Market Data Advisory Notices
To | Quote Vendors
From | Market Data Operations
Subject | Selected CME FX Volume-Weighted Average Settlement / 2:00 P.M. CME FX Fixing Prices Going Real-Time and Display - Effective Monday, June 9, 2008
Notice Date | 2008-05-22
Notice Number | Q2008-099
Effective Date | 2008-06-09
Selected CME FX Volume-Weighted Average Settlement / 2:00 P.M. CME FX Fixing Prices Going Real-Time and Display – Effective Monday, June 9, 2008 Effective Monday, June 9, 2008 , the components of selected CME FX futures daily volume-weighted average settlement / fixing prices, currently calculated during the 30-second closing range for the more actively traded FX futures contracts (as previously announced in Q2008-039), will be transmitted on an indicative, real-time basis. The results of each FX futures real-time calculation will be disseminated every 1 second during the 30-second closing range between 1:59:30 and 1:59:59 PM Central Time, with the ultimate settlement price transmitting at the end of the 30-second period. FX futures “Fixing Prices” are currently transmitted via Channel 3 of the Market Data Platform (MDP), at approximately 2:00 p.m. daily. The real-time component prices as well as the finalized daily settlement price will be transmitted via Channels 204 (futures) and 205 (options) of the MDP. Fixing prices are calculated for only the nearest quarterly expiring contract on the following FX futures contracts:
Currency Fixing | ITC 2.1 Ticker Code
Australian Dollar Fixing | 6A$
British Pound Fixing | 6B$
Canadian Dollar Fixing | 6C$
EuroFX Fixing | 6E$
Japanese Yen Fixing | 6J$
Swiss Franc Fixing | 6S$