• CME Globex Notices: April 17, 2023

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20230417
      • Notice Date
      • 20 April 2023

    • Topics in this issue include:

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

      Critical Updates

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

      Effective Sunday, April 30 (trade date Monday, May 1), CME Globex will extend the E-mini S&P 500 futures performance change to apply to all outright E-mini S&P 500 futures. Currently, this feature is only applied to the lead month future.

      This change 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.

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      UpdateUpdate - Enhancements to Public Settlement “stl” Files on CME FTP - May 14

      † Denotes update to the article

      † Effective Sunday, May 14, CME Group will provide new, enhanced Public Settlement "stl" files on the CME FTP site. The legacy file formats will be decommissioned by Friday, May 12.

      † Please review the updated Clearing Advisory for full technical details and decommission of legacy file schedule. 

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      Instrument Capacity for Futures and Options - May 14

      Starting on Sunday, May 14 (trade date, Monday May 15), CME Group will increase the capacity for futures and options instruments listed. Currently, CME Globex only lists up to 1 million instruments. With this change, the full existing capacity will be unlocked, supporting the entire range of 2,147,483,646.

      There is no expectation at this time of a significant increase to the number of instruments listed.

      Due to recent volatility and global events, the need to list additional futures and options instruments has significantly increased and consequently, CME Group will update the SecurityID capacity. There is no change to the SecurityID field length and there will be no change to SBE message schemas or templates; but the possible values of the SecurityID field will expand to a maximum of 10 digits and a max value of 2,147,483,646.

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

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      Derived Data Enhancement for BrokerTec U.S. Treasury Channel 215 - May 21

      Effective Sunday, May 21, CME Group will support implied prices for RV Curve instruments and a new Simple Binary Encoding (SBE) schema on the derived data channel 215 - BrokerTec U.S. Treasuries. This launch will not impact the BrokerTec on CME Globex market data channels. 
      The schema update will impact all client systems connecting to channel 215. The impacted services are as follows:

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

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      NewNew - CME Benchmark Administration Premium SBE Schema and RFR Benchmark Launch - June 25

      Effective Sunday, June 25 (trade date Monday, June 26), CME Group will launch new Simple Binary Encoding (SBE) schemas on all CME Benchmark Administration Premium channel 261.

      Additionally with this release, CME Benchmark Administration Premium will launch RepoFunds Rate (RFR) Benchmarks with this update comprising of RFR Euro (including the 10 underlying countries), RFR Sterling and RFR JBOND Benchmarks. These Benchmarks are available to license under Schedule 7 Appendix D of the Information License Agreement.

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

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      GLink Network Infrastructure Upgrade in Aurora - Q3 2023

      In 2023, CME Group is upgrading its GLink network infrastructure at the CME Co-Location Facility in Aurora, IL. This network upgrade consists of:

      • Replacement of the existing end of life (EOL) Juniper switches with new Arista switches which will utilize new customer ports and new CME IPs
      • Introduction of a new GLink Demarc Cable providing customers with equidistant connectivity to any rack unit (RU) in their cabinet

      The new GLink switches will also expand capacity to support future growth while the new GLink Demarc Cable will allow customers to optimize their CME Co-location Licensed Space.  The new GLink infrastructure is anticipated to be ready in Q3 2023 with customer testing and cutover to the new network taking place during Q3/Q4 2023. Further details will be communicated during Q2 2023.

      Please see the Client System Impact for details and FAQ.

      Any immediate questions can be directed to Global Account Management.

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      NewNew - Mandatory Migration - iLink3 Binary Order Entry Protocol for CGW  - Q1 2024

      CME Group is introducing iLink 3 on Convenience Gateways (CGW) for trading futures and options on CME Globex. The iLink 3 protocol will launch on the existing CGWs beginning Q1 2024. All customers connected via CGW will need to migrate to iLink 3 by Q4 2024.

      iLink 3 includes:

      • Simple Binary Encoding (SBE) for faster message encoding and decoding
      • A simple, lightweight, point-to-point session layer protocol using FIX Performance (FIXP)
      • More efficient iLink FIX messaging
      • Standard message size, fixed positions, and fixed length fields
      • A consistent encoding method for order entry and market data

      The Client Impact Assessment is available and provides detailed functionality and messaging information.

      iLink 3 on CGW will be available in New Release for customer testing starting May 8, 2023.  AutoCert+ certification is required for all client systems using CGWs.

