• CME Globex Notices: June 9, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080609
      • Notice Date
      • 09 June 2008
    • Topics in this issue include:
      Product Launches
      Product Changes
      Events and Announcements


      Product Launches

      Frost Index and Seasonal Frost Index Futures Launch
      Effective Sunday, June 22, 2008 (for trade date Monday, June 23), Frost Index and Seasonal Frost Index futures will be re-launched on the CME Globex platform. These futures will use the CME Globex product codes previously assigned to the old Frost Index and Seasonal Frost Index futures: FZ for Frost Index and FZX for Seasonal Frost Index.

      More information on these futures is available  online.

      These futures will be available for customer testing in New Release and Certification on Monday, June 16.

      NYMEX LCH ECM & MTF Products on CME Globex
      As previously announced, this summer NYMEX and LCH.Clearnet are launching a broad range of global energy products for trading on the CME Globex platform. NYMEX is offering a new and distinct slate of OTC and futures products for clearing through LCH.Clearnet through two new exchanges: NYMEX ECM and NYMEX MTF. The initial slate will encompass the global benchmark oil contracts, including WTI, Brent and Gasoil, as well as key natural gas and electricity contracts. These new products will be cleared by LCH.Clearnet using existing and widely distributed clearing technology, thus optimizing operational efficiencies for market participants.

      This historic alliance will deliver improved capital and operational efficiencies through wider execution capabilities, broader credit intermediation and margining benefits for customers and market participants.

      More information on the arrangement and benefits for market participants is available at  www.nymexonlchclearnet.com.

      Please note: the NYMEX ECM contracts require development to support trading of these unique products. Detailed development information is available in the  NYMEX ECM and NYMEX MTF Products on CME Globex Client Impact Assessment. The complete lists of new products are available in the  NYMEX ECM Snapshot and  NYMEX MTF Snapshot.

      These products are currently available for customer testing in the New Release environment. A mock trading session will be held Saturday, June 28. More information will be available soon.

      Product Changes

      Class III Milk Options Strike Listing Change
      Effective this Sunday, June 15 (trade date Monday, June 16), the strike listing range for options on Class III Milk futures will change on CME Globex:

      Class III Milk Options Strike Listings

      Product Product Code Strike Interval Current Listings New Listings
      Class III Milk options DC $0.25 ATM ± 16 ATM ± 24

      These options, with the expanded strike listing range, are now available in New Release for customer testing.

      Updated! Security Description Naming Convention Change for Binary Options Strategies on Target Federal Funds Rate Futures
      The change to the Security Description naming convention for strategies on the Binary options on Target Federal Funds Rate futures, previously scheduled for Sunday, June 1 in all customer-facing environments, has been postponed. Further information, including the new launch date, will be communicated in the CME Globex Notices. These exchange-defined strategies will remain unavailable until this change is implemented. Customers may create and trade any strategies required using the CME Globex User-Defined Spreads functionality.

      With this change, the Security Description naming convention for strategies on the Binary Options on Target Federal Funds Rate futures will change to use the left-most three bytes for strike price. The Security Description currently uses the right-most three bytes for the strike price. This change will ensure unique Security Descriptions can be maintained regardless of market movement. There is no impact on option outrights; this change only affects the exchange-defined options strategies.

      For example, currently the Security Description for a Christmas Tree strategy, with leg strike prices of 6000, 6125 and 6250, is BUS:XTU8C000 125 250. With this change, the Security Description for the same strategy will be BUS:XTU8C600 612 625.

      This change will affect the iLink and FIX/FAST tag 107-SecurityDesc; and the RLC Instrument Creation (MO) message position 72-91, Complete Instrument Code.

      Please note, CME Group strongly recommends customers do not parse the Security Description. Complete instrument information for all products is available in the FIX/FAST Security Definition (tag 35-MsgType=d) and RLC MO messages.

