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.
Reminder: CME Hurricane Futures Launch
Effective this Sunday, March 11, 2007 (for trade date Monday, March 12), CME Hurricane futures are launching on the CME Globex platform. Upon launch, three contracts for each of five regions will be available for trading.
| CME Hurricane Index Futures |
| Product |
Instrument Group Code |
Product Codes |
| Gulf Coast |
HF |
HG1-HG9, HG0 |
| Florida |
HF |
HF1-HF9, HF0 |
| Southern Atlantic Coast |
HF |
HS1-HS9, HS0 |
| Northern Atlantic Coast |
HF |
HN1-HN9, HN0 |
| Eastern United States |
HF |
HX1-HX9, HX0 |
The underlying indexes for the CME-Carvill Hurricane Index futures will be calculated by Carvill, a leading independent reinsurance
intermediary in specialty reinsurance that tracks and calculates hurricane activity.
These CME Hurricane futures are currently available for testing in the certification environment.
Reminder: CME Lean Hog and Live Cattle Intercommodity Spreads Launch
Effective Sunday, March 11, 2007 (for trad date Monday, March 12), CME is launching new intercommodity spreads on the CME Lean Hog and CME Live Cattle futures.
These spreads will use the Strategy Type Code IS.
The complete list of intercommodity spreads available for trading upon launch is online.
These new intercommodity spreads are now available for customer testing in the CME certification environment.
Reminder: NYMEX Softs TAS Launch on CME Globex
Effective this Sunday, March 11 (for trade date Monday, March 12), the following NYMEX SoftsTM TAS contracts will launch on the CME Globex platform.
| NYMEX SOFTS TAS CONTRACTS |
| Product |
Instrument Group Code |
Product Code |
MDP Channel |
Contract Size |
Contract Tick Size |
Tick Value |
CME Globex Tick Size |
Listed |
| Cocoa TAS |
C1 (C-one) |
CJT |
32 |
10 metric tons |
1.00 |
$10.00 |
1 |
3 |
| Coffee TAS |
KD |
KTT |
32 |
37,500 pounds |
0.0005 |
$18.75 |
5 |
3 |
| Cotton TAS |
TC |
TTT |
32 |
50,000 pounds |
0.0001 |
$5.00 |
1 |
3 |
| FCOJ TAS |
FA |
FJT |
32 |
15,000 pounds |
0.0005 |
$7.50 |
5 |
3 |
| Sugar 11 TAS |
YA |
YOT |
32 |
112,000 pounds |
0.0001 |
$11.20 |
1 |
3 |
| Sugar 14 TAS |
FD |
FTT |
32 |
112,000 pounds |
0.0001 |
$11.20 |
1 |
3 |
These NYMEX Softs TAS contracts are currently available in the CME certification environment for customer testing.
Reminder: Daylight Saving Time
Effective this year, the schedule for Daylight Saving Time has been extended by the Energy Policy Act of 2005. Daylight Saving
Time will now be in effect from Sunday, March 11, 2007, through November 4, 2007. Previously, Daylight Saving Time ran from
the first Sunday in April through the last Sunday in October.
CME Globex will continue to observe Daylight Saving Time and the new schedule. More information is available online.
Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider
for more information before March 11, 2007.
CME FX Options Extended Listings
Effective Sunday, March 18, 2007 (for trade date Monday, March 19), CME is extending the strike listings for the following CME Foreign Exchange (FX) options
on futures for all contract months on the CME Globex platform. This change only affects outright options; there is no change
to the listing rules for options spreads.
| CME FX Options Extended Strikes Listings |
| Product |
Instrument
Group Code
|
Product Code |
Current Listings |
New Listings |
| CME Australian Dollar Options |
ZA |
6A |
At the money ± 4 |
At the money ± 8 |
| CME Canadian Dollar Options |
OV |
6C |
At the money ± 6 |
At the money ± 8 |
Negative Price Support
Effective Sunday, March 18, 2007, a new field will be added to the Instrument Creation (MO (m-oh)) market data message to indicate whether an instrument supports
positive, zero (0) or negative prices.
Position 797 - Negative Price Flag (Boolean) will have valid values of 0 (zero), for an instrument that only supports positive
and zero prices, and 1, for an instrument that supports positive, zero and negative prices.
For example, all CME Eurodollar futures will have a 0 (zero) at position 797 in the MO message to indicate positive and zero
price support only. All CME Eurodollar spreads will have a 1 at position 797 to indicate positive, zero and negative price
support.
To support this change, upon launch, positions 795-796 and 798-811 in the MO messages will be initialized to 0 (zeroes), replacing
the current spaces.
More information on the CME Market Data Platform RLC Message Specifications, including the Instrument Creation (MO) messages,
is available online.