      • May 8, 2023 – iLink 3 CGW functionality available in New Release and AutoCert+ certification for On-Demand administrative information
      • September 25,  2023 – iLink 3 CGW functionality available in New Release and AutoCert+ certification for Pre-registered administrative information
      • February 4,  2024 –  Production launch of iLink 3 on CGW
      • December 2024 – Deadline for customer migration

      Further information on the production launch deployment schedule, and mock trading sessions will be published in upcoming CME Globex Notices.

      Please contact your Global Account Manager for additional information.

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      NewNew - Drop Copy Impacts - Mandatory iLink 3 Binary Order Entry Protocol for Convenience Gateway sessions - Q1 2024

      In Q1 2024, CME Group will launch iLink 3 Convenience Gateway for trading futures and options on CME Globex. All customers connected via Convenient Gateway (CGW) are encouraged to migrate to iLink 3 as early as possible prior to the iLink 2 decommission, key events and dates are listed here.

      Impacts of mandatory iLink3 Binary Order Entry protocol for Convenience Gateway on Drop Copy Convenience Gateway target sessions.

      • Message encoding: The Drop Copy encapsulated XML Non-Fix (tag 35-MsgType=n) Message payload sent from iLink 3 source sessions will be in ASCII format. A summary of ASCII encoded tags with their equivalent values in Simple Binary Encoding tags and enumerations is available here.
      • Target Session: Current Drop Copy CGW target session users do not need to request new target sessions although upon requesting the mandatory iLink 3 source session, a new target session may be automatically created to accommodate iLink order entry infrastructure load balancing and optimization considerations. Customers are requested to check for new automatically generated Drop Copy CGW target sessions.
      • Parallel period: During the parallel period which runs until Q4 2024, CME Group will support Drop Copy target sessions connected to both iLink 2 and iLink 3 CGW sessions. When iLink 2 is decommissioned in Q4 2024, any Drop Copy target sessions with iLink 2 sessions only will be removed from the platform.
      • AutoCert+ Certification: Certification is not required for existing Drop Copy CGW session users.

      Please review Mandatory iLink 3 Binary Order Entry Protocol for CGW for additional details.

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      Product Launches

      Listing Cobalt Metal (Fastmarkets) Futures Spreads - This Week

      Effective this Sunday, April 23 (trade date Monday, April 24), the following Cobalt Metal (Fastmarkets) futures spreads will be made available for trading on CME Globex.

      Listing Cobalt Metal (Fastmarkets) Futures Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762-
      SecuritySubType

      Cobalt Metal (Fastmarkets) futures

      		 COB CA SP - Standard Calendar Spread
      SA - Strip
      SB - Balanced Strip Spread

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

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

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      NewNew - Argus Bakken Crude Oil Differential Futures - May 14

      Effective Sunday, May 14 (trade date Monday, May 15), pending completion of all regulatory review periods, Argus Bakken Crude Oil Differential futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Argus Bakken Crude Oil Differential Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel

      Bakken DAPL (Argus) Monthly futures

      DAB

      CC

      382

      Bakken Patoka (Argus) Monthly futures

      BPA

      CC

      382

      Guernsey Light Sweet (Argus) Monthly futures

      GSW

      CC

      382

      These futures will be available for customer testing in New Release on Monday, April 24.

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

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      Product Changes

      Changes to Implied Functionality and Reduced Tick Schedule for Short Term Interest Rate Futures - This Week

      Effective this Sunday, April 23 (trade date, Monday April 24), pending regulatory review, implied functionality will be enabled for certain Short-Term Interest Rate (STIR) Futures intercommodity spreads (tag 762-SecuritySubType=IS). For select intracommodity and intercommodity spreads on certain STIR futures, implied functionality will only be available when both legs have the same minimum tick.

      • ESR-SR3
      • RFI-ESR
      • RFI-SR3
      • RFD-ESR
      • RFD-SR3
      • RFD-RFI
      • BSB-GE
      • SR3-BSB
      • SR3-GE
      Please note: Implied functionality in these intercommodity spreads will be disabled when any leg versus the 3-Month SOFR futures converts to 1/8 basis point tick increments. To support this enhancement, the minimum tick rules for Euro Short-Term (€STR) (ESR), RepoFunds Rate Italy (RFI) and RepoFunds Rate Germany (RFD) will be changed to better align with the rules for 3-Month SOFR futures as detailed below.

      Changes to the following futures contracts minimum tick schedule will impact certain Short-Term Interest Rate Futures intercommodity and intracommodity spreads.

