GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: October 2, 2006
Notice Date | 2006-10-02
Notice Number | 100206
Effective Date |
Welcome to the CME Globex Notices summary for the week of October 2, 2006. CME Electronic Trading Customer Forums Coming Soon! CME LNet CME Options Enhancements and CME Globex Trader Decommission This Week Reminder: CME E-mini Eurodollars and Eurodollar 5-Year E-mini Bundles Reminder: New Maximum Order Size Limit for CME Eurodollar Futures October Reminder: CME Equity Options Spreads Change Reminder: Instrument Creation (MO) Market Data Message Schedule Change Reminder: CME Market Data Platform Enhancements CME Weather Products Launch 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. 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
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. Coming Soon! CME LNet Connectivity CME LNet is a customer-managed solution via a CME-specified colocation facility, where customers are required to house a CME-certified trading application in one of two specified colocation facilities. CME LNet may not be utilized as a network-only connectivity option. CME LNet is currently in the testing phase, and will be available in production by the end of the year. CME LNet offers reduced network latency because the colocation facilities are directly connected to the CME fiber optic transport, i.e. the CME Globex network. Also, for non-local customers, CME LNet provides a lower-latency connectivity solution. All CME LNet customers must maintain a redundant, separate site connected to the CME Globex platform. Please refer to the CME LNet Connectivity Guide and the CME LNet FAQ for more information. CME Options Enhancements and CME Globex Trader Decommission To support the impressive growth in electronically traded options, CME is expanding covered options spreads functionality on the CME Globex platform to CME Foreign Exchange (FX), Equity and Commodity options. The enhancements will be phased in by product group. The launch schedule is:
November 5, 2006 | CME FX options
November 19, 2006 | CME Equity options
December 4, 2006 | CME Commodity options (listed electronically for the first time)
When the new options functionality launches, traders will no longer be able to access these options markets via CME Globex Trader; as of November 19, 2006, CME Globex Trader will no longer provide access to any options markets. All third-party trading applications which access the CME Globex platform will continue to have access to all options products. CME EOS Trader will provide access to these options markets effective December 3 . CME will continue to support side-by-side access to options on CME Globex from the floors through the third-party applications currently available on the floor, through CME Galax-C handheld devices and through CME EOS Trader (beginning December 3). Additionally, beginning in early Q2 2007, CME will offer basic futures functionality via CME EOS Trader, allowing users to trade any CME Globex market. The limitation of CME Globex Trader to futures markets, aging functionality and infrastructure, and declining user base have led to the decision to eventually discontinue CME Globex Trader. The current CME Globex Trader community will have the option of using a third-party application, CME EOS Trader or CME Galax-C handhelds to access CME Globex markets. CME anticipates CME Globex Trader will be decommissioned by the end of 2007. If you have any questions, please contact CME Customer Support at 312.930.2316. Reminder: CME E-mini Eurodollars and Eurodollar 5-Year E-mini Bundles Effective this 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 are currently available for customer testing in the CME certification environment. Reminder: New Maximum Order Size Limit for CME Eurodollar Futures Effective this 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 5,000 maximum. Reminder: 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 this 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. Reminder: CME Market Data Platform Enhancements Administrative Message Routing To streamline market data processing, effective Sunday, October 22, 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. These messages will then only be disseminated via the relevant product channel. The SPI mail messages will be the only market data messages broadcast on the administration channel. There is no change to the Instrument Creation (MO) Messages - Replay Only and Instrument Creation (MO) Messages - Replay Only (Excluding CME Eurodollar Options) channels (1 and 16). These changes, with these messages broadcast on both the administration and product channels, are currently available in the CME certification environment. 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. Market Data Message Batching Also effective Sunday, October 22, 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. To facilitate customer testing, the batching functionality is currently enabled for all channels in the CME certification environment and on the CME Globex Equity Options channel (8) only in the CME production environment. Continuous batching of simulated market data messages for CME Class III Milk futures (product code = DC) on the CME Globex Commodities, Industrial Commodities and TRAKRSSM Options channel (14) is now available in the CME certification environment. Please contact your CME Globex Account Manager with any questions or concerns. CME Weather Products Launch Effective Sunday, October 29 (for trade date Monday, October 30), the following new CME Weather futures and seasonal strips† will launch for trading on the CME Globex platform.
CME Seasonal Strip Snowfall Futures
| Product Code | October Strip | November Strip | December Strip | January Strip | February Strip | March Strip
Boston Logan International Airport | SB | SBV | SBX | SBZ | SBF | SBG | SBH
New York City Central Park | SX | SXV | SXX | SXZ | SXF | SXG | SXH
CME Canadian Weather Monthly Futures
| Heating Degree Days (HDD) | Cooling Degree Days (CDD)
Calgary | A2 | P2
Edmonton | A4 | P4
Montreal | A5 | P5
Toronto | A7 | P7
Vancouver | A8 | P8
Winnipeg | A9 | P9
CME Canadian Weather Heating Degree Day (HDD) Seasonal Strips
| Product Code | October Strip | November Strip | December Strip | January Strip | February Strip | March Strip
Calgary | A2 | A2V | A2X | A2Z | A2F | A2G | A2H
Edmonton | A4 | A4V | A4X | A4Z | A4F | A4G | A4H
Montreal | A5 | A5V | A5X | A5Z | A5F | A5G | A5H
Toronto | A7 | A7V | A7X | A7Z | A7F | A7G | A7H
Vancouver | A8 | A8V | A8X | A8Z | A8F | A8G | A8H
Winnipeg | A9 | A9V | A9X | A9Z | A9F | A9G | A9H
CME Canadian Weather Cooling Degree Day (CDD) Seasonal Strips
| Product Code | April Strip | May Strip | June Strip | July Strip | August Strip | September Strip
Calgary | P2 | P2J | P2K | P2M | P2N | P2Q | P2U
Edmonton | P4 | P4J | P4K | P4M | P4N | P4Q | P4U
Montreal | P5 | P5J | P5K | P5M | P5N | P5Q | P5U
Toronto | P7 | P7J | P7K | P7M | P7N | P7Q | P7U
Vancouver | P8 | P8J | P8K | P8M | P8N | P8Q | P8U
Winnipeg | P9 | P9J | P9K | P9M | P9N | P9Q | P9U
† Options on these new CME Weather futures will be available for trading on the CME trading floor only. These new futures and strips will be available for customer testing in the CME certification environment Sunday, October 15. ©2006 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini® iLink®, Globex Trader® and CME® are trademarks of CME