GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: March 31, 2008
Notice Date | 2008-03-31
Notice Number | 20080331
Effective Date | 1969-12-31
Topics in this issue include:
| New Functionality Enhanced Execution Reports - Available Now!
| Product Launches Nonfarm Payroll Futures and Options - April 27 Options on Frozen Pork Belly Futures - April 27
| Product Changes GTC/GTD Orders for Legacy CBOT and Hosted Exchange Commodity Options - April 13 Side-by-Side Trading for Grain and Oilseed Options on Futures - April 13 Exchange-Defined Spreads for Commodity Options - April 13 Euroyen TIBOR Futures Packs and Bundles Algorithm Indicator Change - April 27 NASDAQ-100 and E-mini NASDAQ-100 Options Strike Listing Changes - April 27
| Events and Announcements FIX/FAST Developers Workshop - April 8 Reminder: Russell 2000 and E-mini Russell 2000 Delisting - September 19
New Functionality
Enhanced Execution Reports The CME Globex Enhanced Execution Reports are designed to allow customer trading applications to differentiate Fill and Trade Cancellation messages for outrights versus legs versus spreads. The key FIX tag 442-MultiLegReportingType, required for this functionality, is now available and correct for all CME Group instruments in all environments, including production. CME Group recommends customer systems rely solely on tag 442 to identify leg reports. More information is available in the Enhanced Execution Reports Client Impact Assesment.
Product Launches
Options on Frozen Pork Belly Futures Effective Sunday, April 27 (trade date Monday, April 28), options on Frozen Pork Belly futures will be listed for trading on the CME Globex platform. These options will support User-Defined Spreads (UDS) functionality upon launch. Options on Frozen Pork Belly Futures
Product | Instrument Group Code | Product Code | MDP Channel
Frozen Pork Belly Options Outrights | 5P | GPB | 14
Frozen Pork Belly Options Spreads | 8P
These products will be available for customer testing in New Release and Certification Monday, April 14. Nonfarm Payroll Futures and Options Effective Sunday, April 27 (trade date Monday, April 28), CME Group is launching futures and options on the U.S. Bureau of Labor Statistics' (BLS) Nonfarm Payroll data exclusively on the CME Globex platform. These new products will allow customers to directly manage exposure to the government labor number and offset positions in the financial markets. Please note: these options are eligible for negative strike prices. More information on negative strike prices on the CME Globex platform is available online. Nonfarm Payroll Futures & Options
Product | Instrument Group Code | Product Code | MDP Channel
Nonfarm Payroll Futures | NP | NFP | 9
Nonfarm Payroll Options on Futures | 1F | NFP | 10
More information is available online. Nonfarm Payroll futures and options will be available for customer testing in Certification and New Release on Monday, April 14.
Product Changes
GTC/GTD Orders for Legacy CBOT and Hosted Exchange Commodity Options Effective Sunday, April 13, all currently listed legacy CBOT and Hosted Exchange commodity options on futures will be eligible for Good 'till Cancel (GTC) and Good 'till Date (GTD) orders. Order type eligibility is defined in position 93, Default Date Validity, in the Instrument Creation (MO) market data message. The complete list of impacted products is available in Appendix F: CBOT and CBOT Hosted Exchange Product Symbols and Codes of the CBOT Client Impact Assessment. These products with GTC/GTD eligibility are currently available for testing in New Release. Side-by-side Trading for Grain and Oilseed Options Effective Sunday, April 13 (trade date Monday, April 14), the options on corn, wheat, soybeans, soybean meal, soybean oil, rough rice and oats futures will be available for electronic trading on CME Globex during the open outcry (RTH) trading hours. Currently, these contracts are only available on CME Globex during electronic trading hours (ETH), 6 p.m. to 6 a.m. Sunday through Friday. With this schedule change, these options will also be available on CME Globex 9:30 a.m. to 1:15 p.m. CT. CME Group is offering a testing session in the production environment on Saturday, April 12, from 9 - 11 a.m. Central time. Customers interested in participating are required to register no later than 5 p.m. on Wednesday, April 9, by contacting Paul Millhuff at the CME Globex Control Center at 312.456.2391. More information is available online. Exchange-Defined Spreads for Commodity Options Effective Sunday, April 13 (trade date Monday, April 14), CME Group will list the following exchange-defined spreads for commodity options on the CME Globex platform. CME Group is offering a testing session in the production environment on Saturday, April 12, from 9 - 11 a.m. Central time. Customers interested in participating are required to register no later than 5 p.m. on Wednesday, April 9, by contacting Paul Millhuff at the CME Globex Control Center at 312.456.2391. Commodity Options Spreads
Product | Instrument Group Code | Product Code | Strategy Type Code | MDP Channel
1x2 Ratio Strategies
Corn Options | CY | OZC | 12 | 112
Oats Options | O9 | OZO
Rough Rice Options | R6 | OZR
Soybean Options | PZ | OZS
Soybean Meal Options | MY | OZM
Soybean Oil Options | OZ | OZL
Wheat Options | WZ | OZW
Butterfly Strategies
Corn Options | CY | OZC | BO | 112
Oats Options | O9 | OZO
Rough Rice Options | R6 | OZR
Soybean Options | PZ | OZS
Soybean Meal Options | MY | OZM
Soybean Oil Options | OZ | OZL
