• CME Clearing Notice: November 28, 2011

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      • Clearing Member Firms
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      • CME Clearing
      • #
      • 11-433
      • Notice Date
      • 01 December 2011
      • Effective Date
      • 28 November 2011

    • Topics in this issue include:
       
      *        Deliveries
      *        Events & Announcements
       
      Critical System Updates
      Strike Price Increment Changes for Treasury Note Options Effective Sunday, December 4th for trade date of Monday, December 5th, 2011.
      The Federal Open Market Committee recently announced its intention to keep the target range for the overnight federal funds rate between zero and one-quarter of one percent through mid-2013. Due to customer demand, the strike increments will change on CBOT 2-Year and 5-Year Treasury Note Options to offer greater flexibility. This change will be implemented on Sunday, December 4, 2011 for Trade date, Monday, December 5, 2011:
      ·         2-Year Note options (Serial, Quarterly and Weekly): Reduce strike price increments from 1/4 to 1/8 of one price point.
      ·         5-Year Note options (Serial, Quarterly and Weekly): Reduce strike price increments from 1/2 to 1/4 of one price point.
      ·         2-Year Note and 5-Year Note options (Serial, Quarterly and Weekly):  Redefine initial strike price arrays to comprise at-the-money (“ATM”) plus 30 strikes above ATM and 30 strikes below ATM (versus the current ATM plus 15 strikes above and 15 strikes below). 
      It is important to note that there are NO changes to Strike Decimal Locators or the formatting of the strike price; only strike price increments will change. There will be usage of implied numbers similar to the Eurodollar options where Eurodollar options strikes ending in 2 or 7 have an implied trailing 5 (truncation).
      The Clearing specifications are as follows:
      Standard Five-Year Note Standard and Weekly Options
      ·         Clearing Codes 25, FV1, FV2, FV3, FV4, FV5
      o    Options Tick = 1/64 = $15.63 rounded
      o    Strike Increment = 0.25
      o    Contract Value Factor = 1,000
       
      Exercise Prices
      Actual Price
      117.25
      TCC Format
      0001172
      Globex Format
      0001172
      SPAN Format
      001172
       
      Notes:
      ·         Strike price increments will be added in quarter 32nds or .25, where the last displayed digit of the strike price format is 2, 5, 7 or 0. The truncated implied last digit for 2 & 7 will be a trailing 5.
      ·         Strike price arrays to comprise at-the-money (“ATM”) plus 30 strikes above ATM and 30 strikes below ATM
      Standard Two-Year Note Standard and Weekly Options
      ·         Clearing Code 26. TW1, TW2, TW3, TW4, TW5
      o    Options Tick = 0.5 / 64 = $15.63
      o    Strike Increment = 0.125
      o    Contract Value Factor = 2,000
       
      Exercise Prices
      Actual Price
      117.125
      TCC Format
      0001171
      Globex Format
      0001171
      SPAN Format
      001171
       
      Notes:
      ·         Strike price increments will now be in eighth 32nds or .125. In addition to the existing last digit of the strike price format of 2, 5, and 7, the 1, 3, 6 and 8 will be valid increments. The truncated trailing implied digits will be increments of 1(25), 3(75), 6(25) and 8(75).
      ·         Strike price arrays to comprise at-the-money (“ATM”) plus 30 strikes above ATM and 30 strikes below ATM
      For both products, these changes will be apparent on both the positional-format settlement price file, and the SPAN file.  Strikes will be fully decimalized in FIXML Trade messages, FIXML settlement price files, and FIXML Trade Register files.  Strikes should be formatted in the truncated format shown in the Large Trader file submitted to CME Clearing and CFTC, and strikes should be fully decimalized for PCS data sent to CME Clearing.
       
      FIX/FAST format SecDefs:
      2-Year Note (OZT)
      1128=9_9=537_35=d_49=CME_34=7473_52=20111030162802321_15=USD_22=8_48=288403_55=N2_107=OZTU2 C1086
      _200=201209_202=108.62_207=XCBT_461=OCAFPS_462=14_562=1_711=1_311=[N/A]_305=8_309=630499_731=2_827=2_864=2_865=5_866=20110630_1145=213000000_865=7_866=20120824_
      1145=210000000_870=8_871=24_872=1_871=24_872=2_871=24_872=3_871=24_872=9_871=24_872=12_871=25_872=64_871=26_872=2_871=27_872=3_947=USD_969=0.0078125_996=CTRCT_1140=99999
      _1141=1_1022=GBX_264=3_1142=Q_1143=0.125_1146=0.0002_1147=0_1150=1.46875_1151=OZT_1180=116_5796=20111024_9787=1_9850=0.0005_10=192_
       
      ·         Listed strike price is 108.62 (tag 202)
      ·         External name strike price is 1086
      ·         Full strike price should be 108.625
      ·         If using 202 (recommended), customers should postpend “5” to all strike prices
      ·         If parsing the external name, customers should postpend “25” to all strike prices

      5-Year Note (OZF)
      1128=9 9=528 35=d 49=CME 34=6360 52=20111030162802056 15=USD 22=8 48=542921 55=0N 107=OZFF2 C1287 200=201201 202=128.75 207=XCBT 461=OCAFPS 462=14 562=1 711=1 311=[N/A] 305=8 309=51040
      731=2 827=2 864=2 865=5 866=20110923 1145=213000000 865=7 866=20111223 1145=220000000 870=8
      871=24 872=1 871=24 872=2 871=24 872=3 871=24 872=9 871=24 872=12 871=25 872=64 871=26 872=2 871=27
      872=3 947=USD 969=0.0078125 996=CTRCT 1140=99999 1141=1 1022=GBX 264=3 1142=Q 1143=0.25 1146=0.0001
      1147=0 1150=1 1151=OZF 1180=116 5796=20111020 9787=1 9850=0.001 10=165
       
      ·         Listed strike price is 128.75 (tag 202)
      ·         External name strike price is 1287
      ·         Full strike price should be 128.75
      ·         To determine the full strike price customers must postpend “5” to 2-Year Treasury strike prices where the right most byte is a 2 or 7 when using tag 202-StrikePrice.
       
