• CME Globex Notices: July 21, 2008

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20070721
      • Notice Date
      • 21 July 2008
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Events and Announcements
      Critical System Updates

      Order Status Enhancements
      CME Group is launching enhancements to both the inbound Order Status Request and outbound Execution Report - Order Status iLink messages. Scheduled to launch Sunday, August 24, 2008, these enhancements will provide more precise and current state information on working orders.

      These enhancements provide:

      • The most current state in the order chain is always reflected in the Execution Report - Order Status Reponse Message
      • Cumulative order quantity reflects the actual quantity in the most current state in the order chain.
      • More precision on the details of the order state.

       Client Impact Assesment is now available with detailed information. CME Group strongly recommends all front-end trading systems completely test the enhanced order status messaging in New Release, available now.

      New Functionality

      NEW Implied Functionality Enhancements
      In Q4 2008, CME Group is scheduled to launch enhancements to the implied functionality on CME Globex. This launch will also include new implied intercommodity spreads for Treasury futures.

      With this launch, Eurodollar Pack Spreads, including Pack Butterflies, will support implied functionality for the first 10 years listed.

      Customers and system providers are not required to certify for these enhancements; however, CME Group encourages all system providers to complete testing with these new instruments and functionality in the New Release environment starting September 11.

       Client Impact Assesment is now available with detailed information.

      Product Launches

      New Weather Futures on CME Globex
      Effective this 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 are currently available for customer testing in New Release and Certification.

      Options on E-mini S&P® SmallCap 600® Futures
      Effective this 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 are available for customer testing in Certification and New Release.

      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 are now available for customer testing in New Release.

      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

      NEW Japanese Yen Options Strike Range Changes
      Effective this Sunday, July 27, (trade date Monday, July 28), the strike listing rules for American-style options on Japanese Yen futures on the CME Globex platform will change as follows:

      Japanese Yen Options Strike Listing Rules

      American-style FX Options Product Code Current Strike Listing Rules New Strike Listing Rules
      Japanese Yen 6J ATM ± 12 ATM ± 30
      Weekly Japanese Yen 6J1-5

      NEW Maximum Order Quantity Changes for Legacy CBOT Commodity Products
      Effective Sunday, August 3, 2008 (trade date Monday, August 4), the maximum order quantity will be increased for the following legacy CBOT commodity futures and options:

      Maximum Order Quantity for Legacy CBOT Commodities

      Product Instrument Group Code Product Code Current Maximum Order Quantity New Maximum Order Quantity
      Outrights Spreads Outrights Strategies
      Ethanol Futures EH 49,999 1,000 2,500
      Corn Futures ZC
      South American Soybean Futures ZK
      Soybean Oil Futures ZL
      Soybean Meal Futures ZM
      Oats Futures ZO
      Rough Rice Futures ZR
      Soybean Futures ZS
      Wheat Futures ZW
      E-mini Corn Futures XC
      E-mini Soybean Futures XK
      E-mini Wheat Futures XW
      Ethanol Options 5X OEH 49,999 9,999
      Corn Options OC OZC
      Soybean Oil Options 0O (zero-oh) OZL
      Soybean Meal Options ML OZM
      Oats Options OO OZO
      Rough Rice Options RR OZR
      Soybean Options SQ OZS
      Wheat Options OW OZW

      Please note: the intercommodity spreads for legacy CBOT commodity futures will also reflect these new Maximum Order Quantity limits. The Maximum Order Quantity for each instrument can be found in tag 1140-MaxTradeVol, in the FIX/FAST Security Definition message (tag 35-MsgType=d).

      These changes will be available for customer testing in New Release this Monday, July 28.

      NEW Israeli Shekel Calendar Spreads Algorithm Change
      To align the FX futures calendar spreads matching behavior, the allocation algorithm for the Israeli Shekel calendars will be changed from FIFO (F) to Currency Calendars (C). With this change, all FX futures calendar spreads will use C.

      This change will go into effect in all CME Globex environments Sunday, August 3 (trade date Monday, August 4).

      The allocation algorithm is defined in FIX tag 1142-MatchAlgorithm, in the FIX/FAST Security Definition message (35=d).

      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 and the new 12-month futures strips are currently available in New Release for customer testing.

      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 55-Symbol; and in the Instrument Creation (MO) RLC-format message at position 70.

      These changes are now available for customer testing in New Release.

      Events & Announcements

      FIX/FAST Migration & the Elimination of RLC Format
      Customers must complete their migration to FIX/FAST from the legacy RLC format market data by October 17, 2008.

      The mandatory certification for FIX/FAST can be completed through AutoCert+ in New Release. More information is available in the  AutoCert+ User Guide. FIX/FAST is currently available for customer testing in the New Release and Certification environments.

      After October 17, support surcharges will be assessed for each site still receiving RLC format market data:

      • $2,000 per week in October
      • $4,000 per week in November
      • $6,000 per week in December

      The legacy RLC format market data will be eliminated no later than the end of December 2008. The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and reference code, is available  online.

      On Sunday, October 14, 2007, CME Group launched the new FIX/FAST market data format on the CME Globex platform. FIX/FAST is the basis of a new industry standard for market data and improves bandwidth scalability. The new format is based on FIX and FAST protocols for increased efficiency. FIX provides the core message structure and syntax while the FAST protocol increases optimization.