CME Globex Notices: February 18, 2008

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.

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.

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 this 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.

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.

Pork Belly Futures Spreads
Effective this 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 this 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 are currently available in New Release for customer testing.

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 are currently available for customer testing in New Release.

Volume Controls for Cancel Messaging
Effective this Sunday, February 24, 2008, to protect all market participants from the negative effects of extraordinary cancel messaging from runaway automated trading systems (ATS), CME Group is implementing volume controls for cancels. If an iLink session exceeds an average of 1000 cancel messages per second (MPS) over a three second window, subsequent messaging will be rejected until the cancel MPS rate falls below the threshold. Normally, cancel messaging from customers does not approach the 1000 MPS threshold.

Implementing this volume control for cancels at 1000 MPS is designed to:

• Support valid trading activity; and,
• Prevent a malfunctioning trading system from impacting the markets.

For more information, please contact the  CME Globex Control Center at 312.456.2391

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