) Futures - October 23

Effective Sunday, October 23 (trade date Monday, October 24), pending completion of all regulatory review periods, LNG North West Europe Marker (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

LNG North West Europe Marker (Platts) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Market Data Channel
LNG North West Europe Marker (Platts) Futures	NWM	GU	386

These LNG North West Europe Marker (Platts) futures will be available for customer testing in New Release on Monday, October 3.

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

Back to Top

Additional CVOL Indices on Benchmark Administration Premium - October 23

Effective Sunday, October 23 (trade date Monday, October 24), the following CME Group Volatility Index (CVOL) products will be listed on Benchmark Administration Premium UDP Multicast and GCP SBE.

Additional CVOL Indices on Benchmark Administration Premium
Product Name	Tag 55 - Symbol	TAG 37500 - ClearingProductCode	TENOR SELECTION	Multicast channel & GCP SBE Channel Number
SR3 1-YEAR MIDCURVE 90-DAY (S1VL)	SKEW:S1VL	S1VL	Tenor Selection 7 (90 DTE)	261
	DNVAR:S1VL
	ATMVOL:S1VL
	CVOL:S1VL
	CONVEX:S1VL
	UPVAR:S1VL
SR3 2-YEAR MIDCURVE 90-DAY (S2VL)	UPVAR:S2VL	S2VL
	SKEW:S2VL
	DNVAR:S2VL
	CONVEX:S2VL
	CVOL:S2VL
	ATMVOL:S2VL
SOFR-SR3 90-DAY(SRVL)	DNVAR:SRVL	SRVL
	ATMVOL:SRVL
	UPVAR:SRVL
	CVOL:SRVL
	CONVEX:SRVL
	SKEW:SRVL

Additional product and instrument information are defined in Reference Data API.

The CVOL Indexes are currently available for customer testing in New Release.

Back to Top

NewNew - Listing Euro Short-Term Rate (ESTR) Futures - October 30

Effective Sunday, October 30 (trade date Monday, October 31), pending completion of all regulatory review periods, the following Euro Short-Term Rate (ESTR) futures will be listed on CME Globex and for submission for clearing via CME ClearPort.

Listing Euro Short-Term Rate (ESTR) Futures
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	MARKET DATA CHANNEL
Euro Short-Term Rate (ESTR) Futures	ESR	EY	312
Euro Short-Term Rate (ESTR) Three-Month Single Contract Basis Spread Futures	EUS	SP	312

For additional information, please refer to Special Executive Report SER-9059.

These futures will be made available for customer testing in New Release on Monday, October 3.

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

Back to Top

30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be-Announced (TBA) Futures - Postponed

The previously announced launch of 30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be-Announced (TBA) futures has been postponed. The new production launch date will be announced in future CME Globex notices in Q4 2022.

Please see Special Executive Report-9012R for additional details.

Back to Top

Product Changes

NewNew - Delisting and Removal of NYMEX API5 Thermal Coal Futures - This Week

On Monday, September 26 the following NYMEX API5 Thermal Coal futures were delisted, and effective close of business Friday, September 30 these futures will be removed from CME Globex.

Delisting and Removal of NYMEX API5 Thermal Coal Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Coal (API 5) fob Newcastle (Argus/McCloskey) futures	ACM	CO
Micro Coal (API 5) fob Newcastle (Argus/McCloskey) futures	M5F	CO

These futures currently have no open interest.

Back to Top

NewNew - Removing Volatility Quoted Functionality for FX Options - This Week

On Monday, September 26, Volatility-Quoted options (VQO) functionality was disabled on CME Globex for all FX options. The following monthly and weekly volatility-quoted option instruments will be removed from CME Globex.

Removing Volatility Quoted Functionality for FX Futures and Options
PRODUCT	Volatility-Quoted Options	MDP 3.0: TAG 6937-ASSET
Euro FX (EUR/USD)	EUR/USD Monthly Volatility-Quoted options	VXT
	EUR/USD Weekly Friday Volatility-Quoted options	VTA-VTE
	EUR/USD Weekly Wednesday Volatility-Quoted options	VE1-VE5
Japanese Yen (JPY/USD)	JPY/USD Monthly Volatility-Quoted options	VXJ
	JPY/USD Weekly Friday Volatility-Quoted options	VJA-VJE
	JPY/USD Weekly Wednesday Volatility-Quoted options	VJ1-VJ5
British Pound (GBP/USD)	GBP/USD Monthly Volatility-Quoted options	VXB
	GBP/USD Weekly Friday Volatility-Quoted options	VBA-VBE
	GBP/USD Weekly Wednesday Volatility-Quoted options	VG1-VG5
Canadian Dollar (CAD/USD)	CAD/USD Monthly Volatility-Quoted options	VXC
	CAD/USD Weekly Friday Volatility-Quoted options	VCA-VCE
	CAD/USD Weekly Wednesday Volatility-Quoted options	VC1-VC5
Australian Dollar (AUD/USD)	AUD/USD Monthly Volatility-Quoted options	VXA
	AUD/USD Weekly Friday Volatility-Quoted options	VAA-VAE
	AUD/USD Weekly Wednesday Volatility-Quoted options	VA1-VA5
Canadian Dollar (CHF/USD)	CHF/USD Monthly Volatility-Quoted options	VXS
	CHF/USD Weekly Friday Volatility-Quoted options	VSA-VSE

Back to Top

Amendment to Trading Hours for CBOT Mini-Sized Agriculture Futures - This Week

Effective this Sunday, October 2 (trade date Monday, October 3), the trading hours for the following CBOT mini-sized agriculture futures will be amended:

