GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: April 16, 2007
Notice Date | 2007-04-16
Notice Number | 041607
Effective Date |
Welcome to the CME Globex Notices for the week of April 16, 2007. CME Electronic Trading Customer Forums - London Session Today! This Week Reminder: CME E-mini S&P 500 Futures Maximum Order Quantity Increase April Reminder: CME Weekly Average Temperature Futures Launch May CME Canadian CAT Futures Launch CME Dry Whey Calendar Spreads Launch NYMEX Uranium Futures Launch Reminder: CME Credit Index Event Futures Launch Reminder: Extended Listings for CME Lean Hog and Live Cattle Intercommodity Spreads Reminder: NYMEX Products on the CME Market Data Platform CME Eurodollar Options Changes Reminder: CME E-mini FTSE/Xinua China 25 Index Futures Launch If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe. Learn the latest in electronic trading on CME Globex FCMs, IBs, proprietary trading groups, ISVs and market data distributors - Register today for the CME Electronic Trading Customer Forum. The CME Electronic Trading Customer Forums are designed to bring CME and its customers together. You will receive updates and information regarding CME Globex platform changes, electronic trading policies and new offerings in the next 6-12 months. These events are free and attendance is limited to CME customers. The forum will cover:
CBOT-CME proposed merger update Product updates NYMEX product updates and the CME Messaging Policy Enhanced Execution Reports User-Defined Spreads: Combos | New market data format: FIX/FAST New offering: Drop copy New offering: Cancel on disconnect New certification environments and AutoCert+ tool
London Thursday, April 19, 2007 15:30 Registration 16:00 Presentation Reception to follow The Old Library Lloyd's One Lime Street London EC3M 7HA |  | Singapore Thursday, 7 June 2007 16:30 Registration 16:45 Presentation Reception to follow Fullerton Hotel The Straits Room, 4th Floor 1 Fullerton Square Singapore
CLICK HERE to register. Reminder: CME E-mini S&P 500 Futures Maximum Order Quantity Increase Effective this Sunday, April 22 (for trade date Monday, April 23), at customers' request, CME is increasing the Maximum Order Quantity limit for CME E-mini S&P 500® futures from the current 1,500 to 2,000. This Maximum Order Quantity change applies only to outrights; there is no change to the Maximum Order Quantity for spreads. Reminder: CME Weekly Average Temperature Futures Launch Effective Sunday, April 29, the following CME Weekly Average Temperature futures are launching on the CME Globex platform. These CME Weekly Average Temperature products enable market participants to hedge short-term intra-monthly weather risk. CME Weekly Average Temperature contracts will list two weekly contracts (Monday through Friday), and will be settled the following business day.
CME Weekly Average Temperature Futures on CME Globex
Listing City | Instrument Group Code | Product Code | Listed Weeks
Baltimore/Washington | H0 | HV1-HV5 | 2
Des Moines | H0 | H91-H95 | 2
Detroit | H0 | HK1-HK5 | 2
Houston | H0 | HR1-HR5 | 2
Kansas City | H0 | KX1-KX5 | 2
Las Vegas | H0 | H01-H05 | 2
Minneapolis - St. Paul | H0 | HQ1-HQ5 | 2
Philadelphia | H0 | H61-H65 | 2
Portland | H0 | H71-H75 | 2
Sacramento | H0 | KS1-KS5 | 2
Salt Lake City | H0 | HA1-HA5 | 2
Tucson | H0 | H81-H85 | 2
These CME Weekly Average Temperature futures are currently available in the New Release Certification environment. CME Canadian CAT Futures Launch Effective Sunday, May 6, 2007 (for trade date Monday, May 7), CME Canadian Cumulative Average Temperature (CAT) Monthly and Seasonal Strip Index futures will launch on the CME Globex platform. The CME weather derivative markets enables those businesses that could be adversely affected by unanticipated weather to manage this risk. This sector of hedging and risk management products represents today's fastest growing derivatives market.
CME Canadian CAT Monthly and Seasonal Strip Index futures on CME Globex
Listing City | Instrument Group Code | Product Code
Calgary | P2 | V2
Edmonton | P2 | V4
Montreal | P2 | V5
Toronto | P2 | V1
Vancouver | P2 | V8
Winnipeg | P2 | V9
These CME Canadian CAT futures will be available in the New Release Certification environment for customer testing Wednesday, April 25, after the weekly maintenance window. CME Dry Whey Calendar Spreads Launch Effective Sunday, May 6, 2007 (for trade date Monday, May 7), CME is launching calendar spreads on CME Dry Whey futures. These spreads will use Strategy Type Code SP and will launch with implied functionality. CME Dry Whey calendar spreads will be available for customer testing in the New Release Certification environment this Wednesday, April 25, after the weekly maintenance window. NYMEX Uranium Futures Launch Effective Sunday, May 6, 2007 (for trade date Monday, May 7), NYMEX UxC Uranium U308 Swap futures will launch on the CME Globex platform. The NYMEX UxC Uranium futures contract will be financially settled on the spot month-end U3O8 price published by Ux Consulting Company, LLC. U3O8, or yellowcake, refers to concentrated uranium oxide produced from uranium ore and is the most actively traded uranium-related commodity. This new contract will provide U3O8 risk management to a wide audience.