Reminder: CME Dry Whey Futures Launch
Effective Sunday, March 18 (for trade date Monday, March 19), CME Dry Whey futures will launch on the CME Globex platform.
CME Dry Whey will list 12 contract months upon launch, with Instrument Group Code DY and CME Globex Product Code DY.
Whey is the liquid separated from milk during cheese production. Dried whey, high in protein and low in fat, is used in a
variety of foods including crackers, breads, cereal and pastries, as well as in the popular energy and power bars and protein
drinks and powders. Whey is also used in animal feed. Dry whey has become a volatile commodity as demand has at times outpaced
supply.
CME Dry Whey are currently available for testing in the certification environment.
ISIN Code Changes for Options
Effective Sunday, March 25, 2007, CME is changing ISIN Code management procedures for options only. With this change, ISIN Codes for options spreads may be reassigned to a different options instrument before expiration.
Options spreads ISIN Codes will not be reassigned during the week.
CME recommends all customers purge and re-load their instrument databases from the Instrument Creation (MO (m-oh)) market
data messages every week.
There is no impact for customers who purge and re-load weekly, or who do not rely on the ISIN Code for instrument identification.
Please contact your front-end system provider for more information.
Reminder: Enhanced Execution Reports and UDS: Combos
The Enhanced Execution Reports and User-Defined Spreads (UDS): Combos release, scheduled to launch Sunday, March 25, 2007, introduces two sets of functional enhancements to the CME Globex platform.
Enhanced Execution Reports
With this release, Fill and Trade Cancellation messages will be enhanced for all products traded on the CME Globex platform with new FIX tags 442-MultiLegReportingType, 393-TotalNumSecurities and 527-SecondaryExecID.
Customers will be able to use the enhanced Fill and Trade Cancellation messages to:
- Differentiate messages for outrights, legs and spreads
- Correlate leg and spread messages
- Identify the number of legs associated with a spread
CME strongly recommends all customers test the enhanced execution reports prior to the production launch. Enhanced execution reports are currently available
in the certification environment.
UDS: Combos
With UDS: Combos functionality, customers will be able to define and trade unique options instruments intra-day, composed
of any or all of the following:
- Exchange-defined outright option(s)
- Exchange-defined option spread(s)
- Existing user-defined spreads
With this launch, customer systems must be able to accomodate Security Definition (MU) messages with up to 40 repeating groups
(i.e., spread legs). CME recommends customers configure market data buffer size to accomodate up to 5120 bytes. Front-end
trading applications interested in UDS: Combos functionality are required to certify via CME AutoCert+. This functionality
is currently available for testing and certification. To access CME AutoCert+, please contact your CME Globex Account Manager at 312.634.8700, or in Europe at +44.20.7796.7100.
More information on this release is available in the UDS: Combos and Enhanced Execution Reports Client Impact Assessment.
Reminder: CME FX Trading Schedule Change
Effective Sunday, March 25, 2007, at customers' request, CME FX futures and options on CME Globex trading schedule will be expanded to open two hours earlier,
at 3:00 p.m. Central time (CT) on Sundays. Currently, CME FX futures and options markets open on Sunday for trading at 5:00
p.m. CT. In addition, the pre-market open period will be reduced from the current 45 minutes to 30 minutes, commencing at
2:30 p.m. on Sundays.
Reminder: CME Equity Options Spreads Changes
Effective Sunday, March 25, 2007 in the production environment, to provide consistent data across all product complexes, CME Globex will no longer publish
settlement price data via the Instrument Creation (MO (m-oh)) and Price (M7) RLC market data messages for CME Equity options spreads only. Settlement price data will still be available in the MO and M7 messages for the outright options.
To increase price clarity for CME Equity options spreads, with this launch CME will disseminate four-character strike prices
(instead of the current three-character prices) in the Complete Instrument Code in RLC market data messages (e.g., position
72-91 of the MO message) and CME iLink order messaging (e.g., FIX tag 107, SecurityDesc, in Execution Reports). The total
length of the Complete Instrument Code will not exceed 20 characters.
The most significant digit of the strike price will be displayed in the Complete Instrument Code and tag 107, SecurityDesc.
For example, currently a CME E-mini Russell options spread is disseminated as:
With this change, the same spread will be disseminated as:
More information on the CME Market Data Platform and CME iLink messaging formats is available in the CME Globex SDKs.
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.
The legacy NYMEX market data channel (20) will be eliminated in the certification environment Tuesday, March 20.
More information on NYMEX and COMEX products on the CME Globex platform is available at www.nymexoncmeglobex.com.
©2007 Chicago Mercantile Exchange Inc (CME). All rights reserved.
The Globe Logo, Globex®, E-mini®, iLink® Globex Trader® and CME® are trademarks of CME
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