• CME Globex Notices: March 3, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080303
      • Notice Date
      • 03 March 2008
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      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 have been decommissioned in New Release.

      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 this 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. The mock trading session  Plan and  Script are now available online.

      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 are currently available for customer testing in New Release and in Certification this Monday, March 10.

      Events & Announcements

      Daylight Saving Time Change
      Pursuant to the Energy Policy Act of 2005, Daylight Saving Time begins effective this Sunday, March 9, 2008.

      CME Globex will continue to observe Daylight Saving Time and the new schedule. For next week only for RLC-format messages, there is an issue with the timestamp in the Market Data Platform message headers. More information is available  online.

      Time-dependent front-end trading applications may be affected by this change. Please contact your front-end system provider for more information before March 9, 2008.

      CME Group is the trademark of CME Group, Inc. The Globe logo, Globex® and CME® are trademarks of Chicago Mercantile Exchange, Inc. CBOT® is the trademark of the Board of Trade and the City of Chicago.

      Copyright © 2008 CME Group. All rights reserved.