      Changes to Reduced Tick Schedule for Interest Rate Futures
      PRODUCT MDP 3.0: TAG 6937-ASSET ILINK: TAG 55-SYMBOL
      MDP 3.0 TAG 1151 - SECURITY GROUP      		 Current Minimum Tick Rule New Minimum Tick Rule

      3-Month SOFR futures

      SR3

      SS

      All contract months with four months or less until last day of trading: 0.0025 IMM Index points (¼ basis point per annum) = $6.25

      All other contract months: 0.005 IMM Index points (½ basis point per annum) = $12.50

      Euro Short-Term Rate (€STR) futures

      ESR

      EY

      All contracts: 0.005 IMM Index points (½ basis point per annum) = €12.50

      Contracts with two months or less until termination: 0.0025 IMM Index points (¼ basis point per annum) = €6.25

      Contracts with one month or less until termination: 0.00125 IMM Index points (1/8 basis point per annum) = €3.125

      All contracts: 0.005 IMM Index points (½ basis point per annum) = €12.50

      Contracts with four months or less until termination: 0.0025 IMM Index points (¼ basis point per annum) = €6.25

      Contracts with one month or less until termination: 0.00125 IMM Index points (1/8 basis point per annum) = €3.125

      RepoFunds Rate (Italy) futures

      RFI

      I1

      All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125

      All contract months with two months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25

      All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50


      All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125

      All contract months with four months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25

      All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50

      RepoFunds Rate (Germany) futures

      RFD

      G1

      All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125

      All contract months with two months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25

      All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50

      All contract months with one month or less until last day of trading (as defined in Rulebook section 48202.C): 0.00125 IMM Index points (1/8 basis point per annum) = €3.125

      All contract months with four months or less until last day of trading (as defined in Rulebook section 48202.C): 0.0025 IMM Index points (¼ basis point per annum) = €6.25

      All other contract months: 0.005 IMM Index points (½ basis point per annum) = €12.50

      The new tick rules and implied functionality 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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      Listing Cycle Reduction for Three-Month SOFR Futures - This Week

      Effective this Sunday, April 23 (trade date Monday, April 24), the listing cycle for the Three-Month SOFR futures will be reduced on CME Globex.

      Listing Cycle Reduction for Three-Month SOFR Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule (change beginning 4/23/23) New Listing Schedule as of 12/20/23

      Three-Month SOFR futures

      SR3

      SS

      41 quarterly contract months

      39 quarterly contract months
      Please note: To support this change, no new quarterly contract months will be generated following the expiration of the March 2023 and June 2023 contract months. Quarterly contract month listings will resume following the expiration of the September 2023 contract month, scheduled for December 20, 2023.

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

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      Change to Strike Price Listing for Short Dated New Crop Options - April 30

      Effective Sunday, April 30 (trade date Monday, May 1), the strike price listing rule for Short Dated New Crop options will be updated as follows on CME Globex.

      CHANGE TO STRIKE PRICE LISTING FOR SHORT DATED NEW CROP OPTIONS
      Product

       

      		 MDP 3.0: tag 6937-Asset

       

      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

       

      CURRENT STRIKE PRICE LISTING RULE

      		NEW

       

      STRIKE PRICE LISTING RULE

      Short Dated Options on New Crop Corn futures

      OCD

      OC

      Strikes listed for 25% of the underlying Dec
      settlement price above and below the at-the-money strike at $0.05 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes.

      Strikes listed for 25% of the underlying Dec
      settlement price above and below the at-the-money strike at $0.10 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.05 per bushel increment for the first three contracts.

      Short Dated Options on New Crop KC HRW Wheat futures

      KWE

      OK

      Strikes listed for 25% of the underlying Jul settlement price above and below the at-the-money strike at $0.05 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes.

      Strikes listed for 25% of the underlying Jul
      settlement price above and below the at-the-money strike at $0.10 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.05 per bushel increment for the first three contracts.

      Short-Dated Options on New Crop Soybean Oil futures

      		 OLD

       

      		 0O

       

      		 Strikes listed for 50% of the underlying Dec settlement price above and below the at-the-money strike at $0.005 per pound increment plus dynamic strikes at $0.005 per pound increment above and below the highest and lowest pre-listed strikes.

       

      		 Strikes listed for 25% of the underlying Dec
      settlement price above and below the at-the-money strike at $0.005 per pound increment plus dynamic strikes at $0.005 per pound increment above and below the highest and lowest pre-listed strikes.

