GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Mangement
Subject | CME Globex Notices: December 10, 2007
Notice Date | 2007-12-10
Notice Number | 121007
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of December 10, 2007. Critical System Updates CBOT and Hosted Exchange Products and Functionality Launch - Mock Trading This Saturday! ITC2.1 Market Data Platform Channel Changes Postponed! - This Week FIX/FAST Channel Definitions - January 2008 Changes to Instrument Creation (MO) Replay Channels - March 30 2008 New Functionality Volatility-Quoted Options Launch - February 2008 Product Launches NYMEX Crack Spread and Calendar Options on CME Globex - This Week Product Changes Eurodollar Options Ratio Strategies Delisted - Immediately! GTC/GTD Orders for FX and Commodity Options - This Week NYMEX Options Strategies on CME Globex - This Week Events and Announcements CBOT Mock Trading Session - This Saturday! 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. Critical System Updates CBOT and Hosted Exchange Products and Functionality Launch Effective January 2008, the CBOT and Hosted Exchange functionality and products are scheduled to launch on the CME Globex electronic trading platform. Updated Mock Trading Plan The CBOT Mock Trading Plan has been updated and is now available online. Updated Client Impact Assessment The Client Impact Assessment for the CBOT & Hosted Exchange launch on CME Globex has been updated as follows: New Appendix - Decimal & Fractional Tick Conversion Grid Decimal to fractional pricing conversion details and examples Decimal tick conversion information and examples Clarification for Pro-Rata with TOP Order Percentage Allocation with Minimum/Maximum and LMM (Q) for futures versus options All documentation for the migration of CBOT & Hosted Exchange products to the CME Globex electronic trading platform is available on the CME Group Web site.
CBOT & Hosted Exchange Launch Schedule
Mock Trading Sessions | December 1
December 15
January 5, 2008
January 12, 2008
January 26, 2008
Commodities, Dow & Hosted Exchanges Product Launch | January 13, 2008
Interest Rate Product Launch | January 27, 2008
All CBOT-related functionality and CBOT and Hosted Exchange products, including futures, options, spreads and strategies, are currently available for testing in New Release. Customers can certify for Cabinet pricing in New Release via the AutoCert+ tool. ITC2.1 Market Data Platform Channel Changes Postponed In response to customer requests, the decommission of legacy ITC2.1 Market Data Platform channels 4, 5 and 6 for CME Globex market data, originally scheduled for December 1, has been postponed to this December 16, 2007. Until December 16, the legacy ITC2.1 Market Data Platform channels will operate in parallel with the new ITC2.1 channels. The new channel schema, launched on Sunday, October 14, provides more granular and scalable ITC2.1-format market data. More information on this change and the new channels is available online. FIX/FAST Channel Definitions As previously announced, the FIX/FAST channel definition tables in PDF format will be available until January 2008. After January 2008, the Market Data Configuration Service will be the only source for channel definitions. The Market Data Configuration Service is designed to ease the recommended procedure of verifying templates and channel configuration each week at Sunday start-up. The Market Data Configuration Service is currently available and allows customers to receive an XML file from an FTP site with all the Market Data Platform channel information (multicast IP, product group and ISIN served) for FIX/FAST. More information on the Market Data Configuration Service is available in the Core Functionality module of the FIX/FAST SDK, Section 2.1.2.2. Please note: there is no change for the RLC and ITC2.1 format market data channel definition tables. Changes to Instrument Creation (MO) Replay Channels Effective Sunday, March 30, 2008, CME Group will decommission the Instrument Creation (MO) Replay channels 1 and 16 in the production and Certification environments. Channels 1 and 16 will be decommissioned in New Release effective Sunday, March 2. The new MO Replay channels on the Market Data Platform, introduced in November 2007, allow customers to listen only to the MO messages for which they receive market data. With these new channels, every product RLC data channel (e.g., channel 7, Equity futures; channel 8, Equity options, etc.) now has a dedicated MO Replay channel. Please note, these changes only affect the RLC-format channels. There are no changes to the ITC 2.1-format channels. The new MO Replay channels are currently available in New Release, Certification and production. The channel definition tables are available for Certification and New Release at www.cme.com/certsdk, and for production at www.cme.com/prodsdk. New Functionality Volatility-Quoted Options Launch In February 2008, CME Group is launching volatility-quoted options on six FX options products: EuroFX, British pound, Japanese yen, Canadian dollar, Swiss franc and Australian dollar. Volatility-quoted options support delta-neutral trading, which virtually eliminates the execution risk inherent to trading premium price options. The volatility-quoted options will utilize the existing FX options and futures products. The EuroFX volatility-quoted options suite, including all maturities in the American and European style and Straddle, Strangle and Vertical strategies, are currently available in the New Release environment for customer testing. The remaining volatility-quoted options will be available in New Release this Monday, December 17. More information on these new products and the associated messaging and functionality enhancements is available in the Volatility-Quoted Options Client Impact Assessment. Product Launches NYMEX Crack Spread and Calendar Options on CME Globex Effective this Sunday, December 16, 2007 (for trade date Monday, December 17), the following options on NYMEX Crack and Calendar futures spreads are scheduled to launch on the CME Globex platform.
