GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: January 21, 2008
Notice Date | 2008-01-21
Notice Number | 20080121
Effective Date | 1969-12-31
Topics in this issue include:
| Critical System Updates CBOT and Hosted Exchanges Launch - Second Launch Weekend & Final Mock Trading Session FIX/FAST Channel Definitions - February 4 Changes to Instrument Creation (MO) Replay Channels - March 30
| New Functionality Volatility-Quoted Options Launch - March
| Product Launches NYMEX MACI and Backwardation-Contango Index Futures Launch - February 10 NYMEX Seventh Month Crude Oil TAS Launch - February 10
| Product Changes New CBOT Interest Rate Electronic Trading Hours - This Week Changes in CBOT Interest Rate Option Spread Strategy Conventions - This Week Block Trading for Legacy CBOT Interest Rate Products - This Week New 30-Year Interest Rate Swap Product Code - This Week
| Events and Announcements CBOT Launch & Mock Trading Session - This Saturday!
Critical System Updates
CBOT and Hosted Exchanges Launch Effective Sunday, January 27 (trade date Monday, January 28), the CBOT Interest Rate products are scheduled to launch on the CME Globex platform. Final Mock Trading Session! This Saturday, January 26, will be the final CBOT Mock Trading Session. The updated CBOT Mock Trading Plan & Script is available online. Customers participating in this Saturday's mock trading session are requested to call into the conference bridge at 866.548.4703, passcode 584529, to receive important updates and information during the session. Schedule All times are given in Central time (CT). 8:30 a.m.: Customer login to CME Globex Instrument Creation (MO) messages available for download 9 - 11 a.m.: Mock Trading Session 9 - 10 a.m.: Scripted testing End-to-end testing through Clearing 10 - 11 a.m.: Unscripted testing Front-end testing only CME Group injects CBOT futures orders into markets Key Details Legacy CME markets will also be open to customers; however, there will be no data replay in these markets. CME Group strongly recommends customers test any new iLink IDs in production before the Saturday mock trading session. In previous mock trading sessions, some QuickFIX users were unable to trade due to a QuickFIX configuration issue. Please ensure that your application is configured to permit Saturday trading. During this Saturday's session, the e-cbot simulation environment will be available. CME Group Contact Information In addition to the conference bridge, the CME Globex Control Center (GCC) and CME Group Clearing Services will be available throughout the mock trading session for any questions or concerns. Conference Bridge: 866.548.4703, passcode 584529 GCC: 312.456.2391 Clearing Services: 312.207.2525 Early Entry for Good-Till Orders Last Sunday, January 20, Instrument Creation (MO) RLC and Security Definition FIX/FAST market data messages were disseminated for the CBOT Interest Rates products scheduled to launch the following Sunday, January 27. They are available throughout the week on their respective replay channels. CME Group is broadcasting these messages to prepare customers to enter Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders during the extended pre-open period on Friday, January 25, and Sunday, January 27. Any resting GTC and GTD orders for CBOT Interest Rate products will be removed from e-cbot at 4:20 p.m. CT on Friday, January 25, before their migration to CME Globex. The schedule for the extended futures pre-open for entering GTC/GTD orders is: Friday, January 25 Interest Rate futures - 4:00 - 6:00 p.m. CT Sunday, January 27 Interest Rate futures - 3:00 p.m. - market open Please note that due to the code conflict for the 30-Year Interest Rate Swap futures, these products will not be available for the extended pre-open on Friday. Customers may enter GTC and GTD orders for the 30-Year Interest Rate Swap futures during the Sunday extended pre-open. More information, and the complete list of products scheduled to launch on January 27, is available in the Client Impact Assessment. CBOT Integration Resources The new CBOT & Hosted Exchanges Quick Reference Guide for Traders is now available on the CME Group Web site. The updated CBOT Mock Trading Plan and the Client Impact Assessment are also available. All documentation for this migration to the CME Globex electronic trading platform is available on the CME Group Web site. FIX/FAST Channel Definitions As previously announced, the FIX/FAST channel definition tables in PDF format for the Production, New Release, Certification and AutoCert+ environments will be unavailable effective February 4, 2008. Subsequently, 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 configurations each week at Sunday start-up. The Market Data Configuration Service is currently available and allows customers to receive the information via XML file(s) from the ftp://cme.com/fix/ Web 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 online for Certification and New Release, and for production.
New Functionality
Volatility-Quoted Options Launch In March 2008, volatility-quoted options are scheduled to launch 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. All of the 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. Customers can now certify for volatility-quoted options in New Release via AutoCert+. This brief certification is mandatory for all systems that will provide trading access to these options. 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 MACI and Backwardation-Contango Index Futures Launch Effective Sunday, February 10, 2008 (trade date Monday, February 11), NYMEX MBF Alpha Commodities Index ( MACI) and Crude Oil Backwardation-Contango Index futures and TAS contracts will launch on the CME Globex platform. More information on the MACI and Backwardation-Contango products is available from NYMEX Product Marketing at 212.299.2301.