NYMEX UxC Uranium U308 Swap Futures
Product | Instrument Group Code | Product Code | Contract Size | Contract Tick Size | Tick Value | CME Globex Tick Size | Maximum Listed Months | MDP Channel
Uranium | UX | UX | 250 pounds | 0.05 | $0.05 | 5 | 36 | 31
The NYMEX UxC Uranium futures will be available for customer testing in the New Release Certification environment Wednesday, April 25, after the weekly maintenance window. Reminder: CME Credit Index Event Futures Launch Effective Sunday, May 6 (for trade date Monday, May 7), CME Credit Index Event futures will launch on the CME Globex platform. The CME Credit Index Event futures merge the benefits of over-the-counter (OTC) credit default swaps with the advantages of exchange-traded derivatives. These new CME contracts represent the first exchange-traded, centrally cleared and guaranteed product available to the credit derivatives market. CME Credit Index Event contracts are expected to provide a transparent and liquid means of writing protection on and acquiring protection against a number of defined corporate credit events, including bankruptcy and failure to pay. They will trade exclusively on the CME Globex electronic trading platform. CME Credit Index Event futures will be available in the New Release Certification environment for customer testing Wednesday, April 25, after the weekly maintenance window. Reminder: Extended Listings for CME Lean Hog and Live Cattle Intercommodity Spreads Effective Sunday, May 6, 2007 (for trade date Monday, May 7), CME is extending the listings for intercommodity spreads on the CME Lean Hog and CME Live Cattle futures. These spreads use the Strategy Type Code IS. The complete list of intercommodity spreads available for trading upon launch is online. Please note: to facilitate this launch, all resting GTC and GTD orders on CME Lean Hog and Live Cattle intercommodity spreads will be cancelled after the session closes this Friday. In addition, the ISIN codes for currently listed spreads may change; to ensure no impact, CME recommends all customers purge and re-load their instrument databases from the Instrument Creation (MO (m-oh)) market data messages every week. There is no impact for customers who purge and re-load weekly, or who do not rely on the ISIN Code for instrument identification. Please contact your front-end system provider for more information. These extended intercommodity spreads will be available for customer testing in the New Release Certification environment this Wednesday, April 25, after the weekly maintenance window. Reminder: NYMEX Products on the CME Market Data Platform Effective Sunday, May 6, 2007, CME is decommissioning the legacy NYMEX market data channel (20) on the CME Market Data Platform. Since the introduction of NYMEX futures and spreads on the CME Globex platform, market data messaging rates on the CME Market Data Platform NYMEX channel (20) have steadily increased, recently reaching peaks greater than 3 mbps. To better manage bandwidth utilization, CME leveraged the scalability of the CME Market Data Platform and introduced three new channels for NYMEX and COMEX® products. Complete information on the three new NYMEX and COMEX channels on the CME Market Data Platform, including the products assigned to each channel, is available online. More information on NYMEX and COMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com. CME Eurodollar Options Changes Effective Sunday, May 13 (for trade date Monday, May 14), CME is implementing the following changes to CME Eurodollar options on futures. Tick Change CME is implementing the new Variable Tick Table (VTT) 12 for all CME Eurodollar options except the spot month. The spot month will continue to trade at a quarter tick. Please note: although all CME Eurodollar options except the spot month will use VTT 12, only the first two quarterlies and the serials are eligible to trade at quarter ticks. CME Rules prohibit quarter tick orders and trades for all mid-curve options and for all quarterly options except the first two. If any leg of an option spread is eligible to trade at a quarter tick, the entire spread is likewise eligible. VTT 12 is defined as follows:
VTT 12 for cme eurodollar options on futures
Variable Tick Table Index Code (position 576-577) Instrument Creation (MO) Message | Current Price (P) | CME Globex Tick Size
12 | P < -5 | 0.50
12 | -5 <= P <= 5 | 0.25
12 | P > 5 | 0.50
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. Strikes Listing Change At customers' requests, CME is changing the strikes listing rules for all CME Eurodollar options. With this change, strikes will be listed at 12.5 basis points intervals, ATM ± 6 (150 points) for all CME Eurodollar options. Outside the ATM ± 6 range, strikes will be listed at 25 points intervals. Currently, strikes at 12.5 points intervals are listed only for: Two nearest expiring quarterlies Serials Nearest expiring weekly 1-year Mid-Curve, and 2-year and 5-year Mid-Curve options. VTT 12 and the new listing rules will be implemented in the New Release Certification environment for customer testing this Wednesday, April 25, after the weekly maintenance window. Reminder: CME E-mini FTSE/Xinua China 25 Index Futures Launch Effective Sunday, May 20 (for trade date Monday, May 21), the CME E-mini FTSE®/Xinhua® China 25 Index futures on the CME Globex platform. The CME E-mini FTSE/Xinhua China 25 Index futures are designed to meet the growing need for 24-hour access to the Chinese equity markets. The FTSE/Xinhua China 25 Index is comprised of 25 of the largest, most liquid red-chip and H-share Chinese companies listed on the Hong Kong Stock Exchange. CME E-mini FTSE/Xinhua China 25 Index futures will be available for customer testing in the New Release Certification environment Wednesday, May 9, after the weekly maintenance window. ©2007 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini®, iLink® Globex Trader® and CME® are trademarks of CME