• CME Globex Notices: February 11, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080211
      • Notice Date
      • 11 February 2008
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Changes
      Events and Announcements


      Critical System Updates

      Changes to Instrument Creation (MO) Replay Channels 
      Effective Sunday, March 30, 2008, CME Group will decommission the Instrument Creation (MO) Replay channels 1 and 16 in the production and Certification environments. Channels 1 and 16 will be decommissioned in New Release effective Sunday, March 2.

      The new MO Replay channels on the Market Data Platform, introduced in November 2007, allow customers to listen only to the MO messages for which they receive market data. With these new channels, every product RLC data channel (e.g., channel 7, Equity futures; channel 8, Equity options, etc.) now has a dedicated MO Replay channel.

      Please note, these changes only affect the RLC-format channels. There are no changes to the ITC 2.1-format channels.

      The new MO Replay channels are currently available in New Release, Certification and production. The channel definition tables are available online for  Certification and New Release, and for  production.

      New Functionality

      Volatility-Quoted Options Launch 
      Effective Sunday, March 9, 2008 (trade date Monday, March 10), volatility-quoted options are scheduled to launch on six FX options products: EuroFX, British pound, Japanese yen, Canadian dollar, Swiss franc and Australian dollar.

      Volatility-quoted options support delta-neutral trading, which virtually eliminates the execution risk inherent to trading premium price options. The volatility-quoted options will utilize the existing FX options and futures products.

      To simplify market data dissemination and processing, all market data for these new volatility-quoted options is segregated to new Market Data Platform channel 6. The market data for the equivalent premium legs is disseminated on channel 12, per current behavior. Information on the new channel is available in the  New Release Channel Definition table.

      All of the volatility-quoted options suite, including all maturities in the American- and European-style, and Straddle, Strangle and Vertical strategies, are available in the New Release environment for customer testing. Customers can certify for volatility-quoted options in New Release via AutoCert+. This brief certification is mandatory for all systems that will provide trading access to these options.

      NEW Mock Trading Session!
      To ensure customers can access, trade and process the market data for the new volatility-quoted FX options, CME Group is hosting a mock trading session on Saturday, February 23. This session is targeted towards both customers and market makers. All traders and trading system providers who plan to support these products are strongly encouraged to participate.

      Please note: CME Group requires that customers' trading applications complete the brief certification suite in AutoCert+ before participating in the mock trading session.

      More information is available in the mock trading session  Plan and  Script.
      NEW FirmSoft Report Changes
      In conjunction with the scheduled launch of volatility-quoted FX options on CME Globex on March 9, the report mode in FirmSoft will be updated to include the following new columns. These columns will be added to the right of all existing report mode data.
      • Volatility
      • Underlying Price
      • Option Delta
      • Risk Free Rate
      • Expiration Time Value
      If you have any questions or concerns regarding this change please contact your  CME Globex Account Manager at 312.634.8700.

      More information on these new products and the associated messaging and functionality enhancements is available in the  Volatility-Quoted Options Client Impact Assessment.

      Product Changes

      NYMEX Natural Gas Futures Extension 
      Effective this Sunday, February 17, 2008 (trade date Tuesday, February 19), the NYMEX Natural Gas futures on CME Globex (product code NG) will be expanded to the current year plus eight years out. Currently, up to 72 months are listed on CME Globex (current year plus five years out). With this change, up to 108 contract months will be listed.

      More information on the Natural Gas futures is available in the NYMEX on CME Globex Snapshot.

      These additional contracts are currently available in the New Release environment for customer testing.

      Pork Belly Futures Spreads
      Effective Sunday, February 24 (trade date Monday, February 25), Calendar and Butterfly spreads for Pork Belly futures will be listed on the CME Globex platform.

      The Calendar spreads will use Strategy Type Code SP and the Butterfly spreads will use BF. The Strategy Type Code can be found at position 727-728 in the Instrument Creation (MO (m-oh)) RLC market data message. More information on the Strategy Type Code and MO messages is available in the RLC Message Specifications module of the Market Data Platform SDK.

      These new spreads are currently available in New Release and Certification for customer testing.

      Lean Hog Option Strikes Expansion
      Effective Sunday, February 24 (trade date Monday, February 25), the small increment "penny" strikes for Lean Hog options on futures will be expanded in the first two contract months from ATM ± 6 to ATM ± 12.

      These expanded strikes will be available in New Release for customer testing Tuesday, February 19.

      Minimum Tick and Spread Changes For U.S. Treasury Products
      Effective Sunday, March 2 (trade date Monday, March 3), CME Group plans to reduce the minimum tick size and modify the currently listed exchange-defined spreads for three of the most actively traded interest rate contracts. Pending CFTC approval, the following modifications are scheduled to occur:

      • 30-Year U.S. Treasury Bond futures and future spreads (excluding Reduced Tick Calendar spreads)
        • Minimum tick change from 1/32 to 1/2 1/32 (from $31.25 to $15.625)
        • Tick Display Format Type change from 32 to EH
        • Number of Decimals in Displayed Price change from 2 to 3
      • 5-Year U.S. Treasury Note futures and spreads (excluding Reduced Tick Calendar spreads)
        • Minimum tick change from 1/2 1/32 to 1/4 1/32 (from $15.625 to $7.8125)
        • Tick Display Format Type change from EH to EQ
      • 5-Year U.S. Treasury Note Reduced Tick Calendar spreads
        • Strategy Type Code changes from RT to SP
      • 5-Year U.S. Treasury Note options and strategies
        • Minimum tick from 1/64 to 1/2 1/64 from ($15.625 to $7.8125)
        • Tick Display Format Type change from 64 to FH
        • Number of Decimals in Displayed Price change from 2 to 3

      The Tick Display Format Type (position 572), Number of Decimals in Displayed Price (position 574) and Strategy Type Code (position 727) can be found in the Instrument Creation (MO) RLC market data message. More information on these fields and their recommended use is included in the CBOT Client Impact Assessment.

      These changes will be available for customer testing in New Release on Tuesday, February 19.

      Events & Announcements

      NEW Presidents' Day Holiday Hours
      The CME Globex holiday hours for Presidents' Day are now available online.

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