Market Data Advisory Notices
To | Market Data DIstributors
From | Market Data Operations
Subject | CME To Send Implied Spread Prices Over MDN And QVN - Effective With The Start Of Business On Sunday, March 30, 2003.
Notice Date | March 25, 2003
Notice Number | Q2003-21
Effective Date |
Effective with the start of business on Sunday, March 30, 2003, Market Data Distributors will begin receiving implied spread prices for Eurodollars (EAGLE). As indicated in Notice QVC-24 (dated February 12, 2003), EAGLE, (Electronic Arbitrage GLOBEX® Liquidity Enhancer) was designed and implemented to facilitate implied spread trading for Eurodollars. EAGLE allows for two types of implied spreading, which are implied IN spreading and implied OUT spreading. Additional details can be found here. CME will be providing the top of the book implied bid/ask with size information in the regular Category B message (Bid/Ask/Size message) over the MDN and QVN. There won’t be a distinction between the implied data and other data. Customers can trade off of these implied bids/asks, so it is important that you display this information to them. Please contact one of the following individuals with any questions or issues you may have concerning this change. Thank you. Marilee Radecki - 312.930.8193 - mradecki@cme.com Lisa Amato - 312.338.2654 - lamato@cme.com Michele Ivanski - 312.930.4523 - mivanski@cme.com