GLOBEX Advisory Notices
To | GLOBEX Customers
From | Chicago Mercantile Exchange
Subject | Changes To Depth of Book for GLOBEX Equity Options
Notice Date | 2004-01-08
Notice Number | 01-08
Effective Date |
Dear GLOBEX Customers, Effective with the GLOBEX(R) session on Sunday evening, January 11, 2004 (trade date of January 12) CME will implement a change to GLOBEX market data for options on equity index futures. CME currently provides both "Best Five (5) Bids/Offers (the "MA" message)" and "Full Depth Of Book (the "MC" and "MF" messages)" for all options products. This is inconsistent with the underlying equity index futures contracts, where only "Best Five (5) Bids/Offers" information is distributed. Going forward, CME will provide only "Best Five (5) Bids/Offers" for each option on an equity index future as well. This change should have no impact on most customer systems. However, customers are encouraged to verify that their systems do not rely on receipt of the full depth of book messages for such options. If you have any questions regarding CME's equity products please contact Brett Vietmeier at (312) 930-3394. For questions regarding CME's MD API please contact Technology Marketing at (312) 634-8700 or technologymarketing@cme.com.