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CME Globex Notices: December 12, 2022
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- To
- CME Globex and Market Data Customers
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- From
- Global Market Solutions & Services (GMSS)
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- #
- 20221212
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- Notice Date
- 15 December 2022
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Topics in this issue include:
- Critical Updates
- Update to Request for Quote Functionality (RFQ) - January 22
- iLink 3 Cancel On Behalf Functionality - February 12
- Product Launches
- Additional CME CF Benchmark Products – Decentralized Finance (DeFi) Pricing Data - This Week
- New - New Crop Corn and Soybean Weekly Options - January 22 New
- BTIC and BTIC+ on EUR/USD Futures - February 5
- Product Changes
- Changes to SOFR Futures and Options - January 8
- New - Change to Strike Price Listing for Equity Options - January 22 New
- Enable Implied Functionality for CME FX Futures - January 22
- New - Migration of Open Interest and Delisting of E-mini S&P 500 Quarterly PM Options - February 10 New
- New - Delisting and Removal of E-mini S&P 500 Quarterly PM Options - February 13 New
- Events and Announcements
- Critical Updates
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For the latest roadmap of CME Group technology initiatives:
See the Development Launch Schedule.Critical Updates
Update to Request for Quote Functionality (RFQ) - January 22
Starting Sunday, January 22 (trade date Monday, January 23), CME Globex will update the RFQ tag formats for MDP3.0 tag 131-QuoteReqID, and iLink 2 and iLink 3 tag 9770-ExchangeQuoteRefId, to contain only numeric string values. The data types for these tags will not change. This notice is informational only. Clients should not parse these tags for reference information.
New Release and Production release dates are outlined below.
Market Segment ID
Description
MDP Channel(s)
New Release Launch
Production Launch
68
CME Equity Futures II; CBOT Equity Futures
318 - CME Globex Equity Futures excluding ES
Available
Sunday, January 22
342 - CBOT Globex Equity Index Futures
76
NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures
384 - NYMEX Globex Metals, Softs & Alternative Markets Futures
Available
Sunday, January 22
360 - COMEX Globex Futures
50
CME Interest Rate Options
313 - CME Globex Interest Rate Options
Available
Sunday, January 22
56
NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Markets Options; COMEX Options; DME Options
441 - DME Globex Options
Available
Sunday, February 5
383 - NYMEX Globex Crude & Crude Refined Options
387 - NYMEX Globex Nat Gas & other Non-Crude Energy Options
385 - NYMEX Globex Metals, Softs & Alternative Markets Options
361 - COMEX Globex Options
58
CBOT Interest Rate Options
345 - CBOT Globex Interest Rate Options
Available
Sunday, February 5
52
CME FX Futures and Options II
320 - CME Globex FX Futures II
Available
Sunday, February 5
321 - CME Globex FX Options II
54
CME Equity Options - S&P Options
311 - CME Globex Equity Options (ES)
Available
Sunday, February 5
323 - CME Globex Equity Options - Micro E-mini
72
CBOT and CME Equity Options; excluding S&P
319 - CME Globex Equity Options excluding ES
Available
Sunday, February 5
343 - CBOT Globex Equity Index Options
88
CME FX Futures and Options
314 - CME Globex FX Futures
Available
Sunday, February 5
315 -CME Globex FX Options
74
CME Crypto Futures and Options; Event Contracts
310 - ES Synthetic Future
Monday, December 5
Sunday, February 12
318 - E-mini Nasdaq and E-mini Russel Synthetic Future
320- Euro/USD Synthetic Future
329 - Event Contracts
342 - E-mini DJIA Synthetic Future
360 - COMEX Synthetic Futures
382 - NYMEX Synthetic Futures
326- CME Crypto Futures
327 - CME Crypto Options
64
CME Equity Futures - E-mini S&P
310 - CME Globex Equity Futures (ES)
Monday, December 5
Sunday, February 12
78
NYMEX Emissions and Non-Crude Energy Futures
380 - NYMEX Globex Emissions Futures
Monday, December 5
Sunday, February 12
386 - NYMEX Globex Nat Gas & other Non-Crude Energy Futures
80
DME Futures; NYMEX Crude and Crude Refined Energy Futures
440 - DME Globex Futures
Monday, December 5
Sunday, February 12
382 - NYMEX Globex Crude & Crude Refined Futures
82
CME and CBOT Interest Rate Futures
312 - CME Globex Interest Rate Futures
Monday, December 5
Sunday, February 12
348 - CBOT Interest Rate Futures II
84
CBOT Interest Rate Futures
344 - CBOT Globex Interest Rate Futures
Monday, December 5
Sunday, February 12
70
CME, CBOT and MGEX Commodity Futures
316 - CME Globex Commodity Futures
Monday, December 5
Sunday, February 12
340 - CBOT Globex Commodity Futures
460 - MGEX Globex Futures
60
CME, CBOT and MGEX Commodity Options
Bursa Malaysia Futures and Options
431 - BMD Globex Options
Monday, December 5
Sunday, February 12
317 - CME Globex Commodity Options
341 - CBOT Globex Commodity Options
430 - BMD Globex Futures
461 - MGEX Globex Options
iLink 3 Cancel On Behalf Functionality - February 12
Starting Sunday, February 12, 2023 (trade date Monday, February 13), CME Group will launch a new Cancel On Behalf functionality that allows iLink 3 sessions to cancel orders and quotes from different iLink 3 sessions under the same CME Globex Firm ID (GFID). This functionality 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 schema version 8. Cancel On Behalf is not allowed on iLink2 orders and quotes.
