GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: October 9, 2006
Notice Date | 2006-10-09
Notice Number | 100906
Effective Date |
Welcome to the CME Globex Notices summary for the week of October 9, 2006. CME Electronic Trading Customer Forums This Week Reminder: CME Equity Options Spreads Change Reminder: Instrument Creation (MO) Market Data Message Schedule Change CME Certification Environment Schedule Change October Update: NYMEX REBCO Futures Launch on the CME Globex Platform Reminder: CME Market Data Platform Enhancements November Update: CME Weather Products Launch User-Defined Spreads Expansion: CME Equity, CME FX and CME Commodity Options If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; or at +44.207.623.2550 in Europe. CME Electronic Trading Customer Forums CME is proud to host the CME Electronic Trading Customer Forums. The CME Electronic Trading Customer Forums are a communication vehicle to update customers and solicit feedback on topics related to CME's electronic trading strategy over the next 6 - 12 months, including new policies, enhancements, and products. Representatives from FCMs, IBs, proprietary trading groups, ISVs and market data distributors are encouraged to attend. These meetings will be followed by receptions. To attend a CME Electronic Trading Customer Forum, please register online. The agenda includes: CME Product Update Electronic Options Update CME Globex Trader and CME EOS Trader Update User-Defined Spreads (UDS) Phase 2 NYMEX Products on the CME Globex Platform CME Market Data Format New Offering: CME LNet New CME Certification Environments
New York Tuesday, October 17 4:30 p.m. Registration 5:00 p.m. Presentation Le Parker Meridien Hotel Estrada Room 118 West 57th St New York, NY | Chicago Tuesday, October 24 3:30 p.m. Registration 4:00 p.m. Presentation CME CME Auditorium 20 S Wacker Dr Chicago, IL | London Wednesday, November 8 15:30 Registration 16:00 Presentation The London Underwriting Centre 3 Minster Court, Mincing Lane London
These events are free and attendance is limited to CME customers. Reminder: CME Equity Options Spreads Change Effective this Sunday, October 15, 2006, to simplify listing groups in the CME Equity product complex, the Instrument Group Codes for CME Equity options spreads will be consolidated. Unique Instrument Group Codes will be assigned, per product, for all exchange-defined CME Equity options spreads. The Instrument Group Code can be found at position 70-71 in the Instrument Creation (MO) market data messages. To support this change, all resting GTC and GTD orders for CME Equity options spreads will be eliminated at session close this Friday, October 13. All exchange-listed CME E-mini S&P 500® options spreads will have the Instrument Group Code 1V. All exchange-listed CME E-mini NASDAQ-100® options spreads will have the Instrument Group Code 2V. All exchange-listed CME E-mini Russell 2000® options spreads will have the Instrument Group Code 3V.
CME Equity Options Instrument Group Codes
Spreads | Current | After Consolidation
CME E-mini S&P 500
Butterflies | 1B | 1V
Verticals | 1V, 1W | 1V
Horizontals, Strangle, Straddles | 1Z | 1V
CME E-mini NASDAQ-100
Butterflies | 2B | 2V
Verticals | 2V, 2W | 2V
Horizontals, Strangles, Straddles | 2Z | 2V
CME E-mini Russell 2000
Butterflies | 3B | 3V
Verticals | 3V, 3W | 3V
Horizontals, Strangles, Straddles | 3Z | 3V
These CME Equity options spreads are currently available in the CME certification environment with the new Instrument Group Codes for customer testing. Reminder: Instrument Creation (MO) Market Data Message Schedule Change Effective this Sunday, October 15, in the CME production environment, CME is changing the schedule for the Sunday referential broadcast of the Instrument Creation (MO) market data messages. MO messages will be disseminated around 12:00 p.m. Central time (CT), about two hours earlier than the present schedule. The referential broadcast for the CME certification environment is currently scheduled at 12:00 p.m. CT. CME Certification Environment Schedule Change On Tuesday, October 17, to support the upcoming UDS Expansion release, the CME certification environment maintenance window will be extended and the CME certification environment will be unavailable from 10:00 a.m. - 5:00 p.m. Central time (CT). CME Eurodollar options will be unavailable in the CME certification environment from 5:00 p.m. CT, Monday, October 16, through 5:00 p.m. CT Tuesday. Instrument Creation (MO) messages for CME Equity and CME FX options in the CME certification environment will not be broadcast this Sunday, October 15. These MO messages will be available in the certification environment via the CME Market Data Platform replay channels (1 and 16) effective Wednesday, October 18. The following week, the CME certification environment maintenance window will return to the normal schedule, Tuesdays 12:00 p.m. - 5:00 p.m. CT. If you have any questions or concerns about this schedule change, please contact CSET at 312.930.2322. Update: NYMEX REBCO Futures Launch on the CME Globex Platform Effective Sunday, October 22, 2006 (for trade date Monday, October 23), the NYMEX Russian Export Blend Crude Oil (REBCO) futures and calendar spreads will launch on the CME Globex platform. The Instrument Group Code for REBCO products in the CME certification environment currently is RE. Effective Sunday, October 15, to support listing a wide array of REBCO spreads in the future, the Instrument Group Code for all REBCO products will be changed to CL. If your front-end system requires it, customers must purge their instrument databases for the CME certification environments and re-populate using the new Instrument Creation (MO (m-oh)) market data messages. Please contact your front-end system provider for more information. The Product Code remains RE. The REBCO contract features physical delivery of REBCO on a free-on-board basis at the port of Primorsk, Russia on the Baltic Sea. The contract size is 1,000 barrels, denominated in U.S. dollars and cents per barrel. REBCO futures will be listed on the CME Globex platform for 72 consecutive months beginning with the January 2007 contract. More information on this new product is available online. These futures and calendar spreads are currently available in the CME certification