GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Globex Notices: April 23, 2007
Notice Date | 2007-04-23
Notice Number | 042307
Effective Date | 1969-12-31
Welcome to the CME Globex Notices for the week of April 23, 2007. CME Electronic Trading Customer Forums Proposed CBOT Merger Client Impact Assessment CME Connect Launch This Week Reminder: CME Weekly Average Temperature Futures Launch May Reminder: CME Canadian CAT Futures Launch Reminder: CME Dry Whey Calendar Spreads Launch Reminder: NYMEX Uranium Futures Launch Postponed: CME Credit Index Event Futures Launch Reminder: Extended Listings for CME Lean Hog and Live Cattle Intercommodity Spreads Reminder: NYMEX Products on the CME Market Data Platform CME S&P 500/Citigroup Growth Options Instrument Group Code Change NYMEX Gulf Coast and New York Harbor Energy Products Launch Reminder: CME Eurodollar Options Changes CME Market Data Platform Lite Channel Elimination Reminder: CME E-mini FTSE/Xinua China 25 Index Futures Launch 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. Learn the latest in electronic trading on CME Globex FCMs, IBs, proprietary trading groups, ISVs and market data distributors - Register today for the CME Electronic Trading Customer Forum. The CME Electronic Trading Customer Forums are designed to bring CME and its customers together. You will receive updates and information regarding CME Globex platform changes, electronic trading policies and new offerings in the next 6-12 months. These events are free and attendance is limited to CME customers. The forum will cover:
CBOT-CME proposed merger update Product updates NYMEX product updates and the CME Messaging Policy Enhanced Execution Reports User-Defined Spreads: Combos | New market data format: FIX/FAST New offering: Drop copy New offering: Cancel on disconnect New certification environments and AutoCert+ tool
Singapore Thursday, 7 June 2007 16:30 Registration 16:45 Presentation Reception to follow Fullerton Hotel The Straits Room, 4th Floor 1 Fullerton Square Singapore
CLICK HERE to register. Proposed CBOT Merger Client Impact Assessment CME previously announced that it intends to migrate e-cbot products to CME Globex in a phased approach beginning Q1 2008, subject to completion of the CME-CBOT merger, which is expected to occur mid-2007, pending approvals by regulators, shareholders of both companies and CBOT members, as well as completion of customary closing conditions. In an effort to provide information as early as possible regarding this electronic trading migration, the CME/CBOT Client Impact Assessment document is now available for your reference at www.cme.com/CBOTImpact. Key topics discussed in this document are as follows: Key Dates and Events CME Globex System Impacts Product-Specific Functionality Fractional and Cabinet Pricing Implied Spread Functionality Matching Algorithms Market Data Messages and Channels Testing and Certification Bandwidth Recommendations Messaging Policy Implications User Identification For more information about this client impact document, please contact CME Globex Account Management or via phone at 312.634.8700 or at +44.20.7623.2550 in Europe. CME Connect Launch CME Connect is a secure, Web-based site that allows customers to access CME applications anytime, anywhere. From CME Connect, customers can access select tools including CME FirmSoft, the Exchange Fee System, Clearing 21 and disaster recovery applications. CME Connect was first introduced in March, and will fully replace the CME Portal by June 8, 2007. Existing CME Portal users can access CME Connect with no user ID and password changes required. If you are a new customer, please contact the CME Customer Support Group at 312.930.3444 to request access. Check out CME Connect today at http://connect.cme.com. Reminder: CME Weekly Average Temperature Futures Launch Effective Sunday, April 29, the following CME Weekly Average Temperature futures are launching on the CME Globex platform. These CME Weekly Average Temperature products enable market participants to hedge short-term intra-monthly weather risk. CME Weekly Average Temperature contracts will list two weekly contracts (Monday through Friday), and will be settled the following business day.