In addition to the new Cancel On Behalf functionality, CME Group will allow client systems to block future mass quotes submissions from a different iLink 3 session under the same GFID via Quote Cancel (tag 35-MsgType=Z) message using a new tag 9182-QuoteEntryOpen = 0. The original session will have the ability to remove this block by submitting a Mass Quote (tag 35-MsgType=i) message with tag 9182-QuoteEntryOpen = 1.
Please review the Client Impact Assessment for full technical details and launch schedule.
This change is currently available in New Release for customer testing.
Certification in AutoCert+ is required to utilize the new Cancel On Behalf functionality. The new AutoCert+ test suite is currently available for customer certification.
Product Launches
Additional CME CF Benchmark Products – Decentralized Finance (DeFi) Pricing Data - This Week
Starting Monday, December 19, shortly after 10 a.m. London Time, pending completion of all regulatory review periods, CME Group and CF Benchmarks will launch additional cryptocurrency benchmarks designed to provide clients with transparent, robust, reliable reference rates and real-time pricing in the growing Decentralized Finance (DeFi) space.
The pricing data will be disseminated via the streamlined CME CF Cryptocurrency Pricing Market Data feed on channel 213 and through CME DataMine.
The feed will publish the following:
- Standardized reference rates (in US dollars), published shortly after 4 p.m. London Time each day, including weekends and bank holidays
- Real-time index pricing data (in US dollars), published approximately once every second
Reference Rate and Real Time Index
Ticker
CME CF Aave – Dollar Reference Rate
AAVEUSD_RR
CME CF Aave – Dollar Real Time Index
AAVEUSD_RTI
CME CF Curve – Dollar Reference Rate
CRVUSD_RR
CME CF Curve – Dollar Real Time Index
CRVUSD_RTI
CME CF Synthetix – Dollar Reference Rate
SNXUSD_RR
CME CF Synthetix – Dollar Real Time Index
SNXUSD_RTI
The additional cryptocurrency pricing data is currently available for testing in New Release.
Certification is not required.
NewNew - New Crop Corn and Soybean Weekly Options - January 22
Effective Sunday, January 22 (trade date Monday, January 23), pending completion of all regulatory review periods, New Crop Corn and Soybean Weekly options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
New Crop Corn and Soybean Weekly Options Product
MDP 3.0: tag 6937-Asset
iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupMarket Data Channel
New Crop Corn Weekly Options
0C
CN1-CN5
341
New Crop Soybean Weekly Options
SQ
SN1-SN5
341
These weekly options will be available for customer testing in New Release on Monday, January 9.
These contracts are listed with, and subject to, the rules and regulations of CBOT.
BTIC and BTIC+ on EUR/USD Futures - February 5
Effective Sunday, February 5, 2023 (trade date Monday, February 6), pending completion of all regulatory review periods BTIC and BTIC+ on EUR/USD futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.
BTIC and BTIC+ on EUR/USD Futures PRODUCT MDP 3.0: TAG 6937-ASSET ILINK: TAG 55-SYMBOL
MDP 3.0 TAG 1151 - SECURITY GROUPMARKET DATA CHANNEL BTIC on EUR/USD Futures
6EB
6D
314
Nearby BTIC+ on EUR/USD Futures
6EP
6X
314
Please Note: Participants would execute a basis trade between the official WM/Refinitiv 16:00 London time FX spot closing rate and a CME FX futures contract to hedge and manage their fixing risk more precisely.
The price format on the MDP 3.0 Security Definition (tag 35-MsgType=d) for the underlying EUR/USD futures will remain unchanged on CME Globex and CME Clearport.
For additional information, please refer to Special Executive Report SER-9096.
