GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: March 5, 2007
Notice Date | 2007-03-05
Notice Number | 030507
Effective Date |
Welcome to the CME Globex Notices for the week of March 5, 2007. This Week Reminder: CME Hurricane Futures Launch Reminder: CME Lean Hog and Live Cattle Intercommodity Spreads Launch Reminder: NYMEX Softs TAS Launch on CME Globex Reminder: Daylight Saving Time March CME FX Options Extended Listings Negative Price Support Reminder: CME Dry Whey Futures Launch ISIN Code Changes for Options Reminder: Enhanced Execution Reports and UDS: Combos Reminder: CME FX Trading Schedule Change Reminder: CME Equity Options Spreads Changes 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. Reminder: CME Hurricane Futures Launch Effective this Sunday, March 11, 2007 (for trade date Monday, March 12), CME Hurricane futures are launching on the CME Globex platform. Upon launch, three contracts for each of five regions will be available for trading.
CME Hurricane Index Futures
Product | Instrument Group Code | Product Codes
Gulf Coast | HF | HG1-HG9, HG0
Florida | HF | HF1-HF9, HF0
Southern Atlantic Coast | HF | HS1-HS9, HS0
Northern Atlantic Coast | HF | HN1-HN9, HN0
Eastern United States | HF | HX1-HX9, HX0
The underlying indexes for the CME-Carvill Hurricane Index futures will be calculated by Carvill, a leading independent reinsurance intermediary in specialty reinsurance that tracks and calculates hurricane activity. These CME Hurricane futures are currently available for testing in the certification environment. Reminder: CME Lean Hog and Live Cattle Intercommodity Spreads Launch Effective Sunday, March 11, 2007 (for trad date Monday, March 12), CME is launching new intercommodity spreads on the CME Lean Hog and CME Live Cattle futures. These spreads will use the Strategy Type Code IS. The complete list of intercommodity spreads available for trading upon launch is online. These new intercommodity spreads are now available for customer testing in the CME certification environment. Reminder: NYMEX Softs TAS Launch on CME Globex Effective this Sunday, March 11 (for trade date Monday, March 12), the following NYMEX SoftsTM TAS contracts will launch on the CME Globex platform.
NYMEX SOFTS TAS CONTRACTS
Product | Instrument Group Code | Product Code | MDP Channel | Contract Size | Contract Tick Size | Tick Value | CME Globex Tick Size | Listed
Cocoa TAS | C1 (C-one) | CJT | 32 | 10 metric tons | 1.00 | $10.00 | 1 | 3
Coffee TAS | KD | KTT | 32 | 37,500 pounds | 0.0005 | $18.75 | 5 | 3
Cotton TAS | TC | TTT | 32 | 50,000 pounds | 0.0001 | $5.00 | 1 | 3
FCOJ TAS | FA | FJT | 32 | 15,000 pounds | 0.0005 | $7.50 | 5 | 3
Sugar 11 TAS | YA | YOT | 32 | 112,000 pounds | 0.0001 | $11.20 | 1 | 3
Sugar 14 TAS | FD | FTT | 32 | 112,000 pounds | 0.0001 | $11.20 | 1 | 3
These NYMEX Softs TAS contracts are currently available in the CME certification environment for customer testing. Reminder: Daylight Saving Time Effective this year, the schedule for Daylight Saving Time has been extended by the Energy Policy Act of 2005. Daylight Saving Time will now be in effect from Sunday, March 11, 2007, through November 4, 2007. Previously, Daylight Saving Time ran from the first Sunday in April through the last Sunday in October. CME Globex will continue to observe Daylight Saving Time and the new schedule. More information is available online. Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider for more information before March 11, 2007. CME FX Options Extended Listings Effective 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
Negative Price Support Effective 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 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. 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. Options spreads 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 Changes Effective Sunday, March 25, 2007 in the production environment, 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 Equity options spreads only. Settlement price data will still be available in the MO and M7 messages for the outright options. To increase price clarity for CME Equity options spreads, with this launch 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. 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