Amendment to Trading Hours for CBOT Mini-Sized Agriculture Futures
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP	CURRENT TRADING HOURS	NEW TRADING HOURS
Mini-Sized Corn Futures	XC	XC	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:45 p.m. CT	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:20 p.m. CT
Mini-Sized KC HRW Wheat Futures	MKC	MH	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:45 p.m. CT	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:20 p.m. CT
Mini-Sized Soybean Futures	XK	XK	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:45 p.m. CT	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:20 p.m. CT
Mini-Sized Wheat Futures	XW	XW	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:45 p.m. CT	Sunday - Friday, 7:00 p.m. - 7:45 a.m. CT and Monday - Friday, 8:30 a.m. - 1:20 p.m. CT

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

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

Back to Top

NewNew - Amendments to CBL Nature-Based Global Emissions Offsets Futures - October 23

Effective Sunday, October 23 (trade date Monday, October 24), the CBL Nature-Based Global Emissions Offsets futures will be amended to expand the outright monthly contracts for the current year and the next five calendar years.

Currently monthly contracts are listed for the current year and the next three calendar years.

AMENDMENTS TO CBL NATURE-BASED GLOBAL EMISSIONS OFFSETS 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
CBL Nature-Based Global Emissions Offsets Futures	NGO	VX	Monthly contracts listed for the current year and the next three (3) calendar years.	Monthly contracts listed for the current year and the next five (5) calendar years.

This change will be made available for customer testing in New Release on Monday, October 3.

For additional information, please refer to Special Executive Report SER-9054.

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

Back to Top

Listing Rule Change for Weekly Energy Options - October 23

Effective Sunday, October 23 (trade date Monday, October 24), listing rule changes will allow the listing of weekly energy option contracts that expire on the same day as the monthly option.

Currently, CME Globex does not allow the listing of weekly Energy option contracts if they would expire on the same day as the corresponding monthly option.

Please note: When the weekly contract expiration coincides with the monthly option contract expiration, the weekly option exercises into or settles against the second listed futures contract month.

LISTING RULE CHANGE FOR WEEKLY ENERGY OPTIONS
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Crude Oil Weekly Option	LO1-LO5	LO
Brent Crude Oil Weekly Option	BW1-BW5	OT
Natural Gas Weekly Financial Option	LN1-LN5	LG
Natural Gas Weekly Option	ON1-ON5	ON
Micro WTI Crude Oil Weekly Option	MW1-MW5	M8

† This change will be made available for customer testing in New Release on Monday, October 3.

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

Back to Top

Changes to SPIKES™ Volatility Index Futures - October 30

Effective Sunday, October 30 (trade date Monday, October 31), the minimum price increment and strategy type for SPIKES™ Volatility Index futures will change on CME Globex as follows:

CHANGES TO SPIKES™ VOLATILITY INDEX 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 TAG 762 - SECURITYSUBTYPE	NEW TAG 762 - SECURITYSUBTYPE
SPIKES™ Volatility Index Futures	SPK	MX	5.000000000	1.000000000	RT (Reduced Tick)	SP (Standard Calendar Spread)

Note: With this change the daily settlement tick will also change from 0.05 to 0.01.

These changes will be available for customer testing in New Release on Monday, October 3.

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

Back to Top

Change to Bursa Malaysia Derivatives (BMD) Extended Night Trading Session - December 2022

In December 2022 and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will extend its night trading session for selected products on CME Globex. Due to the time difference between Malaysian Time and Central Time, the extended night trading session activities will begin the business day prior to actual trade date in Malaysian time. The new extended 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 Extended Night Trading Session
Current Monday - Thursday Night Trading Session	New Monday - Thursday Night Trading Session
21:00:00 hours to 23:30:00 hours (Malaysia time)	21:00:00 hours to 02:30:00 hours (Malaysia time)

 

Selected Products for Extended Night Trading Session
PRODUCT	MDP 3.0: TAG 6937-ASSET	ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
FTSE  Kuala Lumpur Composite Index Futures	FKLI	BE
Gold Futures	FGLD	BG
MINI FTSE BURSE MALAYSIA MID 70 IDX	FM70	BS
FTSE Kuala Lumpur Composite Index Options	OKLI	BO (UDS: BU)
BMD Tin Futures	FTIN	BN
3 Month Kuala Lumpur Interbank Offered Rate Futures	FKB3	BT

This change is now available for customer testing in New Release.

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

Back to Top

Events and Announcements

NewNew - Messaging Efficiency Program Q4 2022 Benchmarks - Q4 2022

The Q4 2022 CME Globex Messaging Efficiency Program Product Group Benchmarks are now available. No changes were made to Q4 2022 existing Product Group Benchmarks vs. Q3 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.

Back to Top

CME Group DR Datacenter Migration Test Postponed - March 2023

The mock disaster recovery test previously scheduled for September 10 has been postponed to early March 2023. Additional details, test scripts, and registration information will be announced in future CME Globex Notices. In the interim, we look forward to our customers joining us for the FIA Disaster Recovery Test on October 15, 2022.

Back to Top

Cessation of Eurodollar CVOL Indices - March 6

On Monday, March 6, 2023, the calculation and publication of the following three Eurodollar CVOL benchmarks and associated derivative indicators, which use Eurodollar futures and options as input data, will permanently cease as approved by the CVOL Oversight Committee.

• Eurodollar 90-day CVOL
• Eurodollar 1-year Mid-curve 90-day CVOL
• Eurodollar 2-year Mid-curve 90-day CVOL

Additional information on this change is available on the CVOL webpage.

Any comments or queries regarding the cessation of the three Eurodollar CVOLs should be sent to benchmark@cmegroup.com.

Back to Top