CME Weekly Average Temperature Futures on CME Globex
Listing City | Instrument Group Code | Product Code | Listed Weeks
Baltimore/Washington | H0 | HV1-HV5 | 2
Des Moines | H0 | H91-H95 | 2
Detroit | H0 | HK1-HK5 | 2
Houston | H0 | HR1-HR5 | 2
Kansas City | H0 | KX1-KX5 | 2
Las Vegas | H0 | H01-H05 | 2
Minneapolis - St. Paul | H0 | HQ1-HQ5 | 2
Philadelphia | H0 | H61-H65 | 2
Portland | H0 | H71-H75 | 2
Sacramento | H0 | KS1-KS5 | 2
Salt Lake City | H0 | HA1-HA5 | 2
Tucson | H0 | H81-H85 | 2
These CME Weekly Average Temperature futures are currently available in the New Release Certification environment. Reminder: CME Canadian CAT Futures Launch Effective Sunday, May 6, 2007 (for trade date Monday, May 7), CME Canadian Cumulative Average Temperature (CAT) Monthly and Seasonal Strip Index futures will launch on the CME Globex platform. The CME weather derivative markets enables those businesses that could be adversely affected by unanticipated weather to manage this risk. This sector of hedging and risk management products represents today's fastest growing derivatives market.
CME Canadian CAT Monthly and Seasonal Strip Index futures on CME Globex
Listing City | Instrument Group Code | Product Code
Calgary | P2 | V2
Edmonton | P2 | V4
Montreal | P2 | V5
Toronto | P2 | V1
Vancouver | P2 | V8
Winnipeg | P2 | V9
These CME Canadian CAT futures are currently available in the New Release Certification environment for customer testing. Reminder: CME Dry Whey Calendar Spreads Launch Effective Sunday, May 6, 2007 (for trade date Monday, May 7), CME is launching calendar spreads on CME Dry Whey futures. These spreads will use Strategy Type Code SP and will launch with implied functionality. CME Dry Whey calendar spreads are currently available for customer testing in the New Release Certification environment. Reminder: NYMEX Uranium Futures Launch Effective Sunday, May 6, 2007 (for trade date Monday, May 7), NYMEX UxC Uranium U308 Swap futures will launch on the CME Globex platform. The NYMEX UxC Uranium futures contract will be financially settled on the spot month-end U3O8 price published by Ux Consulting Company, LLC. U3O8, or yellowcake, refers to concentrated uranium oxide produced from uranium ore and is the most actively traded uranium-related commodity. This new contract will provide U3O8 risk management to a wide audience.
NYMEX UxC Uranium U308 Swap Futures
Product | Instrument Group Code | Product Code | Contract Size | Contract Tick Size | Tick Value | CME Globex Tick Size | Maximum Listed Months | MDP Channel
Uranium | UX | UX | 250 pounds | 0.05 | $0.05 | 5 | 36 | 31
The NYMEX UxC Uranium futures are currently available for customer testing in the New Release Certification environment. Postponed: CME Credit Index Event Futures Launch The previously announced launch of the CME Credit Index Event futures on the CME Globex platform has been postponed at the request of the Commodity Futures Trading Commission (CFTC). CME will announce the new launch date as soon as possible. Reminder: Extended Listings for CME Lean Hog and Live Cattle Intercommodity Spreads Effective Sunday, May 6, 2007 (for trade date Monday, May 7), CME is extending the listings for intercommodity spreads on the CME Lean Hog and CME Live Cattle futures. These spreads use the Strategy Type Code IS. The complete list of intercommodity spreads available for trading upon launch is online. These extended intercommodity spreads are currently available for customer testing in the New Release Certification environment. 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. More information on NYMEX and COMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com. CME S&P 500/Citigroup Growth Options Instrument Group Code Change Effective Sunday, May 13 (for trade date Monday, May 14), the Instrument Group Code for all CME S&P 500 ®/Citigroup Growth options on futures will change to SN. Currently, the Instrument Group Code for CME S&P 500/Citigroup Growth options is SO. Instrument Group Codes can be found at position 70 - 71 of the Instrument Creation (MO) market data message. More information on MO messages is available in the RLC Message Specifications module of the CME Market Data Platform SDK. NYMEX Gulf Coast and New York Harbor Energy Products Launch Effective Sunday, May 13 (for trade date Monday, May 14), three new NYMEX Gulf Coast and New York Harbor energy products will launch on the CME Globex platform. The first 24 months of each product will be launched with implied functionality. Calendar spreads will also be listed upon launch.