Product | Instrument Group Code | Product Code | MDP Channel
MACI Futures | MA | XCN | 30
Backwardation-Contango Index Futures | MA | XKN | 30
MACI TAS | CT | XCT | 30
Backwardation-Contango Index TAS | CT | XKT | 30
These instruments will be available for customer testing in New Release this Tuesday, January 29. NYMEX Seventh Month Crude Oil TAS Launch Effective Sunday, February 10, 2008 (trade date Monday, February 11), the seventh month of the Crude Oil TAS (CLT) contract will be listed for trading on CME Globex. The fourth - sixth month contracts will not be listed. Currently, CME Globex only lists three contract months for the Crude Oil TAS. The seventh month contract (e.g., the August 2008 maturity) will be listed initially with an expiration date in February and re-listed in June as the third contract month, with the new expiration date in July. The contract will be re-listed with the same Complete Instrument Code but different CME Globex Internal IDs. More information on the Complete Instrument Code and CME Globex Internal IDs is available in the RLC Message Specifications module of the legacy RLC market data SDK. More information on the seventh month Crude Oil TAS contracts is available from NYMEX Product Marketing at 212.299.2301. This instrument will be available for customer testing in New Release this Tuesday, January 29.
Product Changes
New CBOT Interest Rate Electronic Trading Hours Effective Sunday, January 27, 2008 (trade date Monday, January 28), electronic trading of CBOT Interest Rate products will migrate to the CME Globex electronic trading platform. With this transition, electronic trading of these futures and options contracts will open 30 minutes earlier, at 5:30 p.m. Central Time (CT).
Product | Pre-Open | Open | Close
Futures
30-Year U.S. Treasury Bond | 4:50 p.m. | 5:30 p.m. | 4:00 p.m.
10-Year U.S. Treasury Notes
5-Year U.S. Treasury Notes
2-Year U.S. Treasury Notes
30-Day Fed Funds
30-Year Interest Rate Swaps
10-Year Interest Rate Swaps
5-Year Interest Rate Swaps
Mini-sized Eurodollars
CBOT CDR Liquid 50 North America Investment Grade Index
Options
30-Year U.S. Treasury Bond | N/A | 5:30 p.m. | 4:00 p.m.
10-Year U.S. Treasury Notes
5-Year U.S. Treasury Notes
2-Year U.S. Treasury Notes
30-Day Fed Funds
10-Year Interest Rate Swaps
5-Year Interest Rate Swaps
Binary Options on the Target Fed Funds Rate
Changes in CBOT Interest Rate Option Spread Strategy Conventions With the migration to the CME Globex platform this weekend, there are changes to some pre-defined options spreads vs. e-cbot. In particular, there are key differences in the following interest rate option strategies:
e-cbot Convention | Change | CME Globex Strategy | CME Globex Convention
Buy Put, Sell Call at higher strike | Buy the Call, not the Put | Risk Reversal - aka Combo, Squash | Buy Call, Sell Put at lower strike
Sell Call, Buy 2 Calls at higher strike | Now a 1x2 - Sell 2 Calls at the higher strike | Call Ratio 1x2 | Buy Call, Sell 2 Calls at higher strike
Sell Put, Buy 2 Puts at lower strike | Now a 1x2 - Sell 2 Puts at the lower strike | Put Ratio 1x2 | Buy Put, Sell 2 Puts at lower strike
Block Trading for Legacy CBOT Interest Rate Products Effective Monday, January 28, 2008, block trading will be permitted in CBOT U.S. Treasury and 30-Day Fed Fund products, subject to the minimum block quantity thresholds reflected in the tables below and the conditions set forth in Rule 526 ("Block Trades").
BLOCK QUANTITY THRESHOLDS DURING REGULAR TRADING HOURS Monday-Friday, 7:00 a.m. - 4:00 p.m. CT
Products | 2-Year T-Note | 5-Year T-Note | 10-Year T-Note | 30-Year T-Bond | 30-Day Fed Funds
FUTURES
Outrights | 5,000 | 3,000 | 2,000
Calendar Spreads | Prohibited | The sum of the legs must be at least 2,000 contracts, or 1,000 contracts if at least 1,000 contracts are transacted in months 4-12
OPTIONS (Standard and Flex)
Outrights | 1,500 | 7,500 | 1,500
Spreads | 1,500 (each leg) | 10,000 (each leg) | 1,500 (each leg)
BLOCK QUANTITY THRESHOLDS DURING EXTENDED TRADING HOURS
FUTURES
Outrights | 2,500 | 1,500 | 1,000
Calendar Spreads | Prohibited | The sum of the legs must be at least 1,000 contracts, or 500 contracts if at least 500 contracts are transacted in months 4-12
OPTIONS (Standard and Flex)
Outrights | 750 | 3,750 | 750
Spreads | 750 (each leg) | 5,000 (each leg) | 750 (each leg)
Block trades in Interest Rate Swap futures continue to be permitted subject to the thresholds below.
BLOCK QUANTITY THRESHOLDS FOR INTEREST RATE SWAP FUTURES All Hours
Products | 5-Year Interest Rate Swaps | 10-Year Interest Rate Swaps
Outrights | 2,000
Calendar Spreads | The sum of the legs must be at least 2,000 contracts
New 30-Year Interest Rate Swap Product Code Effective Saturday, January 26, 2008, 30-Year Interest Rate Swap futures will be available for the mock trading session with a new CME Globex product code (I3). Please note: this code is different than the previous e-cbot product codes.
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