GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: September 18, 2006
Notice Date | 2006-09-18
Notice Number | 091806
Effective Date |
Welcome to the CME Globex Notices summary for the week of September 18, 2006. CME Electronic Trading Customer Forums New ATS Policy and FAQ This Week NYMEX Singapore 380cst Fuel Oil Launch NYMEX Physically Settled Crude Oil-Brent Financial Intercommodity Spread Launch Update: CME Market Data Platform Changes Reminder: CME Milk Class III Futures Packs October CME E-mini Eurodollars and Eurodollar 5-Year E-mini Bundles New Maximum Order Size Limit for CME Eurodollar Futures CME Equity Options Spreads Change Reminder: Instrument Creation (MO) Market Data Message Schedule Change If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; or at +44.207.623.2550 in Europe. CME Electronic Trading Customer Forums CME is proud to host the CME Electronic Trading Customer Forums. The CME Electronic Trading Customer Forums are a communication vehicle to update customers and solicit feedback on topics related to CME's electronic trading strategy over the next 6 - 12 months, including new policies, enhancements, and products. Representatives from FCMs, IBs, proprietary trading groups, ISVs and market data distributors are encouraged to attend. These meetings will be followed by receptions. The Customer Forum in Singapore will be followed by a joint CME-NYMEX reception. To attend a CME Electronic Trading Customer Forum, please register online. The agenda includes: CME Product Update Electronic Options Update CME Globex Trader and CME EOS Trader Update User-Defined Spreads (UDS) Phase 2 NYMEX Products on the CME Globex Platform CME Market Data Format New Offering: CME LNet New CME Certification Environments
Singapore Monday, 2 October 16:00 Registration 16:30 Presentation Fullerton Hotel Straits Room, 4th Floor 1 Fullerton Square Singapore | New York Tuesday, October 17 4:30 p.m. Registration 5:00 p.m. Presentation Le Parker Meridien Hotel Estrada Room 118 West 57th St New York, NY
Chicago Tuesday, October 24 3:30 p.m. Registration 4:00 p.m. Presentation CME CME Auditorium 20 S Wacker Dr Chicago, IL | London Wednesday, November 8 15:30 Registration 16:00 Presentation The London Underwriting Centre 3 Minster Court, Mincing Lane London
These events are free and attendance is limited to CME customers. New ATS Policy and FAQ To simplify CME's identification and registration policy for Automated Trading Systems (ATS), the CME Regulatory Department has issued an updated Regulatory Advisory and ATS FAQ. All clearing firms must ensure that ATS workstation operator identifier (TAG 50) values are properly and accurately registered when so required as set forth in the Advisory. For those traders using automatic spreading functionality, CME no longer classifies use of this functionality as an ATS or requires a separate workstation operator identifier (TAG 50) for this activity provided that the software is used primarily to augment manual trading. However, if the automated spreading functionality is or becomes the primary source of order entry, or where a large amount of order traffic is generated from the operator, then a separate TAG 50 must be assigned to distinguish the automated orders from the manual orders. A separate TAG 50 must be assigned per trading algorithm. The Regulatory Advisory, with more information on the new ATS policy and the updated ATS FAQ, is now available online. NYMEX Singapore 380cst Fuel Oil Futures Launch Effective Sunday, September 24 (for trade date Monday, September 25), NYMEX Singapore 380cst Fuel Oil futures and calendar spreads (product code HZ) will launch on the CME Globex platform. Initially, 36 months will be listed. This is the first NYMEX product to feature physical delivery outside of the United States. NYMEX Physically Settled Crude Oil-Brent Financial Intercommodity Spread Launch Effective Sunday, September 24 (for trade date Monday, September 25), the NYMEX physically settled Crude Oil-Brent Financial (CL-BB) intercommodity spread will be launched on the CME Globex platform with implied functionality. To support this new product launch, the Instrument Group Code for all Brent Financial products, including the futures, calendar spreads and strips, will be changed to CL from the current WS. All resting GTC and GTD orders in the Brent Financial products will be cancelled at the session close on Friday, September 22. The NYMEX financially settled Crude Oil-Brent Financial (WS-BB) will be delisted at the session close on Friday, September 22. Update: CME Market Data Platform Changes To streamline market data processing, effective Sunday, September 24, 2006, in the CME production environment, the following market data messages, currently disseminated via the administration channel, will be disseminated via the relevant CME Market Data Platform product channels: Instrument Creation (MO) messages Trading Day Timetables (MH) messages Group State Change Marker (MJ) messages Start of CME Globex Platform (MK) messages Start of Instrument Referential Broadcasting (ML) messages End of Instrument Referential Broadcasting (MM) messages These administrative messages will be broadcast via both the relevant product channels and the administration channel for two months to ensure adequate customer testing time. Effective November 19, these messages will only be disseminated via the relevant product channel. The SPI mail messages will be the only market data messages broadcast on the administration channel. These changes, with