GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: March 12, 2007
Notice Date | 2007-03-12
Notice Number | 031207
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of March 12, 2007. CME Electronic Trading Customer Forums This Week Reminder: CME FX Options Extended Listings Reminder: Negative Price Support Reminder: CME Dry Whey Futures Launch
Proposed CBOT Migration Timeline Information on the proposed CBOT migration timeline is now available online.
March New Order Qualifiers for CME Options Update: CME Options Spreads Settlement Prices Reminder: ISIN Code Changes for Options Reminder: Enhanced Execution Reports and UDS: Combos Reminder: CME FX Trading Schedule Change Reminder: CME Equity Options Spreads Change April Extended Strikes Listing for CME Japanese Yen Options CME Weekly Average Temperature Futures Launch May Reminder: NYMEX Products on the CME Market Data Platform 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
New York Tuesday, March 27, 2007 4:30 p.m. Registration 5:00 p.m. Presentation Reception to follow Estrela Room Le Parker Meridien 118 West 57th Street New York, NY |  | Chicago Tuesday, April 10, 2007 3:30 p.m. Registration 4:00 p.m. Presentation Reception to follow CME CME Auditorium 20 S Wacker Dr Chicago, IL |  | 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
A customer forum will be held in Singapore at a later date. CLICK HERE to register. Reminder: CME FX Options Extended Listings Effective this Sunday, March 18, 2007 (for trade date Monday, March 19), CME is extending the strike listings for the following CME Foreign Exchange (FX) options on futures for all contract months on the CME Globex platform. This change only affects outright options; there is no change to the listing rules for options spreads.
CME FX Options Extended Strikes Listings
Product | Instrument Group Code | Product Code | Current Listings | New Listings
CME Australian Dollar Options | ZA | 6A | At the money ± 4 | At the money ± 8
CME Canadian Dollar Options | OV | 6C | At the money ± 6 | At the money ± 8
Reminder: Negative Price Support Effective this Sunday, March 18, 2007, a new field will be added to the Instrument Creation (MO (m-oh)) market data message to indicate whether an instrument supports positive, zero (0) or negative prices. Position 797 - Negative Price Flag (Boolean) will have valid values of 0 (zero), for an instrument that only supports positive and zero prices, and 1, for an instrument that supports positive, zero and negative prices. For example, all CME Eurodollar futures will have a 0 (zero) at position 797 in the MO message to indicate positive and zero price support only. All CME Eurodollar spreads will have a 1 at position 797 to indicate positive, zero and negative price support. To support this change, upon launch, positions 795-796 and 798-811 in the MO messages will be initialized to 0 (zeroes), replacing the current spaces. More information on the CME Market Data Platform RLC Message Specifications, including the Instrument Creation (MO) messages, is available online. Reminder: CME Dry Whey Futures Launch Effective this Sunday, March 18 (for trade date Monday, March 19), CME Dry Whey futures will launch on the CME Globex platform. CME Dry Whey will list 12 contract months upon launch, with Instrument Group Code DY and CME Globex Product Code DY. Whey is the liquid separated from milk during cheese production. Dried whey, high in protein and low in fat, is used in a variety of foods including crackers, breads, cereal and pastries, as well as in the popular energy and power bars and protein drinks and powders. Whey is also used in animal feed. Dry whey has become a volatile commodity as demand has at times outpaced supply. CME Dry Whey are currently available for testing in the certification environment. New Order Qualifiers for CME Options Effective Sunday, March 25, 2007 (for trade date Monday, March 26), CME is launching support for Good 'Till Cancelled (GTC) and Good 'Till Date (GTD) order qualifiers for the following options on futures instruments: Options traded on CME Globex around the clock, during electronic trading hours (ETH) and regular trading hours (RTH) hours E.g., CME Euro FX options (product code 6E) Options traded exclusively on CME Globex E.g., CME E-mini S&P 500 ® options (product code ES) The following options instruments will not support GTC and GTD order qualifiers: Options traded on CME Globex only during ETH E.g., CME EOM S&P 500 options (product code EV) Options traded on CME Globex only during RTH E.g., CME Live Cattle options (product code LE) Please note: customers can easily determine GTC and GTD eligibility for any instrument by referring to position 93, Default Date Validity, in the Instrument Creation (MO (m-oh)) RLC market data message. More information is available in the RLC Message Spefications volume of the CME Market Data Platform SDK. Update: CME Options Spreads Settlement Prices Effective Sunday, March 25, 2007, to provide consistent data across all product complexes, CME Globex will no longer publish settlement price data via the Instrument Creation (MO (m-oh)) and Price (M7) RLC market data messages for CME options spreads. Settlement price data will still be available in the MO and M7 messages for the outright options. More information on the CME Market Data Platform and CME iLink messaging formats is available in the CME Globex SDKs. Reminder: ISIN Code Changes for Options Effective Sunday, March 25, 2007, CME is changing ISIN Code management procedures for options only. With this change, ISIN Codes for options spreads may be reassigned to a different options instrument before expiration. Outright options' ISIN Codes will not be reassigned during the week. 