       

      Short Dated Options on New Crop Soybean Meal futures

      		 OMD

       

      		 ML

       

      		 Strikes listed for 50% of the underlying Dec settlement price above and below the at-the-money strike at $5.00 per ton increment plus dynamic strikes at $10.00 per ton increment above and below the highest and lowest pre-listed strikes.

       

      		 Strikes listed for 25% of the underlying Dec
      settlement price above and below the at-the-money strike at $5.00 per ton increment for strikes below $200.00, and $10.00 per ton increment for strikes equal to or above $200.00, plus dynamic strikes at $5.00 per ton increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $5.00 per ton increment for the first three contracts.

       

      Short-Dated Options on New Crop Soybean futures

      		 OSD

       

      		 SQ

       

      		 Strikes listed for 25% of the underlying Nov settlement price above and below the at-the-money strike at $0.10 per bushel strike increment plus dynamic strikes at $0.10 per bushel strike increment above and below the highest and lowest pre-listed strikes.

       

      		 Strikes listed for 25% of the underlying Nov
      settlement price above and below the at-the-money strike at $0.20 per bushel strike increment plus dynamic strikes at $0.10 per bushel strike increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.10 per bushel increment for the nearest three contracts

       

      Short-Dated Options on New Crop Wheat futures

      		 OWD

       

      		 OW

       

      		 Strikes listed for 25% of the underlying Jul settlement price above and below the at-the-money strike at $0.05 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes.

       

      		 Strikes listed for 25% of the underlying Jul
      settlement price above and below the at-the-money strike at $0.10 per bushel increment plus dynamic strikes at $0.05 per bushel increment above and below the highest and lowest pre-listed strikes. Additional strikes listed for 25% of the underlying settlement price above and below the at-the-money strike at $0.05 per bushel increment for the nearest three contracts.

       

      These options 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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      NewNew - Changes to Strike and Series Listing Cycle for Equity Options - May 21

      Effective Sunday, May 21 (trade date Monday, May 22), the strike listing rule and listing cycle for the following Equity Index options will be amended on CME Globex.

      Listing Cycle Amendment for Equity Options
      Product

       

      		 MDP 3.0: tag 6937-Asset

       

      		 iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

       

      		 Current Listing Schedule

       

      		 New Listing Schedule

       

      E-mini S&P 500 options

      		 ES

       

      		 EW

       

      		 Quarterly contracts (Mar, Jun, Sep, Dec) listed for 9 consecutive quarters and 3 additional December contract months

       

      		 Quarterly contracts (Mar, Jun, Sep, Dec) listed for 8 consecutive quarters and 3 additional December contract months

       
      E-mini Nasdaq-100 options

       

      		 NQ

       

      		 QZ

       

      		 Quarterly contracts (Mar, Jun, Sep, Dec) listed for 5 consecutive quarters and 4 additional December contract months

       

      		 Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters and 4 additional December contract months

       
      E-mini Nasdaq-100 Monday Weekly options - Week 1-5

       

      		 Q1A-Q5A

       

      		 NW

       

      		 Weekly contracts listed for 4 weeks

       

      		 Weekly contracts listed for 2 weeks

       
      E-mini Nasdaq-100 Wednesday Weekly options - Week 1-5

       

      		 Q1C-Q5C

       

      		 NW

       

      		 Weekly contracts listed for 4 weeks

       

      		 Weekly contracts listed for 2 weeks

       
      E-mini Nasdaq-100 End-of-Month options

       

      		 QNE

       

      		 NW

       

      		 Monthly contracts listed for 4 consecutive months

       

      		 Monthly contracts listed for 3 consecutive months and 1 additional December contract month

       
      Options on E-mini Russell 2000 Index futures

       

      		 RTO

       

      		 R4

       

      		 Monthly contracts listed for 4 consecutive months

       

      		 Monthly contracts listed for 4 consecutive months and 1 additional December contract month

       
      E-mini Russell 2000 Monday Weekly options - Week 1-5

       

      		 R1A-R5A

       

      		 R4

       

      		 Weekly contracts listed for 4 weeks

       

      		 Weekly contracts listed for 2 weeks

       

      E-mini Russell 2000 Wednesday Weekly options - Week 1-5

      		 R1C-R5C

       

      		 R4

       

      		 Weekly contracts listed for 4 weeks

       

      		 Weekly contracts listed for 2 weeks

       
      E-mini Russell 2000 Weekly options - Week 1-4

       

      		 R1E-R4E

       

      		 R4

       