these messages broadcast on both the administration and product channels, are currently available in the CME certification environment. They will be disseminated solely via the product channels as of November 19. More information on the CME Market Data Platform is available in the CME Market Data Platform Developer's Guide. Details on the CME market data messages can be found in the CME Market Data Platform RLC Message Specifications. Also effective Sunday, September 24, to improve the efficiency of market data dissemination, the CME Market Data Platform is enabling the market data message batching functionality. Multiple market data messages will be batched into a single network frame. Although this functionality has been available since the launch of the CME Market Data Platform, as outlined in the CME Market Data Platform Developer's Guide, Section 3.1.2 Message Batching, CME is leveraging it now in response to the market data messaging increases. Please note that the batching functionality is currently enabled for the CME Globex Equity Options channel (8) in the CME production environment. Reminder: CME Milk Class III Futures Packs Effective Monday, September 25, 2006, CME is launching 3-, 6- and 12-month Pack Spreads on CME Milk Class III futures for trading on the CME Globex platform. A total of seventeen (17) Packs will be listed initially. The detailed list is now available online. Seven 3-month Packs Six 6-month Packs Four 12-month Packs Please note: The Strategy Type for Milk Class III futures Packs, position 727-728 in the Instrument Creation (MO) market data message, is FS. The 3-month Packs are currently available for customer testing in the CME certification environment. CME E-mini Eurodollars and Eurodollar 5-Year E-mini Bundles Effective Sunday, October 8 (trade date Monday, October 9), CME is scheduled to launch CME E-mini Eurodollars and CME Eurodollar 5-Year E-mini Bundles - the economic equivalent of 20 quarterly CME Eurodollar expirations in a single contract. Eurodollars are U.S. dollars on deposit in commercial banks located outside of the United States; the standard contract has a principal value of $1,000,000 with a three-month maturity. CME E-mini Eurodollars are 1/10th the size of the large contract, with a principal value of $100,000, and are fully fungible with the full-sized CME Eurodollar futures contracts on a 10:1 basis. CME Eurodollar 5-Year E-mini Bundles are traded as a free-standing instrument with a Notional Value per leg of $100,000 and a contract value factor of $5,000. CME Eurodollar 5-Year E-mini Bundle futures are 1/10th the size of conventional 5-year bundles, and are fully fungible with CME Eurodollar Bundles - ten E-mini Bundles equal one conventional CME Eurodollar 5-Year Bundle. CME Eurodollar 5-Year E-mini Bundle futures will be quoted in terms of price, not net change from the previous day's settlement, in contrast to traditional CME Eurodollar Bundles. The CME E-mini Eurodollars and CME Eurodollar 5-Year E-mini Bundles will be available for customer testing in the CME certification environment this Monday, September 25. New Maximum Order Size Limit for CME Eurodollar Futures Effective Sunday, October 8 (for trade date Monday, October 9), CME is increasing the maximum order size to 20,000 contracts for the serial and first eight quarterly CME Eurodollar futures and futures spreads. Previously, the maximum order size for these products was 10,000 contracts. The last 32 contracts remain at a 10,000 maximum. CME Equity Options Spreads Change Effective Sunday, October 15, 2006, to simplify listing groups in the CME Equity product complex, the Instrument Group Codes for CME Equity options spreads will be consolidated. Unique Instrument Group Codes will be assigned, per product, for all exchange-defined CME Equity options spreads. The Instrument Group Code can be found at position 70-71 in the Instrument Creation (MO) market data messages. To support this change, all resting GTC and GTD orders in CME Equity options markets will be eliminated at session close Friday, October 13. All exchange-listed CME E-mini S&P 500® options spreads will have the Instrument Group Code 1V. All exchange-listed CME E-mini NASDAQ-100® options spreads will have the Instrument Group Code 2V. All exchange-listed CME E-mini Russell 2000® options spreads will have the Instrument Group Code 3V.
CME Equity Options Instrument Group Codes
Spreads | Current | After Consolidation
CME E-mini S&P 500
Butterflies | 1B | 1V
Verticals | 1V, 1W | 1V
Horizontals, Strangle, Straddles | 1Z | 1V
CME E-mini NASDAQ-100
Butterflies | 2B | 2V
Verticals | 2V, 2W | 2V
Horizontals, Strangles, Straddles | 2Z | 2V
CME E-mini Russell 2000
Butterflies | 3B | 3V
Verticals | 3V, 3W | 3V
Horizontals, Strangles, Straddles | 3Z | 3V
These CME Equity options spreads will be available in the CME certification environment with the new Instrument Group Codes on Sunday, October 8, for customer testing. Reminder: Instrument Creation (MO) Market Data Message Schedule Change Effective Sunday, October 15, in the CME production environment, CME is changing the schedule for the Sunday referential broadcast of the Instrument Creation (MO) market data messages. MO messages will be disseminated around 12:00 p.m. Central time (CT), about two hours earlier than the present schedule. The referential broadcast for the CME certification environment is currently scheduled at 12:00 p.m. CT. ©2006 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini®, iLink® and CME® are trademarks of CME