Welcome to the CME Globex Notices for the week of September 3, 2007.
New Functionality
Product Launches
Product Changes
If you have any questions or concerns, please contact your
CME Globex Account Manager at
312.634.8700; +44.20.7796.7100 in Europe; or at +852.3101.7696 in Asia.
New Functionality
FIX/FAST Launch
In
Q3 2007, CME Group is scheduled to launch the new FIX/FAST
SM
market data format on the CME Globex platform. FIX/FAST drastically reduces end-to-end
latency and improves bandwidth scalability. The new format is based on FIX
SM
and FAST
SM
protocols for increased efficiency. FIX provides the core message structure and syntax while
the FAST protocol increases optimization. FIX/FAST is the basis of a new industry standard for
market data.
FIX/FAST is currently available for customer testing in the New Release environment.
The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and
reference code, is available online at
www.cme.com/fixfast. Please note: the TCP replay functionality will not be
available in New Release with this launch. The TCP replay functionality launch will be announced in
a later CME Globex Notice.
Product Launches
Wood Pulp Futures and Options Launch
Effective
this Sunday, September 9, 2007 (for trade date Monday, September 10), Northern
Bleach Softwood Kraft Pulp Europe (Softwood Pulp) futures and options will launch on the CME Globex
platform. Softwood Pulp options will be eligible for User-Defined Spreads (UDS) Combos and Covereds
at launch.
| Softwood Pulp on CME Globex |
| Product |
Instrument
Group Code |
Product
Code |
| Softwood
Pulp Futures |
WP |
WP |
| Softwood
Pulp Option Outrights |
W0
(zero) |
| Softwood
Pulp Options Spreads |
W2 |
These Softwood Pulp instruments are currently available in the Certification environment for
customer testing.
Intercommodity Spread for Equity Futures
Effective
this Sunday, September 9, 2007 (for trade date Monday, September 10), a new
intercommodity spread between the new E-mini S&P SmallCap 600 and the E-mini Russell 2000®
futures will be available for trading on the CME Globex platform.
The new spread, Strategy Type Code
IR, is a 2:1 ratio spread and will not support implied functionality.
The IR intercommodity spread is currently available in New Release for customer testing.
Update: Dairy Launch on CME Globex
Effective
Sunday, September 16 (for trade date Monday, September 17), the following dairy
commodity futures and options will launch on the CME Globex platform.
| Dairy Future Outrights on CME Globex |
| Product |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk futures |
DC |
GNF |
| Class
IV Milk futures |
DC |
GDK |
| Dairy Future Spreads on CME Globex |
| Product |
Strategy
Type Code |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk Calendar Spreads |
SP |
DC |
GNF |
| Non-Fat
Dry Milk 3-, 6- & 12-month Packs |
FS |
DC |
GNF |
| Class
IV Milk Calendar Spreads |
SP |
DC |
GDK |
| Class
IV Milk 3-, 6- & 12-month Packs |
FS |
DC |
GDK |
| Dairy Option on Futures on CME Globex |
| Product |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk Options |
N7 |
GNF |
| Class
IV Milk Options |
D8 |
GDK |
| Dry
Whey Options |
Y0
(zero) |
DY |
| Cash-Settled
Butter Options |
C0
(zero) |
CB |
| Class
III Milk Options |
A6 |
DC |
| Dairy Options Spreads on CME Globex |
| Product |
Strategy
Type Code |
Instrument
Group Code |
Product
Code |
| Non-Fat
Dry Milk Straddles |
ST |
N8 |
GNF |
| Non-Fat
Dry Milk Strangles |
SG |
N8 |
GNF |
| Non-Fat
Dry Milk Verticals |
VT |
N8 |
GNF |
| Class
IV Milk Straddles |
ST |
D9 |
GDK |
| Class
IV Milk Strangles |
SG |
D9 |
GDK |
| Class
IV Milk Verticals |
VT |
D9 |
GDK |
| Dry
Whey Straddles |
ST |
Y3 |
DY |
| Dry
Whey Strangles |
SG |
Y3 |
DY |
| Dry
Whey Verticals |
VT |
Y3 |
DY |
| Cash-settled
Butter Straddles |
ST |
C3 |
CB |
| Cash-settled
Butter Strangles |
SG |
C3 |
CB |
| Cash-settled
Butter Verticals |
VT |
C3 |
CB |
| Class
III Milk Straddles |
ST |
A9 |
DC |
| Class
III Milk Strangles |
SG |
A9 |
DC |
| Class
III Milk Verticals |
VT |
A9 |
DC |
These new futures and outright options are currently available for customer testing in the
Certification environment. The options strategies will be available for customer testing in the
Certification environment this Monday, September 10.
