GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: July 2, 2007
Notice Date | 2007-07-02
Notice Number | 070207
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of July 2, 2007. Product Changes New! Instrument Group Code Change for NYMEX Brent Financial Futures - July 15 New! Tick Changes for CME Eurodollar Options - July 15 Spread Change for CME Commodities - July 15 CME Eurodollar Extension - July 15 Maximum Order Quantity Increase for CME Eurodollar Futures - July 22 Update! Instrument Group Code Changes for CME Globex - July 29 Events and Announcements New! CME Messaging Policy Q3 Benchmarks Proposed CBOT Merger Client Impact Assessment If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; +44.20.7796.7100 in Europe; or at +852.3101.7696 in Asia. Product Changes Instrument Group Code Change for NYMEX Brent Financial Futures Effective Sunday, July 15, 2007 (for trade date Monday, July 16), the Instrument Group Code for the NYMEX Brent Crude Oil Financial futures and spreads will change to BB. Currently, the Instrument Group Code for the NYMEX Brent Crude Oil Financial products is CL. The Instrument Group Code can be found in the Instrument Creation (MO) RLC market data message at position 70-71. This change will be effective in all customer environments - Production, Certification and New Release. To facilitate this change, the NYMEX Brent Financial vs Crude Oil (BB:CL) and NYMEX Brent Financial vs REBCO (BB:RE) intercommodity spreads will be delisted effective July 15. New Instrument Group Codes may require front-end system or trading application changes. Please contact your system provider for more information. Tick Changes for CME Eurodollar Options Effective Sunday, July 15, 2007 (for trade date Monday, July 16), the tick for CME Eurodollar options on futures on the CME Globex platform will change as detailed below.
CME Eurodollar Options Tick Changes
CME Eurodollar Options | Current Tick Size | New Tick Size
Outright Options
Spot Month Options | 0.25 | 0.25
All Serial Options | VTT 12 | VTT 12
First Two Quarterly Options | VTT 12
All Other Quarterly Options | 0.50
All MidCurve Options | 0.50
CME Eurodollar options spreads with at least one Spot Month leg will be eligible for a 0.25 tick. Spreads where all legs are VTT 12 will use VTT 12. All other option spreads will be eligible for 0.50 tick. Variable Tick Tables are defined in position 576-577, Variable Tick Table Index Code, in the Instrument Creation (MO) message. More information on VTT is available in CME Market Data Platform SDK: Core Functionality, section 4.5.3 "Calculating Tick Size Based on Instrument Creation (MO) Message". More information on MO messages is available in CME Market Data Platform SDK: RLC Message Specifications. These changes will be available in New Release for customer testing after the maintenance window on Wednesday, July 11. Spread Change for CME Commodities Effective Sunday, July 15, 2007 (for trade date Monday, July 16), at customers' request, CME is changing the configuration of the CME Commodities 3-Way Call future spreads. 3-Way spreads are listed on CME Globex for the CME Live Cattle and CME Lean Hog futures. The new leg configuration will be: Leg 1 - Buy Call at strike price Leg 2 - Sell Call at higher strike price Leg 3 - Sell Put at lower strike price Currently, the 3-Way Call future spread is configured: Leg 1 - Buy Call at strike price Leg 2 - Sell Put at lower strike price Leg 3 - Sell Call at higher strike price These spreads with the new leg configuration will be available in New Release for customer testing after the maintenance window on Wednesday, July 11. CME Eurodollar Extension Effective Sunday, July 15, 2007 (for trade date Monday, July 16), implied functionality will be extended out through the first ten years (40 contract months) for CME Eurodollar futures and future spreads. With this launch, CME is also launching implied butterfly and calendar futures spreads for the second five years. Implied butterfly and calendar futures spreads for the first five years are already available on the CME Globex platform. The additional butterfly and calendar spreads and implied functionality are currently available in New Release for customer testing. Maximum Order Quantity Increase for CME Eurodollar Futures At customer requests, effective Sunday, July 22, 2007 (for trade date Monday, July 23), the Maximum Order Quantity for the first two years of CME Eurodollar futures and spreads is increasing to 30,000. Currently, the Maximum Order Quantity is set to 20,000 for the first two years. The Maximum Order Quantity for every instrument on CME Globex is defined in the Instrument Creation (MO (m-oh)) RLC market data message, position 533, Order Max Qty. Instrument Group Code Changes for CME Globex To prepare for upcoming product launches, the existing Instrument Group Codes for the following products will be changed. The Instrument Group Code can be found in the Instrument Creation (MO) message at position 70-71. This change will be effective in all customer environments (Production, Certification and New Release) Sunday, July 29, 2007. New Instrument Group Codes may require front-end system or trading application changes. Please contact your system provider for more information.
New CME Instrument Group Codes
CME AFFECTED PRODUCTS | Current Instrument Group Code | New Instrument Group Code
CME NASDAQ-100® options on futures | ZD | XH
CME Euro FX/Japanese Yen Cross Rate options | ZO (z-oh) | X8
CME E-mini Russell 1000® futures | RS | XU
CME Israeli Shekel futures | IS | XI (x-eye)
CME Futures on iShares Russell 2000 Index Fund™ | IW | QQ
CME Futures on on S&P 500 ® Depositary Receipts | PY | QQ
CME EuroFX options | ZC | XT
CME New Zealand Dollar outright options | ZN | 2N
CME New Zealand option spreads | 0N (zero-N) | 3N
Events and Announcements CME Messaging Policy Q3 Benchmarks The Q3 2007 CME Messaging Policy benchmarks are now available online. The benchmarks are published quarterly and are based on the per-product Volume Ratios, including the prior quarter's roll trading. Proposed CBOT Merger Client Impact Assessment CME previously announced that it intends to migrate e-cbot products to CME Globex in a phased approach beginning Q1 2008, subject to completion of the CME-CBOT merger, which is expected to occur mid-2007, pending approvals by regulators, shareholders of both companies and CBOT members, as well as completion of customary closing conditions. In an effort to provide information as early as possible regarding this electronic trading migration, the CME/CBOT Client Impact Assessment document is now available for your reference at www.cme.com/CBOTImpact. Key topics discussed in this document are as follows: Key Dates and Events CME Globex System Impacts Product-Specific Functionality Fractional and Cabinet Pricing Implied Spread Functionality Matching Algorithms Market Data Messages and Channels Testing and Certification Bandwidth Recommendations Messaging Policy Implications User Identification For more information about this client impact document, please contact CME Globex Account Management or via phone at 312.634.8700 or at +44.20.7796.7100 in Europe. ©2007 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini®, iLink®, Globex Trader®, Galax-C®, and CME® are trademarks of CME