GLOBEX Advisory Notices
To |
From | CME Globex Account Management
Subject | Updated Information on CME E-mini(TM) Russell 2000(R) Options and Option Spreads on CME(R) Globex(R)
Notice Date | 2005-01-26
Notice Number | 012605-1
Effective Date |
Dear CME® Globex® Customers, Effective Sunday, February 13, 2005, CME will begin trading equity options on CME E-miniTM Russell 2000® futures ("ER"), and five ER option spreads on CME Globex: butterfly, horizontal, strangle, straddle and vertical spreads. These new ER options and spreads will be available for testing in the CME certification environment this Sunday, January 30, 2005. All CME Market Data API (MD API) and CME MDN users subscribing to RLC messages please see below: The new CME E-mini Russell 2000 options and spreads will be published on the CME MD API options subject of CME_GB2_OPT. All CME MD API 2.0 users who have elected to "opt in" and subscribe to options market data will receive the new options contracts as part of an MO request effective this Sunday, January 30, 2005. Those who use the MO request functionality by subject as part of CME MD API 2.1 only receive those specified in the MO request subject. In preparation for the launch, CME will add the spread instruments (1,090 additional MO messages) into production this Sunday, January 30, 2005. For CME MD API users that employ a timeout value as part of the MO request, CME recommends increasing the timeout value to 5 minutes. Please note that Instrument Type D was formerly used exclusively for futures spreads and is now also used for options spreads. The RLC instrument type and strategy type codes for these spreads are as follows:
Instrument Type | Strategy Type Code | Spread Meaning | ER MO Messages
D (new) | BO | Butterfly option | 280
D (new) | HO | Horizontal option | 160
D (new) | SG | Strangle option | 200
D (new) | ST | Straddle option | 50
D (new) | VT† | Vertical option | 400
D (existing) | IS | Inter-commodity Future |
D (existing) | SP | Calendar Future |
D (existing) | HZ | Pack, Bundle, etc Future |
†The option vertical spread strategy code is "VT"; however, the CME Globex symbol convention is VC (Calls) and VP (Puts). Each CME Globex listed spread has its own specific MO Message. Within each option spread MO message, each leg of the spread will be identified, including its own specific ISIN Code. For the Butterfly Call example below, the ER:BOH5C150_200 spread's MO message also contains the three legs' ISIN Code. In this example, Leg1 = ISIN for ERH5_C6150, Leg2 = ISIN for ERH5_C6175, and Leg3 = ISIN for ERH5_C6200. For the RLC CME Globex symbol conventions, here are examples of the contract names for the option spreads. An underline indicates a space: Vertical Call Spread Example The ticker code ER:VCH5C150_175 represents a CME E-mini Russell Vertical Call spread buying the March '05 6150 Call, selling the March '05 6175 Call. Vertical Put Spread Example The ticker code ER:VPH5P175_150 represents a CME E-mini Russell Vertical Put spread, buying the March '05 6175 Put and selling the March '05 6150 Put. Horizontal Call Spread Example The ticker code ER:HOH5J5C175 represents a CME E-mini Russell 2000 Horizontal Call spread, selling the March '05 6175 Call, buying the April '05 6175 Call. Horizontal Put Spread Example The ticker code ER:HOH5J5P175 represents a CME E-mini Russell 2000 Horizontal Put spread, selling the March '05 6175 Put and buying the April '05 6175 Put. Strangle Spread Example The ticker code ER:SGH5P150_175 represents a CME E-mini Russell 2000 Strangle spread, buying the March '05 6150 Put, buying the March '05 6175 Call. Butterfly Call Spread Example The ticker code ER:BOH5C150_200 represents a CME E-mini Russell 2000 Butterfly Call spread, buying the March '05 6150 Call, selling 2x the March '05 6175 Call, and buying the March '05 6200 Call. Butterfly Put Spread Example The ticker code ER:BOH5P200_150 represents a CME E-mini Russell 2000 Butterfly Put spread, buying the March '05 6200 Put, selling 2x the March '05 6175 Put, and buying the March '05 6150 Put. Straddle Example The ticker code ER:STH5P150 represents a CME E-mini Russell 2000 Straddle spread, buying the March '05 6150 Put and buying the March '05 6150 Call. For more information, please visit the CME Clearing House's New Contract Notice. For questions regarding this CME Globex product launch, or to upgrade to CME MD API 2.1, please contact your CME Globex Account Manager at 312.634.8700 in North America or 011-44-207-623-2550 in Europe. Thank you, CME Globex Account Management 312.634.8700 011.44.207.623.2550