      		 3 weekly contracts listed for weeks 1, 2 and 4 and 3 weekly contracts of week 3 (exclusive of March quarterly months)

       

      		 4 weekly contracts listed for weeks 1, 2 and 4 and 3 weekly contracts of week 3 (inclusive of March quarterly months)

       
      Please note: No contract series will be removed for any listing reductions. Existing contract months will be permitted to expire until the new listing cycle is met.
      Strike Listing Rule Amendments for Equity Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Strike Listing Rule New Strike Listing Rule

      E-mini Nasdaq-100 Options

      NQ

      QZ

      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)

      500-point increment: -80% - + 40% (when listed)
      250-point increment: -40% - +20% (<96 DTE)
      100-point increment: -20% - +10% (<66 DTE)
      50-point increment: -14% - +7% (<35 DTE)
      25-point increment: -10% - +5% (<14 DTE)
      10-point increment: -8% - +4% (<7 DTE)

      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

      E-mini Nasdaq-100 End-of-Month Options

      QNE

      NW

      Options on Micro E-mini Nasdaq-100 Index Futures

      MNQ

      NE

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

      D1A-D5A

      NE

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

      D1B-D5B

      NE

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

      D1C-D5C

      NE

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

      D1D-D5D

      NE

      Weekly Options on Micro E-mini Nasdaq-100 Index Futures - Week 1-4

      MQ1-MQ4

      NE

      Micro E-mini Nasdaq-100 Index EOM Options

      MQE

      NE

      E-mini Russell 2000 Monday Weekly Options - Week 1-5

      R1A-R5A

      R4

      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)

      100-point increment: -80% - + 30% (when listed)
      50-point increment: -40% - +20% (<96 DTE)
      25-point increment: -15% - +10% (<66 DTE)
      10-point increment: -10% - +7% (<35 DTE)
      5-point increment: -8% - +4% (<7 DTE)

      Tuesday Options on E-mini Russell 2000 Futures - Week 1-5

      R1U-R5U

      R4

      E-mini Russell 2000 Wednesday Weekly Options - Week 1-5

      R1C-R5C

      R4

      Thursday Options on E-mini Russell 2000 Futures - Week 1-5

      R1D-R5D

      R4

      E-mini Russell 2000 Weekly Options - Week 1-4

      R1E-R4E

      R4

      E-mini  Russell 2000 EOM Options

      RTM

      R4

      E-mini  Russell 2000 Options

      RTO

      R4

      E-mini S&P 500 Options

      ES

      EW

      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)

      100-point increment: -80% - + 40% (when listed)
      50-point increment: -40% - +20% (<366 DTE)
      25-point increment: -20% - +10% (<96 DTE)
      10-point increment: -14% - +7% (<66 DTE)
      5-point increment: -10% - +5% (<10 DTE)

      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 Weekly Options - Week 1-4

      EW1-EW4

      EW

      E-mini S&P 500 EOM Options

      EW

      EW

      Options on Micro E-mini Standard and Poor’s 500 Stock Price Index Futures

      MES

      EO

      Monday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)

      X1A-X5A

      EO

      Tuesday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)

      X1B-X5B

      EO

      Wednesday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)

      X1C-X5C

      EO

      Thursday Weekly Options on Micro E-mini S&P 500 Index Futures - Week 1-5 (European-Style)

      X1D-X5D

      EO

      Weekly Options on Micro E-mini Standard and Poor’s 500 Stock Price Index Futures - Week 1-4

      EX1-EX4

      EO

      Micro E-mini Standard and Poor’s 500 Stock Price EOM Options

      EX

      EO

      These options will be available for customer testing in New Release on Monday, May 8.

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

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      Events and Announcements

      SPAN 2 Approximation Files Available Now

      As previously announced, the SPAN 2 framework will be rolled out for specific product groupings in a phased multi-year approach after extensive testing, starting with major NYMEX energy futures and options on futures. 

      To help clients prepare for this launch, CME Group is offering the following services:

      • Tools for replicating SPAN 2 margin requirements through software and API solutions for post-trade processes.
      • New SPAN 2 approximation file to help firms estimate SPAN 2 margins in low latency margin calculation scenarios for pre-trade margin approximation processes.

      Please contact PostTradeServices@cmegroup.com now to get ready for this critical migration.

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      Save the Date: CME Group Backup Datacenter Migration and Test - May 6

      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 customers can connect to our new backup datacenter, CME Group will hold mock disaster recovery testing on Saturday, May 6, 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.

      To participate in the disaster recovery exercise, register here.

      View the mock script.

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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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