• CME Globex Notices: June 23, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080623
      • Notice Date
      • 23 June 2008
    • Topics in this issue include:
      Product Launches
      Product Changes
      Events and Announcements


      Product Launches

      New Weather Futures on CME Globex
      Effective Sunday, July 27 (trade date Monday, July 28), the following Heating Degree Days (HDD), Cooling Degree Days (CDD) and Cumulative Average Temperature (CAT) Weather futures, weeklies and strips will be listed for trading on the CME Globex platform:

      Weather Futures on CME Globex

      Product Instrument Group Code Product Code
      HDD Colorado Springs Futures H5 V3
      HDD Jacksonville Futures VF
      HDD Little Rock Futures VG
      HDD LA USC Campus Futures VH
      HDD Raleigh Durham Futures VK
      HDD Washington Reagan Futures VU
      HDD Oslow-Blindern Futures D0 (d-zero) D6
      CDD Colorado Springs Futures K5 A3
      CDD Jacksonville Futures A0 (a-zero)
      CDD Little Rock Futures AT
      CDD LA USC Campus Futures AH
      CDD Raleigh Durham Futures AK
      CDD Washington Reagan Futures AU
      CAT Oslow-Blindern Futures G0 (g-zero) HL

      Weekly Weather Futures on CME Globex

      Product Instrument Group Code Product Code
      Colorado Springs Weekly Futures H0 (h-zero) V31-5
      Jacksonville Weekly Futures VF1-5
      Little Rock Weekly Futures VG1-5
      LA USC Campus Weekly Futures VH1-5
      Raleigh Durham Weekly Futures VK1-5
      Washington Reagan Weekly Futures VU1-5

      In addition, with this launch the following Weather seasonal strips will be available:

      Weather Seasonal Strips on CME Globex

      Product Instrument Group Code Starting October Starting November Starting December Starting January Starting February Starting March
      HDD Colorado Springs Strips H5 V3V V3X V3Z V3F V3G V3H
      HDD Jacksonville Strips VFV VFX VFZ VFF VFG VFH
      HDD Little Rock Strips VGV VGX VGZ VGF VGG VGH
      HDD Raleigh Durham Strips VKV VKX VKZ VKF VKG VKH
      HDD Washington Reagan Strips VUV VUX VUZ VUF VUG VUH
      HDD Oslow-Blindern Strips D0 (d-zero) D6V D6X D6Z D6F D6G D6H
      CDD Colorado Springs Strips K5 A3J A3K A3M A3N A3Q A3U
      CDD Jacksonville Strips A0J A0K A0M A0N A0Q A0U
      CDD Little Rock Strips ATJ ATK ATM ATN ATQ ATU
      CDD Raleigh Durham Strips AKJ AKK AKM AKN AKQ AKU
      CDD Washington Reagan Strips AUJ AUK AUM AUN AUQ AUU
      CAT Oslow-Blindern Strips G0 (g-zero) HLJ HLK HLM HLN HLQ HLU

      These new Weather futures, weeklies and strips will be available for customer testing in New Release and Certification on Monday, July 14.

      Options on E-mini S&P® SmallCap 600® Futures
      Effective Sunday, July 27, 2008 (for trade date Monday, July 28), options on the E-mini S&P SmallCap 600 futures will launch on CME Globex. Full User-Defined Spreads (UDS) functionality will be available upon launch; in addition, the following exchange-defined strategies will be listed.

      E-mini S&P SmallCap 600 Options

      Product Instrument Group Code Product Code Strategy Type Code
      E-mini S&P SmallCap 600 Option Outrights 7S SMC
      E-mini S&P SmallCap 600 Option Straddles 7P ST
      E-mini S&P SmallCap 600 Option Strangles SG
      E-mini S&P SmallCap 600 Verticals VT
      E-mini S&P SmallCap 600 Horizontals HO
      E-mini S&P SmallCap 600 Butterflies BO

      These options and strategies will be available for customer testing in Certification and New Release on Monday, July 14.

      Options on Eurodollar Futures Calendar Spreads
      Effective Sunday, August 17, 2008 (trade date Monday, August 18), CME Group is launching options on Eurodollar futures calendar spreads. Both outright options and straddles will be available on CME Globex for trading, as well as full User-Defined Spreads (UDS) functionality.

      Eurodollar calendar spread options are designed to help market participants better manage risk exposures specifically tied to the slope of the Eurodollar rate curve. Call options will be exercisable into one long nearby Eurodollar futures contract and one short deferred Eurodollar futures contract, for example June 2008 (long) and June 2009 (short). Put options will be exercisable into a short nearby Eurodollar future and a long deferred one.

      These options will be listed with the futures calendar spread as the indicated underlying. There will not be a synthetic future listed, as is the current practice for the NYMEX complex options on CME Globex. These options will support zero and negative strike prices.

      Eurodollar Calendar Spread Options

      Product Instrument Group Code Product Code Strategy Type Code
      Eurodollar Calendar Spread Options 8I (8-eye) SPO
      Eurodollar Calendar Spread Option Straddles 8G ST

      These options and strategies will be available for customer testing in New Release on Monday, July 21.

      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. The mock trading session previously scheduled for June 28 has been cancelled. End-to-end testing to the LCH Clearing House is available in the New Release environment for configured customers. Please contact  CSET at 312.930.2322 or your  CME Globex Account Manager at 312.634.8700 to be configured.

      Product Changes

      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, will occur this Sunday, June 29. Customers may continue to 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.

      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.

      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.

      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 this 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.

      All Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders submitted via CME Globex Trader will be cancelled at end of day Friday, June 27. Customers can re-submit GTC/GTD orders via iLink at Sunday start-up.

      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.