These products will be available for customer testing in New Release on Monday, December 19.
These contracts are listed with, and subject to, the rules and regulations of CME.
Product Changes
Changes to SOFR Futures and Options - January 8
Effective Sunday, January 8, 2023 (trade date Monday, January 9), the following changes will be made to SOFR futures and options:
- Enable a maximum display tag 210-MaxShow for the Three-Month SOFR futures (tag 6937-Asset=SR3) to a maximum display ratio of 1:60. Currently these futures have no maximum display ratio.
- Disable Displayed Quantity functionality in tag 210-MaxShow(iLink 2) or tag 1138-DisplayQty(iLink 3) of the New Order or Cancel/Replace Request (tag 35-MsgType=G) messages for SOFR options.
To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders with specified minimum quantity for Three-Month SOFR futures with tag 1151-Security Group=SS (orders with no specified minimum quantity do not need to be cancelled), by the close on Friday, January 6. After 16:00 CT on Friday, January 6, any remaining GT orders with specified minimum quantity in this security group will be removed by the CME Global Command Center (GCC). Changes to SOFR Futures and Options
PRODUCT
MDP 3.0: TAG 6937-ASSET
TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP
One-Year Mid-Curve Options on Three-Month SOFR Futures
S0
(“S ZERO”)J1
Weekly One-Year Mid-Curve Options on Three-Month SOFR Futures
S01, S02, S03, S04, S05
(“S ZERO 1” ...)J1
Two-Year Mid-Curve Options on Three-Month SOFR Futures
S2
J2
Weekly Two-Year Mid-Curve Options on Three-Month SOFR Futures
S21, S22, S23, S24, S25
J2
Three-Year Mid-Curve Options on Three-Month SOFR Futures
S3
J3
Weekly Three-Year Mid-Curve Options on Three-Month SOFR Futures
S31, S32, S33, S34, S35
J3
Four-Year Mid-Curve Options on Three-Month SOFR Futures
S4
J4
Five-Year Mid-Curve Options on Three-Month SOFR Futures
S5
J5
Three-Month Mid-Curve Options on Three-Month SOFR Futures
TS2
JT
Six-Month Mid-Curve Options on Three-Month SOFR Futures
TS3
J6
Nine-Month Mid-Curve Options on Three-Month SOFR Futures
TS4
J9
Options on Three-Month SOFR Futures
SR3
JE
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.
NewNew - Change to Strike Price Listing for Equity Options - January 22
Effective Sunday, January 22 (trade date Monday, January 23), the strike price listing rule will be changed for the below Equity options on CME Globex and for submission for clearing via CME ClearPort.
Equity Options
Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
MDP 3.0 tag 1151 - Security GroupCurrent New E-mini S&P 500 Options
ES
EW
100-point increment: -80% - +30% (when listed)
50-point increment: -40% - +15% (<366 Days to Expiration [DTE])
10-point increment: -20% - +10% (<126 DTE)
5-point increment: -10% - +5% (<14 DTE)100-point increment: -80% - +30% (when listed)
50-point increment: -40% - +15% (<366 DTE)
25-point increment: -25% - +10% (<126 DTE)
10-point increment: -20% - +10% (<96 DTE)
5-point increment: -10% - +5% (<10 DTE)E-mini S&P 500 End-of-Month Options
EW
EW
E-mini S&P 500 Monday Weekly Options - Week 1-5
E1A-E5A
EW
E-mini S&P 500 Tuesday Weekly Options - Week 1-5
E1B-E5B
EW
E-mini S&P 500 Wednesday Weekly Options - Week 1-5
E1C-E5C
EW
E-mini S&P 500 Thursday Weekly Options - Week 1-5
E1D-E5D
EW
E-mini S&P 500 Friday Weekly Options - Week 1-4
EW1-EW4
EW
100-point increment: -80% - +30% (when listed)
50-point increment: -40% - +15% (<366 DTE)
10-point increment: -20% - +10% (<126 DTE)
5-point increment: -10% - +5% (<14 DTE)100, 1100, 2100, 3100, 4100, 5100, 6100, 7100, 8100, 9100 strikes (in EW3, when listed)
100-point increment: -80% - +30% (when listed)
50-point increment: -40% - +15% (<366 DTE)
25-point increment: -25% - +10% (<126 DTE)
10-point increment: -20% - +10% (<96 DTE)
5-point increment: -10% - +5% (<10 DTE)Micro S&P 500 Options
MES
EO