NYMEX Crack and Calendar Spread Options
Product | CME Globex Group Code | CME Globex Product Code | Underlying Spread | Synthetic Underlying Future | MDP Channel
Heating Oil Crack Spread Options | XZ | CHY | CL:C1 HO-CL | HCY | 35
RBOB Crack Spread Options | RXY | CL:C1 RB-CL | ZXY
Crude Oil 1-Month Calendar Spread Options (CSO) | WAY | CLMY-CL MY | CAY
RBOB 1-Month CSO | ZAY | RBMY-RB MY | ZIY
Heating Oil 1-Month CSO | FAY | HOMY-HO MY | GHY
Natural Gas 1-Month CSO | C2 | IAY | NGMY-NG MY | DGY | 36
Complete CME Globex product specifications are available in the NYMEX Options Snapshot and NYMEX Futures Snapshot. These new options will feature negative strike prices and User-Defined Spreads (UDS) functionality. More information on negative strike prices is available in the Enhanced Trade and Settlement Prices Client Impact Assessment. More information on UDS functionality is available in the Options module of the iLink Software Development Kit. To provide the necessary data for customers' theoretical options pricing models, CME Group will list the following synthetic, non-tradable futures for the dissemination of settlement data.
Synthetic Futures for NYMEX Crack and Calendar Spread Options
Product | CME Globex Group Code | CME Globex Product Code | MDP Channel
Heating Oil Crack Spread Future | 08 | HCY | 30
RBOB Crack Spread Future | ZXY
Crude Oil 1-Month Calendar Spread Future | CAY
RBOB 1-Month Calendar Spread Future | ZIY
Heating Oil 1-Month Calendar Spread Future | GHY
Natural Gas 1-Month Calendar Spread Future | DGY | 31
Please note: with this launch, products with Group Code 08 will be disseminated on multiple Market Data Platform channels. These new futures and options are currently available for customer testing in New Release. Product Changes Eurodollar Options Ratio Strategies Delisted On Monday, December 10, to improve performance on the CME Globex electronic trading platform, the exchange-defined 1x3 Ratio (Strategy Type Code 13) and 2x3 Ratio (23) strategies for Eurodollar options; 1-, 2- and 5-year MidCurve options; and Treasury Matched MidCurve options were delisted. Customers can create and trade Ratio strategies on CME Globex via the User-Defined Spreads (UDS) functionality. More information on UDS functionality is available in the Options modules of the iLink SDK and Market Data Platform SDK. GTC/GTD Orders for FX and Commodity Options Effective Sunday, December 16, 2007 (trade date Monday, December 17), CME Globex will support GTC/GTD orders for the following FX and Commodity options: Commodity Options Milk Class III (DC) Cash-Settled Butter(CB) Milk Class IV (GDK) Nonfat Dry Milk (GNF) Wood Pulp (WP) FX Options Czech Koruna (CKO) EuroFX/British Pound Cross (RP) Brazilian Real (BR) EuroFX/Czech Koruna Cross (ECZ) EuroFX/Swiss Franc Cross (RF) EuroFX/Japanese Yen Cross (RY) CME$INDEX (DR) Please note: this change may affect the ISIN Codes for these currently listed options. CME Group recommends all customers purge and re-load their instrument databases from the Instrument Creation (MO (m-oh)) market data messages every week. There is no impact for customers who purge and re-load weekly, or who do not rely on the ISIN Code for instrument identification. Please contact your front-end system provider for more information. NYMEX Options Strategies on CME Globex Effective this Sunday, December 16, 2007, Straddle, Strangle, Vertical and Butterfly strategies on NYMEX RBOB, Heating Oil and Copper options will be launched on the CME Globex platform. Complete CME Globex product specifications are available in the NYMEX & COMEX Options on CME Globex Snapshot. Full User-Defined Spreads (UDS) functionality, including Combos and Covereds, is already supported for these NYMEX options. More information on UDS functionality is available in the Options modules of the iLink SDK and Market Data Platform SDK. These new strategies are currently available in the New Release environment for customer testing. © Copyright 2007 CME Group All rights reserved. The Globe Logo, Globex®, E-mini®, iLink®, Globex Trader®, Galax-C®, TRKRS®, EOS Trader TM , CME$INDEX® and CME® are trademarks of CME Group.