      Matching Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures
      In response to customer feedback and in the interest of the market, CME Group will revise the Split FIFO/Pro Rata (K) allocation algorithm for selected CBOT markets. With this change, the pro rata allocation matching behavior will more closely follow the behavior of that on e-cbot by allocating a quantity of one contract to orders that have an allocation value of less than one (the amount calculated to allocate). The revised K algorithm will also be applied to additional products, as detailed below. Previously, the K algorithm was only applied to the 2-Year U.S. Treasury Note futures.

      The Split FIFO/Pro Rata algorithm assigns TOP priority to an order that
      • betters the market, and
      • meets the minimum volume threshold.
      The Split FIFO/Pro Rata algorithm also establishes a volume cap that limits the quantity a priority order can receive.
      Allocation Sequence
      1. TOP Order percentage Allocation (with Minimum/Maximum)
      2. LMM
      3. Remaining quantity split - X% FIFO, X% Pro Rata (fields must sum to 100%)
        1. X% FIFO (based on remaining quantity * FIFO %)
        2. Pro Rata with Min (based on remaining quantity * Pro Rata %)
      4. Pro Rata Leveling (new allocation)
      5. Timestamp Priority (any remainder from Pro Rata)
      If a product does not have any registered LMMs, the LMM allocation is skipped. The FIFO percentage in the third allocation may be set to zero, which will result in a 100% Pro Rata with Min allocation. Only the 2-Year Treasury Note futures have a FIFO allocation at the third step.
      The new Pro Rata Leveling component within the K algorithm will also be applied to other products on the following schedule:
      June 22
      • Fed Funds futures, legs and spreads
      More information on this algorithm, including allocation examples, is available in the  CBOT Merger Client Impact Assessment.
      Customers can determine the matching algorithm assigned to each product from FIX tag 1142-Match Algorithm, in the FIX/FAST Security Definition (tag 35=d) market data message.

      Dow ($10) and E-mini Dow ($5) Options and Strategies Enhancements
      Effective Sunday, June 22, 2008 (for trade date Monday, June 23), the strike listing ranges for options on Dow ($10) and E-mini Dow ($5) futures will be changed on CME Globex:

      Dow & E-mini Dow Options Strike Listings

      Product Product Code Strike Interval Current Listings New Listings
      Dow ($10) options ZD 50 points ATM ± 20%
      100 points ATM ± 20 ATM ± 50%
      200 points ATM ± 10
      E-mini Dow ($5) options YM 50 points ATM ± 20%
      100 points ATM ± 20 ATM ± 50%
      200 points ATM ± 10

      In addition, with this launch, the following exchange-defined options strategies will be no longer be listed:

      • 1x2 Ratio (Strategy Type Code 12)
      • Box (BX)
      • Condor (CO)
      • Doubles (DB)
      • Iron Condor (IC)
      • Risk Reversals (RR)
      • Xmas Trees (XT)

      Customers interested in trading these or any other types of strategies can create them via the User-Defined Spreads (UDS) functionality. More information on UDS is available in the  iLink Software Development Kit.

      These changes will be available for customer testing in New Release this Monday, June 16.

      30-Day Fed Funds Futures and Options Enhancements
      Beginning Sunday, August 3, 2008 (trade date Monday, August 4) the following changes will be applied to the 30-Day Fed Funds futures, options and spreads:

      • The expiring, front month of the 30-Day Fed Funds futures contract will trade in 1/4 basis points. Currently, all Fed Funds futures trade in 1/2 basis point increments. With this change, the front Fed Funds future will always trade in 1/4 tick increments beginning the first Sunday within the expiration month. Implied functionality will not be available on the 1/4 tick front month outrights and spreads.
      • The price display format for the Fed Funds futures and options will be changed to match the current Eurodollar price display convention. With this change, the CME Globex minimum tick for the expiring, front month future, underlying options and spreads will display 0.25. All other months will display the minimum tick 0.50. Currently, the 30-Day Fed Funds price displays use a single decimal (i.e., minimum tick is 2.5 or 5).
      • 12-month futures strips will be listed for trading on the CME Globex platform.

      All these changes will be available in New Release for customer testing on Monday, July 21.