environment for customer testing. Reminder: CME Market Data Platform Enhancements Administrative Message Routing To streamline market data processing, effective Sunday, October 22, 2006, in the CME production environment, the following market data messages, currently disseminated via the administration channel, will be disseminated via the relevant CME Market Data Platform product channels: Instrument Creation (MO) messages Trading Day Timetables (MH) messages Group State Change Marker (MJ) messages Start of CME Globex Platform (MK) messages Start of Instrument Referential Broadcasting (ML) messages End of Instrument Referential Broadcasting (MM) messages These administrative messages will be broadcast via both the relevant product channels and the administration channel for two months to ensure adequate customer testing time. These messages will then only be disseminated via the relevant product channel. The SPI mail messages will be the only market data messages broadcast on the administration channel. There is no change to the Instrument Creation (MO) Messages - Replay Only and Instrument Creation (MO) Messages - Replay Only (Excluding CME Eurodollar Options) channels (1 and 16). These changes, with these messages broadcast on both the administration and product channels, are currently available in the CME certification environment. More information on the CME Market Data Platform is available in the CME Market Data Platform Developer's Guide. Details on the CME market data messages can be found in the CME Market Data Platform RLC Message Specifications. Market Data Message Batching Also effective Sunday, October 22, to improve the efficiency of market data dissemination, the CME Market Data Platform is enabling the market data message batching functionality. Multiple market data messages will be batched into a single network frame. Although this functionality has been available since the launch of the CME Market Data Platform, as outlined in the CME Market Data Platform Developer's Guide, Section 3.1.2 Message Batching, CME is leveraging it now in response to the market data messaging increases. To facilitate customer testing, the batching functionality is currently enabled for all channels in the CME certification environment and on the CME Globex Equity Options channel (8) only in the CME production environment. Continuous batching of simulated market data messages for CME Class III Milk futures (product code = DC) on the CME Globex Commodities, Industrial Commodities and TRAKRSSM Options channel (14) is now available in the CME certification environment. Please contact your CME Globex Account Manager with any questions or concerns. Update: CME Weather Products Launch Effective Sunday, November 5 (for trade date Monday, November 6), the following new CME Weather futures and seasonal strips† will launch for trading on the CME Globex platform. Please note: The product codes for these new CME Weather products were previously assigned to CME Weather Seasonal futures. If your front-end system requires it, customers must purge their instrument databases for both the CME certification and production environments and re-populate using the new Instrument Creation (MO (m-oh)) market data messages. Please contact your front-end system provider for more information.
CME Seasonal Strip Snowfall Futures
| Product Code | October Strip | November Strip | December Strip | January Strip | February Strip | March Strip
Boston Logan International Airport | SB | SBV | SBX | SBZ | SBF | SBG | SBH
New York City Central Park | SX | SXV | SXX | SXZ | SXF | SXG | SXH
CME Canadian Weather Monthly Futures
| Heating Degree Days (HDD) | Cooling Degree Days (CDD)
Calgary | A2 | P2
Edmonton | A4 | P4
Montreal | A5 | P5
Toronto | A7 | P7
Vancouver | A8 | P8
Winnipeg | A9 | P9
CME Canadian Weather Heating Degree Day (HDD) Seasonal Strips
| Product Code | October Strip | November Strip | December Strip | January Strip | February Strip | March Strip
Calgary | A2 | A2V | A2X | A2Z | A2F | A2G | A2H
Edmonton | A4 | A4V | A4X | A4Z | A4F | A4G | A4H
Montreal | A5 | A5V | A5X | A5Z | A5F | A5G | A5H
Toronto | A7 | A7V | A7X | A7Z | A7F | A7G | A7H
Vancouver | A8 | A8V | A8X | A8Z | A8F | A8G | A8H
Winnipeg | A9 | A9V | A9X | A9Z | A9F | A9G | A9H
CME Canadian Weather Cooling Degree Day (CDD) Seasonal Strips
| Product Code | April Strip | May Strip | June Strip | July Strip | August Strip | September Strip
Calgary | P2 | P2J | P2K | P2M | P2N | P2Q | P2U
Edmonton | P4 | P4J | P4K | P4M | P4N | P4Q | P4U
Montreal | P5 | P5J | P5K | P5M | P5N | P5Q | P5U
Toronto | P7 | P7J | P7K | P7M | P7N | P7Q | P7U
Vancouver | P8 | P8J | P8K | P8M | P8N | P8Q | P8U
Winnipeg | P9 | P9J | P9K | P9M | P9N | P9Q | P9U
† Options on these new CME Weather futures will be available for trading on the CME trading floor only. These new futures and strips will be available for customer testing in the CME certification environment Sunday, October 22. Please contact Dave Smith, CME Weather Products, at 312.634.8921 for more information. User-Defined Spreads Expansion: CME Equity, CME FX and CME Commodity Options To support the impressive growth in electronically traded options, CME is expanding User-Defined Spreads (UDS): Covereds functionality on the CME Globex platform to CME Equity, Foreign Exchange (FX) and Commodity options. With UDS: Covereds functionality, CME customers can create unique instruments composed of an option outright or spread covered with one or two futures. The enhancements will be phased in by product group:
November 5, 2006 | CME FX options
November 19, 2006 | CME Equity options
December 4, 2006 | CME Commodity options (listed electronically for the first time)
The new functionality will be available for customer testing on the CME Equity, FX and Commodity options in the CME certification environment Wednesday, October 18. More information on the UDS Expansion launch is available online in the UDS Expansion Client Impact Assessment. With this launch, options markets will no longer be available via the CME Globex Trader trading application. More information on the removal of options markets and the CME Globex Trader decommission is available online. ©2006 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini® iLink®, Globex Trader® and CME® are trademarks of CME