GLOBEX Advisory Notices
To |
From |
Subject | Reminder - CME Euro FX and CME Japanese Yen European-Style Options Launch on CME(R) Globex(R)
Notice Date | 2005-03-24
Notice Number | 032405-4
Effective Date |
Dear CME® Globex® Customers, Effective Sunday, April 3, 2005, CME will begin trading new CME Euro FX and CME Japanese Yen options contracts with European-style expiration. By definition, European-style options are exercised at expiration only. The European-style CME FX options will trade side-by-side on the trading floor and the CME Globex electronic trading platform. The listings and the trading of American-style CME FX options are unchanged. These new CME FX options are currently available for testing in the CME certification environment.
TICKER SYMBOLS FOR EUROPEAN-STYLE CME FX OPTIONS
CME FX Contract | Trading Floor | CME Globex Side-By-Side Ticker Symbol | CME Globex Weekly Options Commodity Codes & Ticker Symbols | CME Currency Fixing Price Symbols
RTH Commodity Code | RTH Ticker Symbol | All-Or-None (Trading Floor Only) | Weekly Options Commodity Codes & Ticker Symbols
EC | YT | YT | 0T | 1T – 5T | XT | 1Q – 5Q | YT
JY | YJ | YJ | 0J | 1Y – 5Y | XJ | 1O – 5O | YJ
In preparation for the launch, CME has added the outright and spread instruments (5,050 additional MO messages) into production. For CME Market Data API (MD API) users that employ a timeout value as part of the MO request, CME recommends increasing the timeout value to five minutes. Please note that Instrument Type D was formally 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 | "XT" MO Messages | "XJ" MO Messages
Outright | n/a | n/a | 600 | 730
Weekly | n/a | n/a | 400 | 500
D | BO | Butterfly option | n/a | n/a
D | HO | Horizontal option | n/a | n/a
D | SG | Strangle option | 300 | 300
D | ST | Straddle option | 150 | 150
D | VT† | Vertical option | 960 | 960
†The option vertical spread strategy code is "VT"; however, the CME Globex Symbol uses 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 Vertical Call example below, the XT:VCM5C330_335 spread's MO message also contains the legs' ISIN Codes. In this example: Leg1 = ISIN for XTM5_C1330, and Leg2 = ISIN for XTM5_C1335. For the RLC CME Globex Symbol conventions, examples of the contract names for the option spreads follow. An underline indicates a space: Vertical Call Spread Example The ticker code XT:VCM5C330_335 represents a European-style CME Euro FX Vertical Call spread; buying the June '05 1330 Call, selling the June '05 1335 Call. Vertical Put Spread Example The ticker code XT:VPM5P335_330 represents a European-style CME Euro FX Vertical Put spread; buying the June '05 1335 Put and selling the June '05 1330 Put. Strangle Spread Example The ticker code XT:SGM5P330_335 represents a European-style CME Euro FX Strangle spread; buying the June '05 1330 Put, buying the June '05 1335 Call. Straddle Spread Example The ticker code XT:STM5P330 represents a European-style CME Euro FX Straddle spread; buying the June '05 1330 Put and buying the June '05 1330 Call. For more information, please visit the CME Clearing House New Contract Notice. For questions regarding this CME Globex product launch, please contact your CME Globex Account Manager at 312.634.8700 in North America or +1.44.207.623.2550 in Europe. Thank you, CME Globex Account Management 312.634.8700 +1.44.207.623.2550