GLOBEX Advisory Notices
To |
From | CME
Subject | Reminder - Launch of CME(R) Eurodollar Pack Spreads and Butterflies on the CME(R) Globex(R) Platform
Notice Date | 2005-04-13
Notice Number | 041305-2
Effective Date |
Dear CME® Globex® Customer, Effective Sunday, April 30, CME will begin listing CME Eurodollar Pack spreads and CME Eurodollar Pack butterfly combinations 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, 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 its 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 will expand the listed CME Eurodollar Pack contracts to include both two-legged pack spreads as well as pack butterflies. Initially, CME will list the two-legged pack spreads through the Orange contracts. 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 | Green-Gold-Orange
Blue-Gold-Purple |
Gold-Purple-Orange |
CME Globex Behavior for the New Combinations The new 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 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