• CME Globex Notices: February 25, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080225
      • Notice Date
      • 25 February 2008
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes


      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 this 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.

      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 Launches

      NEW NYMEX Emissions Futures
      Effective Sunday, March 16 (trade date Monday, March 17), NYMEX Emissions futures will be listed for trading on the CME Globex platform. With this launch, calendar spreads for all products (Strategy Type Code SP) and strips for NYMEX SO2 Emissions only (Strategy Type Code FS) will also be available.

      CME Globex will be hosting a mock trading session for these products in production on Saturday, March 8. More information will be available next week.

      More details on these new NYMEX products is available from NYMEX Product Marketing at 212.299.2301.

      Product Instrument Group Code Product Code
      Carbon EUA Emissions Euro VO EUA
      Carbon Certified Emission Reduction Euro CCR
      NYMEX SO2 Emissions RSN
      NYMEX Annual NOX Vintage 2009 WWN
      NYMEX Annual NOX Vintage 2010 YPN
      NYMEX Annual NOX Vintage 2011 YQN
      NYMEX Annual NOX Vintage 2012 YRN
      NYMEX Seasonal NOX Vintage 2008 RNN
      NYMEX Seasonal NOX Vintage 2009 YIN
      NYMEX Seasonal NOX Vintage 2010 YJN
      NYMEX Seasonal NOX Vintage 2011 YKN
      NYMEX Seasonal NOX Vintage 2012 YMN

      These new instruments will be available for customer testing in Certification this Monday, March 3; and New Release this Tuesday, March 4.

      Product Changes

      Minimum Tick and Spread Changes For U.S. Treasury Products
      Effective this 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.