      NEW Interest Rate Futures Group Code Consolidation
      Effective Sunday, August 3 (trade date Monday, August 4), the Instrument Group Codes for the following Interest Rate futures will be changed:

      Interest Rate Futures & Spreads Group Code Changes

      Product Product Code Current Instrument
      Group Code
      New Instrument
      Group Code
      30-Year U.S. Treasury Bond ZB ZB ZB
      10-Year U.S. Treasury Note ZN ZN
      5-Year U.S. Treasury Note ZF ZF
      2-Year U.S. Treasury Note ZT ZT
      30-Year U.S. Interest Rate Swap I3 I3
      10-Year U.S. Interest Rate Swap SR SR
      5-Year U.S. Interest Rate Swap SA SA

      The Instrument Group Code can be found in the Security Definition (tag 35-MsgType=d) FIX/FAST message, tag 1151-SecurityGroup; and in the Instrument Creation (MO) RLC-format message at position 70.

      These changes will be available for customer testing in New Release Monday, June 30.

      Events & Announcements

      Coming Soon: 100Mbps Connectivity!
      CME Group is introducing 100Mbps connectivity options for the CME DIRECTLink, LNet and Jackson Direct solutions.

      Customers in Chicago may submit orders now for 100Mbps connectivity via a Schedule 2 for a new site, or Schedule 5 to upgrade an existing site, submitted to your CME Globex Account Manager. LNet, Jackson Direct and CME DIRECTLink in Chicago will support 100Mbps connections beginning in mid-July. New York and New Jersey areas will be available in mid-summer; CME Group will announce availability in the CME Globex Notices. All of the CME Globex Hubs already support 100Mbps connectivity.

      All LNet, Jackson Direct and CME DIRECTLink 100Mbps connectivity is priced at $8,000 per redundant connection per month. More information is available in Schedule 1.

      All the Schedules to the CME Globex Connection Agreement are available at  www.cmegroup.com/connectionagreement.

      More information on the new 100Mbps connectivity, and reports and forecast of CME Globex bandwidth utilization for FIX/FAST-, ITC- and the legacy RLC-format market data is available in the latest  CME Group Customer Forum presentation.

      CME Globex Disaster Recovery Program
      CME Group is committed to the protection of its members, employees and stakeholders and has a long history of successfully managing risk. In keeping with those traditions, CME Group has a comprehensive business continuity program in place.

      CME Group offers two programs for business continuity testing: CME Globex DR Connectivity testing and Simulated CME Globex DR testing.

      The CME Globex DR Connectivity testing, conducted monthly, is designed to ensure that customers can establish a connection to the DR environment in case of an emergency. Customers are required to register in advance to participate  online. Disaster Recovery IPs and ports have been distributed by your CME Globex Account Manager.

      Complete information on the CME Group business continuity program and the CME Globex DR Connectivity testing, including testing session dates, is available  online. CME Group encourages all directly connected customers review the  DR Client Impact Assessment.

      NEW Fourth of July Holiday Calendar
      The CME Globex holiday calendar for the Fourth of July holiday is now available  online.

      Please note that many markets will be open for trading on Friday, July 4. CME Globex will show a trade date of July 4, but any trades executed between the open on Thursday afternoon and the close on Friday will be cleared on the following Monday, July 7.

      CME Globex Trader Decommission
      As a reminder, CME Globex Trader will be decommissioned at end of day Friday, June 27. Customers will no longer be able to trade or view markets via CME Globex Trader after the close on Friday, June 27. Monthly charges will automatically discontinue.

      If you have questions, please contact your CME Globex Account Manager at 312.634.8700; or at +44.20.7796.7100 in Europe or +852.3101.7696 in Asia.

      Earlier Sunday Security Definition and MO Messages
      Effective Sunday, July 13, in all customer-facing environments, the weekly FIX/FAST Security Definition (FIX tag 35-MsgType=d) and RLC Instrument Creation (MO) message broadcasts will go out one hour earlier at 11:00 a.m. Central time (CT). Currently, these messages go out every Sunday at 12:00 p.m. CT.