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. Reminder: Enhanced Execution Reports and UDS: Combos The Enhanced Execution Reports and User-Defined Spreads (UDS): Combos release, scheduled to launch Sunday, March 25, 2007, introduces two sets of functional enhancements to the CME Globex platform. Enhanced Execution Reports With this release, Fill and Trade Cancellation messages will be enhanced for all products traded on the CME Globex platform with new FIX tags 442-MultiLegReportingType, 393-TotalNumSecurities and 527-SecondaryExecID. Customers will be able to use the enhanced Fill and Trade Cancellation messages to: Differentiate messages for outrights, legs and spreads Correlate leg and spread messages Identify the number of legs associated with a spread CME strongly recommends all customers test the enhanced execution reports prior to the production launch. Enhanced execution reports are currently available in the certification environment. UDS: Combos With UDS: Combos functionality, customers will be able to define and trade unique options instruments intra-day, composed of any or all of the following: Exchange-defined outright option(s) Exchange-defined option spread(s) Existing user-defined spreads With this launch, customer systems must be able to accomodate Security Definition (MU) messages with up to 40 repeating groups (i.e., spread legs). CME recommends customers configure market data buffer size to accomodate up to 5120 bytes. Front-end trading applications interested in UDS: Combos functionality are required to certify via CME AutoCert+. This functionality is currently available for testing and certification. To access CME AutoCert+, please contact your CME Globex Account Manager at 312.634.8700, or in Europe at +44.20.7796.7100. More information on this release is available in the UDS: Combos and Enhanced Execution Reports Client Impact Assessment . Reminder: CME FX Trading Schedule Change Effective Sunday, March 25, 2007, at customers' request, CME FX futures and options on CME Globex trading schedule will be expanded to open two hours earlier, at 3:00 p.m. Central time (CT) on Sundays. Currently, CME FX futures and options markets open on Sunday for trading at 5:00 p.m. CT. In addition, the pre-market open period will be reduced from the current 45 minutes to 30 minutes, commencing at 2:30 p.m. on Sundays. Reminder: CME Equity Options Spreads Change To increase price clarity for CME Equity options spreads, effective Sunday, March 25, 2007 (trade date Monday, March 26), CME will disseminate four-character strike prices (instead of the current three-character prices) in the Complete Instrument Code in RLC market data messages (e.g., position 72-91 of the MO message) and CME iLink order messaging (e.g., FIX tag 107, SecurityDesc, in Execution Reports). The total length of the Complete Instrument Code will not exceed 20 characters. The most significant digit of the strike price will be displayed in the Complete Instrument Code and tag 107, SecurityDesc. For example, currently a CME E-mini Russell options spread is disseminated as: ER:VCM7C150 200 With this change, the same spread will be disseminated as: ER:VCM7C8150 C8200 More information on the CME Market Data Platform and CME iLink messaging formats is available in the CME Globex SDKs. Extended Strikes Listing for CME Japanese Yen Options Effective Sunday, April 1, 2007 (for trade date Monday, April 2), CME is extending the strike listings for the CME Japanese Yen options on futures for all contract months listed on the CME Globex platform. This change only affects outright options; there is no change to the listing rules for options spreads.
CME Japanese Yen Options Extended Strikes Listings
Product | Instrument Group Code | Product Code | Current Listings | New Listings
CME Japanese Options | OJ (oh-J) | 6J | At the money ± 8 | At the money ± 12
CME Weekly Average Temperature Futures Launch Effective Sunday, April 1, 2007, and Sunday, April 15, the new 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
Sunday, April 1, 2007 Launch
Atlanta | H0 (zero) | H11-H15 | 2
Boston | H0 | HW1-HW5 | 2
Chicago | H0 | H21-H25 | 2
Cincinnati | H0 | H31-H35 | 2
Dallas-Fort Worth | H0 | H51-H55 | 2
New York City | H0 | H41-H45 | 2
Sunday, April 15, 2007 Launch
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
The CME Weekly Average Temperature futures scheduled to launch on April 1 will be available in the certification environment Wednesday, March 21. The CME Weekly Average Temperature futures scheduled to launch on April 15 will be available in the certification environment Wednesday, April 4. 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. The legacy NYMEX market data channel (20) will be eliminated in the certification environment Tuesday, March 20. More information on NYMEX and COMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com. ©2007 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini®, iLink® Globex Trader® and CME® are trademarks of CME