Lehman Brothers U.S. Aggregate Index Futures
Launch
Effective
Sunday, September 30, 2007 (for trade date Monday, October 1), futures on the
Lehman Brothers U.S. Aggregate Index will launch on the CME Globex platform. Futures calendar
spreads will also be available upon launch, using the new Strategy Type Code
SD.
The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh))
RLC market data message. More information on the Strategy Type Code and MO messages is available in
the
RLC Message Specifications module of
the Market Data Platform SDK.
The
Lehman Brothers U.S. Aggregate Index futures will
represent the world's first exchange-traded contracts on a U.S. broad-based, fixed-income index.
Lehman Brothers U.S. Aggregate Index futures provide traders and investors a new tool for:
- Asset allocation
- Passive indexation
- Portable alpha strategies
- Spreading against other exchange-traded products
| Product |
Instrument
Group Code |
Product
Code |
Listed
Contracts |
| Lehman
Brothers U.S. Aggregate Index futures |
LB |
LBA |
4
quarterlies |
| Product |
Instrument
Group Code |
Product
Code |
Strategy
Type Code |
Listed
Contracts |
| Lehman
Brothers U.S. Aggregate Index calendar spreads |
LB |
LBAMY-LBA
MY† |
SD
|
6
spreads |
†
MY = Month and year in normal CME Group terminology, e.g. U7
These new futures will be available for customer testing in the Certification environment
Monday, September 17.
Product Changes
Housing Extension
Effective
Sunday, September 16, 2007 (for trade date Monday, September 17), CME Group is
extending the listed
Housing futures from the currently listed four
quarterlies to a total of
60 months. This change will apply to all of the Housing futures on CME Globex,
including the Composite Index and 10 U.S. cities.
The currently listed spreads will also be extended out the full 60 months, including the
intercommodity spreads.
| Housing Futures Extension |
| Product |
Current
Listings |
Extended
Listings |
Boston
Chicago
Denver
Las Vegas
Los Angeles
Miami
New York
San Francisco
San Diego
Washington
Composite Index |
4
quarterly futures in February cycle |
First
18 months: 6 quarterly futures in February cycle
Second 18 months: 7 biannual futures in May cycle
Last two years: 2 annual futures in November cycle |
The Chicago and Las Vegas futures and spreads will be available for customer testing in the
Certification environment Monday, September 10.
FX Options Strategies Launch
Effective
Sunday, September 30, 2007 (for trade date Monday, October 1), Horizontal and Risk
Reversal option strategies on the following American-style FX options will be launched on the CME
Globex platform.
- Euro FX options (product code 6E)
- Japanese Yen options (product code 6J)
- British Pound options (product code 6B)
- Swiss Franc options (product code 6S)
- Canadian Dollar options (product code 6C)
- Australian Dollar options (product code 6A)
- New Zealand Dollar options (product code 6N)
- Mexican Peso options (product code 6M)
- Russian Ruble options (product code 6R)
These strategies will use the current Strategy Type Codes
HO for Horizontals and
RR for Risk Reversals.
The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh))
RLC market data message. More information on the Strategy Type Code and MO messages is available in
the
RLC Message Specifications module of
the Market Data Platform SDK.
These strategies will be available in the Certification environment for customer testing Monday,
September 17.
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