GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: June 11, 2007
Notice Date | 2007-06-11
Notice Number | 061107
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of June 11, 2007. Proposed CBOT Merger Client Impact Assessment This Week Mock Trading Session for NYMEX and COMEX Options This Saturday Extended Listings for CME Dry Whey and CME Cash-Settled Butter Futures Reminder: Zero Prices for CME Snowfall Futures Reminder: CME Credit Index Event Futures Launch Reminder: Strikes Change for CME E-mini NASDAQ-100 Options on Futures Reminder: CME Eurodollar Options Strike Expansion June Reminder: ITC Market Data for NYMEX on CME Globex on CME Market Data Platform Reminder: NYMEX Options Launch on CME Globex NYMEX Financially Settled Energy Futures Delisting on CME Globex July Reminder: Legacy Certification Environment Decommission Reminder: CME Eurodollar Extension 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. 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. Extended Listings for CME Dry Whey and CME Cash-Settled Butter Futures Effective Monday, June 18, 2007, CME is extending the listings for CME Dry Whey futures and CME Cash-Settled Butter futures an additional 12 months, for a total of 24 contract months. Both products will have calendar spreads listed and implied functionality for the full 24 months.
Extended CME Commodities Listings
Product | Instrument Group Code | Product Code | Strategy Type Code | Currently Listed Months | New Listed Months
CME Dry Whey Futures | DY | DY | —x x x x x x x x < /td> | 12 | 24
CME Dry Whey Calendar Spreads | DY | DY | SP | 12 | 24
CME Cash-Settled Butter Futures | CB | CB | —x x x x x x x x < /td> | 12 | 24
CME Cash-Settled Butter Calendar Spreads | CB | CB | SP | 12 | 24
Reminder: Zero Prices for CME Snowfall Futures Effective this Sunday, June 17, 2007 (for trade date Monday, June 18), CME Snowfall futures will support 0 (zero) trade and daily settlement prices. With this enhancement, customers will be able to trade CME Snowfall futures outrights at zero prices; spreads may still be traded at positive, zero and negative prices as appropriate. More information on zero trade and daily settlement prices is available in the Enhanced Futures Trade and Settlement Prices Client Impact Assessment. Reminder: CME Credit Index Event Futures Launch Effective this Sunday, June 17, 2007 (for trade date Monday, June 18), CME Credit Index Event futures will launch on the CME Globex platform. These futures have Product Code CH2 and Instrument Group Code CH. 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 futures 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. CME Credit Index Event futures are currently available in the New Release Certification environment for customer testing. Reminder: Strikes Change for CME E-mini NASDAQ-100 Options on Futures Effective this Sunday, June 17, 2007 (for trade date Monday, June 18), with the expiration of the June 2007 contracts, the strikes listing rules for CME E-mini NASDAQ-100 ® options will change as described below.