NYMEX Gulf Coast and New York Harbor Energy Futures
Product | Instrument Group Code | Product Code | Contract Size | Contract Tick Size | Tick Value | CME Globex Tick Size | Maximum Listed Months | MDP Channel
Gulf Coast Ultra Low Sulfur Diesel (ULSD) | CL | LU | 42,000 Gallons | 0.0001 | $0.0001 | 1 | 36 | 30
New York Harbor ULSD | CL | LH | 42,000 Gallons | 0.0001 | $0.0001 | 1 | 36 | 30
Gulf Coast Gasoline | CL | LR | 42,000 Gallons | 0.0001 | $0.0001 | 1 | 36 | 30
TAS Contracts
Gulf Coast ULSD TAS | CT | LUT | 42,000 Gallons | 0.0001 | $0.0001 | 1 | 3 | 30
New York Harbor ULSD TAS | CT | LHT | 42,000 Gallons | 0.0001 | $0.0001 | 1 | 3 | 30
Gulf Coast Gasoline TAS | CT | LRT | 42,000 Gallons | 0.0001 | $0.0001 | 1 | 3 | 30
NYMEX Gulf Coast and New York Harbor Energy Intercommodity Spreads
Product | Instrument Group Code | Product Code | Strategy Type Code | Contract Tick Size | CME Globex Tick Size | Implied Months | MDP Channel
Gulf Coast ULSD vs Heating Oil | CL | LU:HO | IS | 0.0001 | 1 | 18 | 30
New York Harbor ULSD vs Heating Oil | CL | LH:HO | IS | 0.0001 | 1 | 18 | 30
Gulf Coast Gasoline vs RBOB Gasoline | CL | LR:RB | IS | 0.0001 | 1 | 12 | 30
Gulf Coast Gasoline vs Gulf Coast ULSD | CL | LR:LU | IS | 0.0001 | 1 | 24 | 30
These new NYMEX products will be available in the New Release Certification environment for customer testing this Wednesday, May 2, after the weekly maintenance window. Reminder: CME Eurodollar Options Changes Effective Sunday, May 13 (for trade date Monday, May 14), CME is implementing the following changes to CME Eurodollar options on futures. Tick Change CME is implementing the new Variable Tick Table (VTT) 12 for all CME Eurodollar options except the spot month. The spot month will continue to trade at a quarter tick. Please note: although all CME Eurodollar options except the spot month will use VTT 12, only the first two quarterlies and the serials are eligible to trade at quarter ticks. CME Rules prohibit quarter tick orders and trades for all mid-curve options and for all quarterly options except the first two. If any leg of an option spread is eligible to trade at a quarter tick, the entire spread is likewise eligible. VTT 12 is defined as follows:
VTT 12 for cme eurodollar options on futures
Variable Tick Table Index Code (position 576-577) Instrument Creation (MO) Message | Current Price (P) | CME Globex Tick Size
12 | P < -5 | 0.50
12 | -5 <= P <= 5 | 0.25
12 | P > 5 | 0.50
Variable Tick Tables are defined in position 576-577, Variable Tick Table Index Code, in the Instrument Creation (MO) message. More information on VTT is available in CME Market Data Platform SDK: Core Functionality, section 4.5.3 "Calculating Tick Size Based on Instrument Creation (MO) Message". More information on MO messages is available in CME Market Data Platform SDK: RLC Message Specifications. VTT 12 will be implemented in the New Release Certification environment for customer testing this Monday, April 30. Strikes Listing Change At customers' requests, CME is changing the strikes listing rules for all CME Eurodollar options. With this change, strikes will be listed at 12.5 basis points intervals, ATM ± 6 (150 points) for all CME Eurodollar options. Outside the ATM ± 6 range, strikes will be listed at 25 points intervals. Currently, strikes at 12.5 points intervals are listed only for: Two nearest expiring quarterlies Serials Nearest expiring weekly 1-year Mid-Curve, and 2-year and 5-year Mid-Curve options. CME Market Data Platform Lite Channel Elimination Effective Sunday, May 20, the CME Market Data Platform Lite Channel (channel 20) will be decommissioned. CME recommends all customers verify they are not relying solely on the Lite Channel for market data before May 20. Reminder: CME E-mini FTSE/Xinua China 25 Index Futures Launch Effective Sunday, May 20 (for trade date Monday, May 21), the CME E-mini FTSE ®/Xinhua ® China 25 Index futures on the CME Globex platform. The CME E-mini FTSE/Xinhua China 25 Index futures are designed to meet the growing need for 24-hour access to the Chinese equity markets. The FTSE/Xinhua China 25 Index is comprised of 25 of the largest, most liquid red-chip and H-share Chinese companies listed on the Hong Kong Stock Exchange. CME E-mini FTSE/Xinhua China 25 Index futures will be available for customer testing in the New Release Certification environment Wednesday, May 9, after the weekly maintenance window. ©2007 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, E-mini®, iLink® Globex Trader® and CME® are trademarks of CME