Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | CME Options Spread Changes – Effective March 25, 2007
Notice Date | 2007-02-26
Notice Number | Q2007-055
Effective Date | 2007-03-25
Effective Sunday, March 25, 2007, two changes will be implemented affecting CME Equity Options Spreads on CME Globex® as detailed below. Removal of Settlement Prices from MO and M7 Messages CME will cease publishing settlement prices in the following RLC market data message types for CME Options Spread types: Instrument Creation Message, MO (em-oh) and Price Message, M7, to be consistent with spreads in other CME product lines. Change in External Naming Convention for CME Equity Options Spreads In addition, CME will change the naming convention for CME Equity Options Spreads. Beginning on March 25, 2007, CME will begin disseminating 4-character strike prices on the legs of the spreads in the Complete Instrument Code field (positions 72-91 of the MO message). Currently, for Vertical, Horizontal, Strangle, Straddle, and Butterfly spreads on CME Equity Options, CME disseminates 3-character strike prices on the legs of the spreads in the Complete Instrument Code field. The example below demonstrates the change: Current E-mini Russell Options Spread naming convention: ER:VCM7C150 200 New E-mini Russell Options Spread naming convention: ER:VCM7C8150 8200 This change is being made to guarantee uniqueness in the instrument naming convention. If you have any questions regarding this notice, please contact: Marilee Radecki 312.930.8193 mradecki@cme.com Kevin Brady 312.648.3653 kbrady@cme.com