GLOBEX Advisory Notices
To | CME Globex Customers
From |
Subject | Update - Launch of New CME Eurodollar Spreads and Combinations on the CME Globex Platform
Notice Date | 2005-04-26
Notice Number | 042605-1
Effective Date |
Dear CME® Globex® Customer, Effective 5:00 p.m. Central time (CT) Sunday, May 1, 2005, for trade date Monday, May 2, CME will begin listing CME Eurodollar Pack spreads, Pack Butterfly combinations, implied six-month Butterfly spreads and Condor spreads on the CME Globex platform in order to further enhance the depth and liquidity of the electronic CME Eurodollar market. Since there is a slight functional change associated with the CME Eurodollar Pack spreads and Pack Butterfly combinations, these combinations are currently available in the CME certification environment. Please see below for further details on the new combinations, and a description of the new CME Globex behavior: CME launched the electronic Pack and Bundle market maker program on February 1, 2005. This program has facilitated a dramatic increase in the liquidity and volume of electronically traded CME Eurodollar Pack and Bundle contracts, particularly in the White and Red pack and the two-year bundle. In order to generate even greater liquidity in electronic CME Eurodollar Packs farther out the yield curve, CME is expanding the listed CME Eurodollar Pack contracts to include both two-legged Pack spreads and Pack Butterflies. Initially, CME will list the two-legged pack spreads through the Orange contracts. CME Eurodollar Pack Spreads and Pack Butterfly Combinations CME will list the following the 2-legged Pack spreads:
White-Red | Red-Green | Green-Blue | Blue-Gold | Gold-Purple | Purple-Orange
White-Green | Red-Blue | Green-Gold | Blue-Purple | Gold-Orange |
White-Blue | Red-Gold | Green-Purple | Blue-Orange |  |
White-Gold | Red-Purple | Green-Orange |  |  |
White-Purple | Red-Orange |  |  |  |
White-Orange |  |  |  |  |
Similarly, CME will list the following Pack Butterflies:
One Year Pack Butterflies |  | Two Year Pack Butterflies
White-Red-Green |  | White-Green-Gold
Red-Green-Blue |  | Red-Blue-Purple
Green-Blue-Gold |  |
Blue-Gold-Purple |  | Green-Gold-Orange
Gold-Purple-Orange |  |
CME Globex Behavior for These New Combinations The new CME Eurodollar on CME Globex Pack spreads and Pack Butterflies will return fills on the underlying legs of the contract. Here is an example of the trade messages that will be returned on the Pack spreads and Pack Butterflies:
Pack spread trade GE:PS H6-H7
0105's = 18 | Each trade receives 9 execution messages:
1 on the spread differential GE:PS H6-H7
1 for each underlying leg of the two packs (total of 8)
M6's = 11 | 1 on the spread differential GE:PS H6-H7
1 on each pack (total of 2)
1 for each underlying leg of the two packs (total of 8)
M0 = 1 | 1 on the spread differential GE:PS H6-H7
Pack Butterfly trade GE:PB H6-H7-H8
0105's = 26 | Each trade receives 13 execution messages:
1 on the Pack Butterfly differential GE:PB H6-H7-H8
1 for each underlying leg of the three packs (total of 12)
M6's = 16 | 1 on the Pack Butterfly differential GE:PB H6-H7-H8
1 on each pack (total of 3)
1 for each underlying leg of the three packs (total of 12)
M0 = 1 | 1 on the Pack Butterfly differential GE:PB H6-H7-H8
Front-end software systems will be able to link the underlying legs to the Pack spreads and Butterflies through the CME Market Data API (MD API) Instrument Creation Message or MO records. Please refer to each of the following examples of an MO message. Note positions 113-352 to see underlying instruments or legs. GE:PS M0-M1 referential breakdown CME sends Instrument Creation Message: Position 6-11 (ISIN): 800310 Position 34-35 (Message Type): MO Position 72-91 (Instrument Code): GE:PS M0-M1 Position 92 (Instrument Type): D (spread) Position 113-352 (Underlying Instruments): 806001809001812001803101806101809101812101803201 Position 322-422 (Ratio): +01+01+01+01-01-01-01-01 Position 727-728 (Strategy Type): HZ GE:PB M6-M7-M8 referential breakdown CME sends Instrument Creation Message: Position 6-11 (ISIN): 800312 Position 34-35 (Message Type): MO Position 72-91 (Instrument Code): GE:PB M6-M7-M8 Position 92 (Instrument Type): D (spread) Position 113-352 (Underlying Instruments): 806600809600812600803700806700809700812700803800806800809800812800803900 Position 322-422 (Ratio): +01+01+01+01-02-02-02-02+01+01+01+01 Position 727-728 (Strategy Type): HZ Implied Six-Month Butterfly Spreads CME is also expanding the CME Globex implied prices functionality to include implied in and implied out prices on six-month Butterflies. Initially CME will include the first nine six-month Butterflies. Therefore, the following spreads will be listed and implied effective May 1:
GEM5-GEZ5-GEM6 | GEH6-GEU6-GEH7 | GEZ6-GEM7-GEZ7
GEU5-GEH6-GEU6 | GEM6-GEZ6-GEM7 | GEH7-GEU7-GEH8
GEZ5-GEM6-GEZ6 | GEU6-GEH7-GEU7 | GEM7-GEZ7-GEM8
As indicated, CME will generate implied prices on six-month Butterflies through the Blue contracts. Condor Spreads In addition to the implied Butterfly contracts, CME will begin listing CME Eurodollar Condor spreads on the CME Globex electronic trading platform. Though CME will not generate implied prices on Condors, traders will now have the ability to more efficiently execute this popular Eurodollars trading strategy on the CME Globex platform. The following is a list of Condors that will be listed as of May 1:
3 Month Condors | 6 Month Condors | 1 Year Condors
GEM5-GEU5-GEZ5-GEH6 | GEM5-GEZ5-GEM6-GEZ6 | GEM5-GEM6-GEM7-GEM8
GEU5-GEZ5-GEH6-GEM6 | GEU5-GEH6-GEU6-GEH7 | GEU5-GEU6-GEU7-GEU8
GEZ5-GEH6-GEM6-GEU6 | GEZ5-GEM6-GEZ6-GEM7 | GEZ5-GEZ6-GEZ7-Z8
GEH6-GEM6-GEU6-GEZ6 | GEH6-GEU6-GEH7-GEU7 | GEH6-GEH7-GEH8-GEH9
GEM6-GEU6-GEZ6-GEH7 | GEM6-GEZ6-GEM7-GEZ7 | GEM6-GEM7-GEM8-GEM9
| GEU6-GEH7-GEU7-GEH8 | GEU6-GEU7-GEU8-GEU9
|  | GEZ6-GEZ7-GEZ8-GEZ9
|  | GEH7-GEH8-GEH9-GEH0
If you have any questions or concerns about this CME Product launch, please contact Craig Bewick, 312.642.3839; Larry Grannan, 312.454.8312; or Peter Barker, 312.930.8554, CME Interest Rate Products. Thank you, CME 1.800.331.3332