CME Globex Notices: July 27, 2009

 FIX/FAST Enhancements Update
CME Group has identified the cause of the price formatting issues in the new Theoretical Settlement Data Block in the Market Data Incremental Refresh messages (tag 35-MsgType=X); we have also confirmed that the issue is limited to the theoretical settlement prices.

Therefore, effective this Sunday, August 2, 2009 (trade date Monday, August 3), the Theoretical Settlement Data Block will no longer be published on any FIX/FAST channel. This information will continue to be available via ITC2.1 messaging. The new implementation date for this data block will be announced via the CME Globex and Market Data Notices.

In addition, with this change all the new data blocks except Theoretical Settlement will be published again on the following channels.

• Channel 111 CBOT Commodity Futures
• Channel 112 CBOT Commodity Options
• Channel 115 CBOT Interest Rate Futures
• Channel 116 CBOT Interest Rate Options
• Channel 118 MGEX Futures
• Channel 119 MGEX Options
• Channel 120 KCBT Futures
• Channel 121 KCBT Options

As a reminder, the new data blocks are:

• Theoretical Settlement Data Block
• Open Interest Data Block
• Cleared Volume Data Block
• Fixing Price Data Block

There are no template changes required for this rollback.

More information on these changes to the Incremental Refresh messages, and the elimination of ITC 2.1, is available  online.

 New Market Data Channel for OneChicago Single Stock Futures
Effective this Monday, August 3, in the New Release testing environment, FIX/FAST market data for all OneChicago Single Stock Futures (SSF) listed on CME Globex will be available on a new Market Data Platform channel. The channel information is detailed below.

 iLink Infrastructure Changes and Performance Enhancements
CME Group is implementing an iLink infrastructure upgrade to the CME Globex electronic trading platform that will result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to ultimately reduce average round trip times by 10%. As a result, bandwidth utilization is expected to increase by as much as 10%. This upgrade is designed to enhance our liquid, efficient and competitive marketplace for participants worldwide.

To reduce market risk, the upgrades will be phased in from July 12 through August 16.

Please contact your  CME Globex Account Manager with any questions; or the CME Globex Control Center at 312.456.2391.

Elimination of Exchange-Defined Options Strategies on CME Globex
To allow more time for trader education and systems’ readiness, CME Group has postponed the planned delisting of all options EDS until November 1, 2009.

CMEG currently prelists approximately 360,000 options spreads per week, known as Exchange-Defined Spreads (EDS). Less than 1% of the more than 360,000 EDS have activity. Due to customer and system provider demand, CMEG has chosen to remove all EDS and make all option strategies user defined. A User-Defined Spread (UDS) is an option spread that a trader creates by defining the spread's legs and ratios. CME Globex receives these legs and creates a tradable instrument that is disseminated to the entire market. If the created spread matches a known CMEG spread type (e.g., straddle), CME Globex will properly identify the spread as that type.

On November 1:

• CMEG will add the following recognized UDS spread types: Jelly Roll, Iron Butterfly, Guts, 3-way Straddle vs. Call, and 3-way Straddle vs. