• CME Globex Notices: February 2, 2009

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20090202
      • Notice Date
      • 02 February 2009
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      Critical System Updates

      10-Deep Futures Market Data
      Effective Sunday, March 22, 2009 (trade date Monday, March 23), CME Globex will begin a phased implementation of 10-deep books for futures market data via FIX/FAST on the Market Data Platform. Currently, CME Globex supports a maximum 5-deep book. This functionality will be introduced per product complex as follows:

      Sunday, March 22
      CBOT Commodity futures (channel 111)
      CBOT Equity Index futures (channel 113)
      Sunday, March 29
      CBOT Interest Rate futures (channel 115)
      Sunday, April 5
      NYMEX and COMEX futures (channels 30, 31, 32)

      This launch will impact all client systems because all systems must process all 10 levels, even if you choose to display 5-deep order books.

      Also with this launch, the FIX/FAST Security State (tag 35-MsgType=f) message will be enhanced to provide more detailed information on the market state of an instrument.

      The Security Definition (tag 35=d), Market Data Incremental Refresh (tag 35=X) and Security State (tag 35=f) messages will be impacted by this launch. The enhancements and the new templates for the Security Definition (35=d) and Security State (35=f messages will be launched April 19, 2009.

      More details on this launch and the required customer development is available online in the  Client Impact Assessment.

      The 10-deep futures order book will be phased into the New Release environment for customer testing over three weekends:

      Sunday, February 8
      CBOT Commodity futures (channel 111)
      CBOT Equity Index futures (channel 113)
      Sunday, February 22
      CBOT Interest Rate futures (channel 115)
      Sunday, March 1
      NYMEX and COMEX futures (channels 30, 31, 32)

      The enhancements and template changes for the Security Definition (35=d) and Security State (35=f messages will be launched March 8, 2009.

      New Functionality

      Update FX Futures Enhancements
      Effective this Sunday, February 8, 2009 (trade date Monday, February 9), a number of enhancements will be introduced for FX futures and future spreads on CME Globex. The messaging and functionality impacts are documented  online, and have been updated with more information on the addition of milliseconds to time stamps and order quantity for cancel confirmations.

      This launch will also result in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by an average of 40-50%.

      As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 20%.

      Please note: all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders will be deleted from CME Globex prior to the open on February 8. To allow customers a chance to re-enter GTC and GTD orders, the FX futures markets will pre-open early on Sunday, February 8, at 3:00 p.m. Central time.

      We recommend all system providers supporting FX futures test these changes thoroughly in New Release.

      Higher-Order User-Defined Spreads Harmonization
      In Q2 2009, CME Group is scheduled to remove all exchange-defined options spreads. To facilitate the transition to the full user-defined options spreads (UDS) model, beginning Sunday, April 19, 2009, CME Group will harmonize the recognized Higher-Order User-Defined option spread types across all products complexes. All customer-created user-defined spreads (UDS) that match a CME Globex-recognized spread type will be identified as that strategy type in the Security Definition message (tag 35-MsgType=d, tag 762-SecuritySubType), regardless of the product complex.

      Please note: the following exclusions apply:

      • Horizontal and Diagonal spreads (tag 762=HO) will continue as today, because they are defined specifically to their product complex
      • Conditional Curve (tag 762=CC) will only be available for Eurodollar options
      • FX volatility-quoted options will not be affected by this change

      CME Group-recognized option spread types are documented  online.

      The harmonization will be available for testing in New Release on Monday, March 23.

      Product Launches

      NEW Australian Weather Futures
      Effective Sunday, February 22, 2009 (trade date Monday, February 23), Australian Cooling Degree Day (CDD) and Heating Degree Day (HDD) futures will be listed for trading on the CME Globex platform.

      CDD Australian Weather Futures

      Product tag 55-Symbol tag 1151-Security Group
      October November December January February March
      Bankstown, Sidney KO 6TV 6TX 6TZ 6TF 6TG 6TH
      Brisbane Aero 7TV 7TX 7TZ 7TF 7TG 7TH
      Melbourne Regional Office 8TV 8TX 8TZ 8TF 8TG 8TH

      HDD Australian Weather Futures

      Product tag 55-Symbol tag 1151-Security Group
      April May June July August September
      Bankstown, Sidney KO 2FJ 2FK 2FM 2FN 2FQ 2FU
      Brisbane Aero 3FJ 3FK 3FM 3FN 3FQ 3FU
      Melbourne Regional Office 4FJ 4FK 4FM 4FN 4FQ 4FU

      More information on these new weather products and the entire suite of temperature-based instruments is available  online.

      These Australian Weather futures will be available for customer testing in New Release Monday, February 9.

      Product Changes

      30-Day Federal Funds Options Strike Expansion
      Effective this Sunday, February 8, 2009 (trade date Monday, February 9), at customers' requests, all eligible 2009 30-Day Federal Funds option strikes above par (0000) will be listed for trading on CME Globex. Strikes will be generated per the CME rulebook listing rules, i.e., ten ± at the money (ATM) strikes at 6 ¼ basis points (0.0625) intervals, and ten ± ATM strikes at 12 ½ basis points (0.1250) intervals.

      Strikes will be listed following the standard 4-byte format for outrights and 3-byte format for strategies:

      Example 30-Day Federal Funds Options Strikes

      Underlying Future Price tag 107-SecurityDesc
      Option Outright
      tag 107-SecurityDesc
      Option Strategy
      30-Day Federal Funds Interest Rate
      99.4375 OZQMY C9943 OZQ:STMYC943 0.005625
      99.5 OZQMY C9950 OZQ:STMYC950 0.005
      99.5625 OZQMY C9956 OZQ:STMYC956 0.004375
      99.625 OZQMY C9962 OZQ:STMYC962 0.00375
      99.6875 OZQMY C9968 OZQ:STMYC968 0.003125
      99.75 OZQMY C9975 OZQ:STMYC975 0.0025
      99.8125 OZQMY C9981 OZQ:STMYC981 0.001875
      99.875 OZQMY C9987 OZQ:STMYC987 0.00125
      99.9375 OZQMY C9993 OZQ:STMYC993 0.000625
      100 OZQMY C0000 OZQ:STMYC000 0.0
      100.0625 OZQMY C0006 OZQ:STMYC006 -0.000625
      100.125 OZQMY C0012 OZQ:STMYC012 -0.00125
      100.1875 OZQMY C0018 OZQ:STMYC018 -0.001875
      100.25 OZQMY C0025 OZQ:STMYC025 -0.0025
      100.3125 OZQMY C0031 OZQ:STMY C031 -0.003125
      100.375 OZQMY C0037 OZQ:STMYC037 -0.00375

      For additional information, please contact Jeff Kilinski at 312.648.3817, or David Reif at 312.648.3839 in Interest Rate Products.

      Update FX Futures and Options Schedule Change
      Effective this Sunday, February 8, 2009 (trade date Monday, February 9), at customers’ request, the Sunday open for all FX futures, future spreads, options and option strategies on CME Globex will be updated. FX markets will open on Sunday at 5:00 p.m. Central time (CT). Currently, these markets open at 3:00 p.m. CT.

      Treasury Implied Intercommodity Spreads (ICS) Changes
      Due to feedback from the trading community, effective this Sunday, February 8 (trade date Monday, February 9), CME Group will modify the construction and external instrument name for all the implied intercommodity Treasury spreads (ICS). The changes include:

      Ratio Changes
      ICS will be listed with a variable number of contracts for the front leg. Currently, the front leg always consists of 10 contracts. The sum of the legs in a single ICS instrument cannot exceed 40 contracts.

      External Naming Convention Changes
      The external naming convention will contain the actual ratio instead of the decimal representation of the ratio value.

      • Convention Spread, Ratio, Maturity
      • New external name NOB 11-07 H9
        • Current external name: NOB 16666 H9
      • Defined ratio 11:7

      Implied intercommodity spreads (ICS) are an exchange-defined spread type created to address specific trader requirements for flexibility in spread trading different instruments. ICS allow users the opportunity to manage risk using combined components of the Treasury yield curve. ICS functionality offers intercommodity spreading between:

      • Different term Treasury futures contracts
      • Swap futures contracts and Treasury futures contracts

      The new ICS instruments are currently available for testing in New Release.

      NEW Dairy Options Strike Price Changes
      At customer requests, effective Sunday, February 22, 2009 (trade date Monday, February 23), the strike price format in tag 107-SecurityDesc will be modifed to show four bytes for all exchange-defined spreads for Dry Whey options, Class III Milk options, Class IV Milk options, Non-fat Dry Milk options and Cash Butter options. Currently, tag 107 reflects only three byte strike prices for these options strategies.

      Current convention: GNF:VTH9C780 790
      New convention: GNF:VTHC0780 0790

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

      The instruments with updated tag 107 will be available in New Release Monday, February 9.