      If there are any questions, please contact the Clearing House Product Team at (312) 634-1588.
      Deliveries
      Updated List of Live Cattle Stockyards and Slaughter Plants
      This link provides the stockyards and slaughter plants that have been approved for deliveries against the CME Group Live Cattle futures contract from October 1, 2011 through January 31, 2012. Delivery point information and contact numbers are listed for your reference.
      If there any questions, please contact the Deliveries Unit at (312) 930-3172.
      This link provides the relevant delivery dates for December 2011 Chicago Mercantile Exchange Inc., Chicago Board of Trade, New York Mercantile Exchange, Dubai Mercantile Exchange, COMEX and GreenX contracts.
      The GreenX December 2011 Certified Emission Reduction (CER) contracts for both the Legacy and In Delivery Month contracts will soon expire. The Legacy contract, commodity code (VA), will terminate November 29, 2011 and the In Delivery Month contract, commodity code (6S) will terminate December 19, 2011. 
       
      Consequently, CME Group is reminding all GreenX Clearing Members of GreenX Rule 511, Adherence of Law, which states:
       
      “No Participant or any of its Authorized Traders or Supervised Persons shall engage in conduct in violation of Applicable Law including, but not limited to, laws and regulations relating to economic or trade sanctions, the GreenX Rules or the Clearing House Rules (insofar as the Clearing House Rules relate to the reporting or clearance of any transaction in Contracts).” 
      “Applicable Law” means, with respect to any Person, any statute, law, regulation, rule or ordinance, including laws and regulations relating to economic or trade sanctions, of any governmental or self-regulatory authority applicable to such Person, including the CEA and CFTC Regulations (GreenX Rulebook Chapter 1, Definitions.)
      Accordingly, any CERs from any country on the U.S. Office of Foreign Assets Control (OFAC) SDN – Specially Designated Nationals list or targeted countries and, thus, subject to U.S. sanctions will not be acceptable for delivery. 
       
      If there are any questions, please contact Deliveries at 312-930-3172.
      Events & Announcements
      Strike Price Listing Change and Trading Month Rule Clarification for the Silver Options Contract
      Effective Sunday, December 4, 2011, for trade date Monday, December 5, 2011, the Commodity Exchange, Inc. (COMEX or Exchange) will expand the strike price listing rule for its Silver option contract (commodity code SO). 
      Also effective Sunday, December 4, 2011, for trade date Monday, December 5, 2011, the Exchange will amend Rule 116.02 (Trading Months of Silver Options) in order to clarify the contract month listing rule.
      If the underlying futures price is less than $25.00 per ounce, forty (40) strike prices in $0.05 increments above and below the at-the-money strike price will be listed; and forty (40) strike prices in $0.25 increments above and below the highest and lowest $0.05 increment, respectively, will be listed; and ten (10) strike prices in $1.00 increments above and below the highest and lowest $0.25 increment, respectively, will be listed.. 
       
      If the underlying futures price is greater than $25.00 per ounce, forty (40) strike prices in increments of $0.25 above or below the at-the-money strike price will be listed; and forty (40) strike prices in $1.00 increments above and below the highest and lowest $0.25 increment, respectively, will be listed.
       
      If the Exchange determines that trading in silver option contracts will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the price of the silver futures contract at which a new strike price will be introduced, or the period preceding the expiration of a silver option contract in which no new strike prices may be introduced.
       
       In addition, the Exchange may direct that additional strike prices be added.
       
      Silver options shall be listed for trading on the nearest five of the March, May, July, September, and December futures contracts. The nearest of the January, February, April, June, August, October, and November contract month shall be listed for trading for a period of two months from the current listed month. In addition, July and December options contract months shall be listed for sixty (60) months from the current listed month.
       
      Information Contacts
      CMEGroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
       
      Clearing House
      (312) 207-2525
      Globex Information
      Globex Control Center
      (312) 456-2391
      Performance Bond Information
      Risk Management Dept.
      (312) 648-3888
      Position Limits
      Market Regulation
      (312) 341-7970
      Clearing Fees
      Clearing Fee Hotline
      (312) 648-5470
      Effective Sunday, December 4, 2011, for trade date Monday, December 5, 2011, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will expand the listing of contract months for its Canadian Heavy Crude Oil (Net Energy) Index futures (chapter 263, commodity code WCC) contract listed on the NYMEX trading floor and CME ClearPort.
       
      The new listing schedule shall allow for the contract to be listed for the balance of the current year plus the next four (4) consecutive years. Currently, the listing period for the contract is thirty-six (36) consecutive contract months.
       
      Information Contacts
      CMEGroup.com Inquiries
      Customer Service
      (800) 331-3332
      General Information
      Products & Services
      (312) 930-8213
       
      Clearing House
      (312) 207-2525
      Globex Information
      Globex Control Center
      (312) 456-2391
      Performance Bond Information
      Risk Management Dept.
      (312) 648-3888
      Position Limits
      Market Regulation
      (312) 341-7970
      Clearing Fees
      Clearing Fee Hotline
      (312) 648-5470
       
      This link provides the advisory notice detailing the specifications for the NY ULSD Futures and Options contracts.

       

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