100-point increment: -80% - +30% (when listed)
50-point increment: -40% - +15% (<366 DTE)
10-point increment: -20% - +10% (<126 DTE)
5-point increment: -10% - +5% (<14 DTE)100-point increment: -80% - +30% (when listed)
50-point increment: -40% - +15% (<366 DTE)
25-point increment: -25% - +10% (<126 DTE)
10-point increment: -20% - +10% (<96 DTE)
5-point increment: -10% - +5% (<10 DTE)Micro S&P 500 End-of-Month Options
EX
EO
Micro S&P 500 Friday Weekly Options - Week 1-4
EX1-EX4
EO
E-mini Nasdaq-100 Options
NQ
QZ
500-point increment: -80% - +30% (when listed)
100-point increment: -40% - +20% (<96 DTE)
50-point increment: -20% - +10% (<35 DTE)
10-point increment: -10% - +5% (<14 DTE)500-point increment: -80% - +30% (when listed)
250-point increment: -40% - +20% (<96 DTE)
100-point increment: -30% - +15% (<66 DTE)
50-point increment: -20% - +10% (<35 DTE)
25-point increment: -10% - +5% (<10 DTE)
10-point increment: -10% - +5% (<5 DTE)E-mini Nasdaq-100 End-of-Month Options
QNE
NW
E-mini Nasdaq-100 Monday Weekly Options - Week 1-5
Q1A-Q5A
NW
E-mini Nasdaq-100 Tuesday Weekly Options - Week 1-5
Q1B-Q5B
QZ
E-mini Nasdaq-100 Wednesday Weekly Options - Week 1-5
Q1C-Q5C
NW
E-mini Nasdaq-100 Thursday Weekly Options - Week 1-5
Q1D-Q5D
QZ
E-mini Nasdaq-100 Weekly Options - Week 1-4
QN1-QN4
NW
Micro E-mini Nasdaq-100 Index Options
MNQ
NE
500-point increment: -80% - +30% (when listed)
100-point increment: -40% - +20% (<96 DTE)
50-point increment: -20% - +10% (<35 DTE)
10-point increment: -10% - +5% (<14 DTE)500-point increment: -80% - +30% (when listed)
250-point increment: -40% - +20% (<96 DTE)
100-point increment: -30% - +15% (<66 DTE)
50-point increment: -20% - +10% (<35 DTE)
25-point increment: -10% - +5% (<10 DTE)
10-point increment: -10% - +5% (<5 DTE)Micro E-mini Nasdaq-100 Index EOM Options
MQE
NE
Micro E-mini Nasdaq-100 Friday Weekly Options - Week 1-4
MQ1-MQ4
NE
E-mini Russell 2000 Options
RTO
R4
100-point increment: -80% - + 30% (when listed)
50-point increment: -50% - +30% (<96 DTE)
10-point increment: -20% - +10% (<66 DTE)
5-point increment: -10% - +5% (<14 DTE)100-point increment: -80% - + 30% (when listed)
50-point increment: -40% - +20% (<96 DTE)
25-point increment: -20% - +15% (<66 DTE)
10-point increment: -15% - +10% (<35 DTE)
5-point increment: -10% - +5% (<10 DTE)E-mini Russell 2000 End-of-Month Options
RTM
RW
E-mini Russell 2000 Monday Weekly Options - Week 1-5
R1A-R5A
RW
E-mini Russell 2000 Wednesday Weekly Options - Week 1-5
R1C-R5C
RW
E-mini Russell 2000 Friday Weekly Options - Week 1-4
R1E-R4E
R4
These changes will be available for customer testing in New Release on Monday, January 9.
These contracts are listed with, and subject to, the rules and regulations of CME.
Enable Implied Functionality for CME FX Futures - January 22
Effective Sunday, January 22, 2023 (trade date Monday, January 23, 2023), pending completion of all regulatory review periods, implied functionality for the following CME FX futures will be enabled for all outright contracts and calendar spread combinations for the first twelve consecutive contract months on CME Globex.
Enable Implied Functionality for CME FX Futures
PRODUCT
MDP 3.0: TAG 6947-ASSET
ILINK: TAG 55-SYMBOL
MDP 3.0 TAG 1151 - SECURITY GROUPBritish Pound Sterling/U.S. Dollar (GBP/USD) Futures
6B
6B
Canadian Dollar/U.S. Dollar (CAD/USD) Futures
6C
6C
Japanese Yen/U.S. Dollar (JPY/USD) Futures
6J
6J
Australian Dollar/U.S. Dollar (AUD/USD) Futures
6A
6A
Euro/U.S. Dollar (EUR/USD) Futures
6E
6E
Please note: The Non-Reviewable Range of each leg spread will be evaluated as an outright. Implied eligible instruments, are identified in the MDP 3.0 Security Definition (tag 35-MsgType=d), in repeating group tag 871-InstAttribType:
- tag 872-InstAttribValue= 19: Implied Matching Eligibility
This change will be available for customer testing in New Release on Monday, December 19.