Wheat Options | WZ | OZW
Horizontal Strategies
Corn Options | CY | OZC | HO | 112
Oats Options | O9 | OZO
Rough Rice Options | R6 | OZR
Soybean Options | PZ | OZS
Soybean Meal Options | MY | OZM
Soybean Oil Options | OZ | OZL
Wheat Options | WZ | OZW
Risk Reversal Strategies
Corn Options | CY | OZC | RR | 112
Oats Options | O9 | OZO
Rough Rice Options | R6 | OZR
Soybean Options | PZ | OZS
Soybean Meal Options | MY | OZM
Soybean Oil Options | OZ | OZL
Wheat Options | WZ | OZW
Straddle Strategies
Corn Options | CY | OZC | ST | 112
Oats Options | O9 | OZO
Rough Rice Options | R6 | OZR
Soybean Options | PZ | OZS
Soybean Meal Options | MY | OZM
Soybean Oil Options | OZ | OZL
Wheat Options | WZ | OZW
Strangle Strategies
Corn Options | CY | OZC | SG | 112
Oats Options | O9 | OZO
Rough Rice Options | R6 | OZR
Soybean Options | PZ | OZS
Soybean Meal Options | MY | OZM
Soybean Oil Options | OZ | OZL
Wheat Options | WZ | OZW
Vertical Strategies
Corn Options | CY | OZC | VT | 112
Oats Options | O9 | OZO
Rough Rice Options | R6 | OZR
Soybean Options | PZ | OZS
Soybean Meal Options | MY | OZM
Soybean Oil Options | OZ | OZL
Wheat Options | WZ | OZW
These new strategies are currently available for customer testing in New Release. Euroyen TIBOR Futures Packs and Bundles Algorithm Indicator Change Effective Sunday, April 27 (trade date Monday, April 28), the Matching Algorithm Indicator for the Euroyen TIBOR future Packs (Strategy Type Code PK) and Bundles (Strategy Type Code FB) will be modified to read F for FIFO, to match the outright futures and current matching behavior. Currently, the Packs and Bundles show a T. The Matching Algorithm Indicator can be found in the Instrument Creation (MO) message, position 685. This change will be implemented in New Release Monday, April 7. NASDAQ-100 and E-mini NASDAQ-100 Options Strike Range Changes Effective Sunday, April 27 (trade date Monday, April 28), the strike listing ranges will change for the options on NASDAQ-100® and E-mini NASDAQ-100 futures. NASDAQ-100 & E-mini NASDAQ-100 Options Strikes
Product | Product Code | Strike Interval | Current Listings | New Listings
NASDAQ-100 Options | ND | 25 basis points | ATM ± 15% | ATM ± 30%
E-mini NASDAQ-100 Options | NQ | 25 basis points | ATM ± 15% | ATM ± 30%
These new strikes will be available for customer testing in New Release Monday, April 14.
Events & Announcements
FIX/FAST Developers Workshop CME Group has implemented a new market data message format, FIX/FAST, which is replacing RLC. All customers must migrate to this new message format by October 17, 2008. FIX/FAST results in a 70% reduction in bandwidth consumption as well as reduced message rates. FIX/FAST has been available in production since November 2007. For more information please see www.cmegroup.com/fixfast. On Tuesday, April 8, CME Group is hosting a FIX/FAST Developers Workshop in Chicago from 3:00 - 5:00 p.m. Central time. This workshop is designed to provide assistance to existing CME Group-certified trading application and market data providers wanting to learn how to develop to FIX/FAST or question our developers. We encourage all system and market data providers to take advantage of this opportunity, especially those who haven't started development yet. The three leading members of the CME Group team responsible for launching FIX/FAST will direct the workshop. This is an ideal time to learn more about developing to the FIX/FAST market data format. The following topics will be covered in detail: Architecture & Overview FAST Implementation Incremental Book Management Recovery Day 2 Enhancements Q&A The session will be held at the CME Group Executive Conference Center at 20 S. Wacker Drive, Chicago, IL. Seating is limited. Please send an email to Joanna Friedman to register. If you have already begun development and would like to inquire about scheduling a specific one-on-one session with our development team please contact your CME Globex Account Manager. We strongly encourage you to attend the workshop or schedule a one-on-one session if you have any development to complete in order to migrate to FIX/FAST by October 17, 2008. Russell 2000 and E-mini Russell 2000 Delisting As previously announced, due to a licensing decision made by the index provider Russell Investment Group, CME Group will no longer list the Russell 2000 and E-mini Russell 2000 contracts as of the September 19, 2008, quarterly expiration. To help facilitate an orderly de-listing of these contracts, CME Group will not list the July and August 2008 serial month options on Russell 2000 and E-mini Russell 2000 futures. Currently the April, May, June and September 2008 maturities for the Russell 2000 and E-mini Russell 2000 options are available on CME Globex. To maintain the integrity of these contracts, we will continue to add new strikes in accordance with current Exchange Rules. Since last summer CME Group has been working proactively with customers who want to transition Russell 2000 open interest. Fee waivers on S&P SmallCap 600® and S&P MidCap 400® contracts, in addition to intercommodity spreads, are available to ease the transition of open interest. The E-mini S&P SmallCap 600 contract has a .9956 correlation to the Russell 2000 and a similar 20-day historical volatility. These products are one of several liquid trading alternatives to the Russell 2000. To compare them, please visit www.cmegroup.com/choices. Questions? Please contact Thomas Boggs, Associate Director, CME Group Equity products at 312.930.3038.