CME E-mini NASDAQ-100 Strikes Listing Rules
Strike Interval | Current Listings | New Listings
5 basis points | ATM ± 100 | None
10 basis points | ATM ± 100 | ATM ± 7.5%
25 basis points | ATM ± 100 | None
Reminder: CME Eurodollar Options Strike Expansion Effective this Sunday, June 17, 2007 (for trade date Monday, June 18), at customer requests, CME is expanding the recently launched strikes at 12.5 basis points intervals to all listed expirations, including all mid-curve 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 continue to be listed at 25 points intervals. Reminder: ITC Market Data for NYMEX on CME Globex on CME Market Data Platform Effective Sunday, June 24, 2007, ITC2.1 market data for NYMEX and COMEX products on CME Globex will be available via the CME Market Data Platform. With this launch, real-time NYMEX and COMEX on CME Globex market data will be available via CME Market Data Platform in both ITC2.1 and RLC formats. NYMEX has announced that, as of September 28, CME Globex market data for NYMEX and COMEX products traded on CME Globex will no longer be available via the NYMEX ITC2.1 multicast feed. More information on these changes, and the differences between CME and NYMEX ITC2.1 market data, is available online. CME Market Data Platform channel definitions for the new NYMEX and COMEX ITC2.1 channels in the New Release Certification environment, an FAQ, and a NYMEX-CME ITC2.1 Matrix are also available. Reminder: NYMEX Options Launch on CME Globex Effective Sunday, June 24, 2007 (for trade date Monday, June 25), options on NYMEX Crude Oil and Natural Gas futures and COMEX Gold and Silver futures will launch on CME Globex. CME is hosting two mock trading sessions for customers in the CME production environment, on Saturday, June 16 and Saturday, June 23. The NYMEX Options Mock Trading Session Plan and Script for the June 16 session are currently available online. Participants will be able to download the Instrument Creation (MO (m-oh)) market data messages for the new options instruments from the CME Market Data Platform MO Replay channels starting at 7:30 a.m. Central time. The MO messages will also be available at 7:30 a.m. on the CME ftp site for download. CME strongly recommends customers purge these new instruments from their instrument databases at the close of the mock trading session. Please note: CME has introduced new channels on the CME Market Data Platform for these products. Participants must join these new channels, as defined in the Mock Trading Session Plan, to receive NYMEX and COMEX market data. For NYMEX options, CME is introducing variable length strike prices of up to 5 bytes in the Complete Instrument Code field in RLC market data messages and in SecurityDesc (FIX tag 107) in CME iLink messages. Currently, in these fields CME supports fixed strike prices within product groups of up to 4 bytes. More information on RLC market data is available in the CME Market Data Platform SDK RLC Message Specifications volume. More information on CME iLink messaging is available in the CME iLink SDK Message Specifications volume.
NYMEX Options
Product | Instrument Group Code | Product Code | MDP Channel
Crude Oil | LO | LO | 35
Natural Gas | ON | ON | 36
Gold | OG | OG | 37
Silver | SO | SO | 37
These NYMEX options are currently available for customer testing in the New Release Certification environment. CME Globex product snapshots for NYMEX options, NYMEX futures and NYMEX and COMEX metal futures are available online. More information about this NYMEX options launch is available at www.nymexoncmeglobex.com. NYMEX Financially Settled Energy Futures Delisting on CME Globex Effective Friday, June 29, 2007 (for trade date Monday, July 2), NYMEX is delisting the following financially settled energy products, including spreads, on CME Globex.
NYMEX Energy Products Delisted on CME Globex
Product | Instrument Group Code | Product Code
Financially Settled Futures
Crude Oil | WS | WS
Heating Oil | BH | WS
RBOB Gasoline | RT | WS
Natural Gas Penultimate | HP | HP
Natural Gas Last Day | HH | HH
Financially Settled TAS
Crude Oil TAS | WST | WT
RBOB Gasoline TAS | RTT | WT
Heating Oil TAS | BHT | WT
Natural Gas Last Day TAS | HHT | WT
Natural Gas Penultimate TAS | HPT | WT
Future Strips
Crude Oil Financial Strip | WS-WS | WS
Cash/Physical Intercommodity Spreads
Natural Gas Financial - Natural Gas | HP:NG | HP
Natural Gas Penultimate Financial - Natural Gas | HH:NG | HH
Crude Oil Financial - Crude Oil | WS:CL | WS
RBOB Financial - RBOB | RT:RB | WS
Heating Oil Penultimate Financial - Heating Oil | BH:HO | WS
Reminder: Legacy CME Certification Environment Decommission Effective July 1, 2007, CME is decommissioning the legacy CME certification environment. The new certification environments, launched earlier this year, provide greater flexibility and functionality for developing, testing and certifying customer applications. More information on the new certification environments is available at www.cme.com/cert. New IDs for the legacy CME certification environment are no longer available. Any customers currently connected to the legacy CME certification environment will need to migrate to the new environments before the July 1 cut-off. Please contact your CME Globex Account Manager for more information and to start your migration. Reminder: 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 will be available in New Release Certification for customer testing Thursday, June 21. ©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