These contracts are listed with, and subject to, the rules and regulations of CME.
NewNew - Migration of Open Interest and Delisting of E-mini S&P 500 Quarterly PM Options - February 10
Effective close of business on Friday, February 10, 2023, and pending all relevant CFTC regulatory review periods, a rule amendment will be introduced to facilitate the conversion of unexpired open positions in the E-mini S&P 500 Quarterly PM options (EYC) into E-mini S&P 500 Weekly options - Week 3 (tag 6937=EW3) with the same strike, expiration date and time. Following completion of the conversion process on February 12, 2023, there will be zero (0) open interest in the E-mini S&P 500 Quarterly PM options and it will be immediately delisted.
To support this change, effective Sunday, February 12 (trade date Monday, February 13), the listing cycle of E-mini S&P 500 Week 3 Friday options will be extended to 13 consecutive weekly contracts (including quarterly months).
Please note: To facilitate this change, customers will be asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders for E-mini S&P 500 Quarterly PM Options contracts, by the close on Friday, February 10. After 16:00 CT on Friday, February 10, any remaining GT orders on these markets will be removed by the CME Global Command Center (GCC). Migration of Open Interest and Delisting of E-mini S&P 500 Quarterly PM Options
PRODUCT MDP 3.0: TAG 6937-ASSET ILINK: TAG 55-SYMBOL
MDP 3.0 TAG 1151 - SECURITY GROUPCurrent Listing
ScheduleExpanded Listing Schedule E-mini S&P 500 Weekly Options - Week 3
EW3
EW
9 non-consecutive weekly contracts (excluding quarterly months)
13 consecutive weekly contracts (including quarterly months)
Please see the Special Executive Report and the Clearing House Advisory for additional information.
These contracts are listed with, and subject to, the rules and regulations of CME.
NewNew - Delisting and Removal of E-mini S&P 500 Quarterly PM Options - February 13
On Monday, February 13, 2023 the E-mini S&P 500 Quarterly PM options will be delisted, and effective close of business Friday, February 10 these options will be removed from CME Globex.
Delisting and Removal of E-mini S&P 500 Quarterly PM Options PRODUCT
MDP 3.0: TAG 6937-ASSET
ILINK: TAG 55-SYMBOL
MDP 3.0 TAG 1151 - SECURITY GROUPE-mini S&P 500 Quarterly PM Options
EYC
CM
Events and Announcements
NewNew - Messaging Efficiency Program Q1 2023 Benchmarks - This Week
The Q1 2023 CME Globex Messaging Efficiency Program product group benchmarks are now available. Changes were made to Q1 2023 GE-Eurodollar futures product group benchmarks vs. Q4 2022 GE-Eurodollar futures product group benchmarks. No changes were made in any other Q1 2023 product group benchmarks vs. Q4 2022 product group benchmarks.
Additionally, CME anticipates adding SR3-Three-Month SOFR futures and options on Three-Month SOFR futures to the CME Globex Messaging Efficiency Program starting in Q2 2023. Three-Month SOFR futures product group benchmarks will be 10:1 (Tier 1), 20:1 (Tier 2) and 30:1 (Tier 3). Three-Month SOFR options on Three-Month SOFR futures will be 100:1 (Tier 1), 200:1 (Tier 2) and 300:1 (Tier 3).
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.
NewNew - CME Globex Messaging Efficiency Program 2023 Holiday Calendar - This Week
As noted in the CME Globex Messaging Efficiency Program (MEP) document, the MEP is not applied on certain dates before/on/after US-recognized holidays. To obtain dates as to when CME Globex Messaging Efficiency Program ratios for all product groups included in the MEP will not be enforced, please refer to the CME Globex Messaging Efficiency Program Holiday Calendar.
Please note the Holiday Calendar does not pertain to the Excessive Messaging Threshold (EMT) which is in effect during all trade dates and hours in which the Globex platform is open.
If you have any questions, please contact the CME Global Command Center in the U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.
Save the Date: CME Group Backup Datacenter Migration and Test - March 4
CME Group is pleased to announce the move and upgrade of our backup datacenter as part of our commitment to the protection of our customers. Last year, we completed the migration of our backup clearing systems, and we are now focused on CME Globex and supporting systems. To help ensure customer can connect to our new backup datacenter, CME Group will hold mock disaster recovery testing on Saturday, March 4, at 9 a.m. Eastern Time (ET).
Please note: Customers do not need to test from Disaster Recovery – please plan to stay in your production environment. 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.
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