GLOBEX Advisory Notices
To CME Globex(R) Customers
From CME Globex Account Management
Subject Final Reminder - New Equity Option Spreads On CME(R) Globex(R)
Notice Date 2004-12-16
Notice Number 121604-1
Effective Date  

Dear CME Globex® Customers,

Effective this Sunday, December 19, 2004, CME will launch five new equity option spreads on CME Globex. Butterfly, horizontal, strangle, straddle and vertical spreads on CME E-miniTM S&P 500® ("ES") and CME E-mini NASDAQ-100® ("NQ") options will be available for trading.

These new equity options spreads are available for testing in the CME certification environment.

All CME Market Data API and CME MDN users subscribing to RLC messages, please see below:

The new equity options spreads are published on the CME MD API options subject of CME_GB2_OPT. All CME MD API 2.0 users who have elected to "opt in" and subscribe to options market data now receive the new options contracts as part of an MO request. Those who use the MO request functionality by subject as part of CME MD API 2.1 only receive those options contracts specified in the MO request subject.

In preparation for the production launch on Sunday, December 19, CME has added the spread instruments (6700 additional messages) to the MO Messages, and these additional messages are currently being disseminated in production. For CME MD API users that employ a timeout value as part of the MO request, CME recommends increasing the timeout value to 5 minutes. Please note that Instrument Type D was formerly 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 "ES" MO Messages "NQ" MO Messages
D (new) BO Butterfly option 1400 600
D (new) HO Horizontal option 500 200
D (new) SG Strangle option 760 620
D (new) ST Straddle option 170 90
D (new) VT* Vertical option 1520 840
D (existing) IS Inter-commodity future    
D (existing) SP Calendar future    
D (existing) HZ Pack, Bundle, etc., future    
*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 Butterfly Call example below, the ES:BOF5C100_120 spread's MO message also contains the three legs' ISIN Code. In this example: Leg1 = ISIN for ESF5_C1100, Leg2 = ISIN for ESF5_C1110, and Leg3 = ISIN for ESF5_C1120.

For the RLC CME Globex symbol conventions, here are examples of the contract names for the option spreads. An underline = space:

Vertical Call Spread Example
The ticker code ES:VCF5C140_160 represents a CME E-mini S&P 500 Vertical Call spread buying the January '05 1140 Call and selling the January '05 1160 Call.

Vertical Put Spread Example
The ticker code ES:VPF5P000_980 represents a CME E-mini S&P 500 Vertical Put spread, buying the January '05 1000 Put and selling the January '05 980 Put.

Horizontal Call Spread Example
The ticker code ES:HOF5G5C140 represents a CME E-mini S&P 500 Horizontal Call spread, selling the January '05 1140 Call and buying the February '05 1140 Call.

Horizontal Put Spread Example
The ticker code ES:HOF5G5P050 represents a CME E-mini S&P 500 Horizontal Put spread, selling the January '05 1050 Put and buying the February '05 1050 Put.

Strangle Spread Example
The ticker code ES:SGF5P000_200 represents a CME E-mini S&P 500 Strangle spread, buying the January '05 1000 Put and buying the January '05 1200 Call.

Butterfly Call Spread Example
The ticker code ES:BOF5C100_120 represents a CME E-mini S&P 500 Butterfly Call spread, buying the January '05 1100 Call, selling 2x the January '05 1110 Call and buying the January '05 1120 Call.

Butterfly Put Spread Example
The ticker code ES:BOF5P120_100 represents a CME E-mini S&P 500 Butterfly Put spread, buying the January '05 1120 Put, selling 2x the January '05 1110 Put and buying the January '05 1100 Put.

Straddle Example
The ticker code ES:STF5P125 represents a CME E-mini S&P 500 Straddle spread, buying the January '05 1125 Put and buying the January '05 1125 Call.

For questions regarding these CME Globex changes, please contact your CME Globex Account Manager at 312.634.8700; the CME London office at +44.207.623.2550; or the CME Globex Control Center at 312.456.2391.

Thank you,

CME
CME Globex Account Management
312.634.8700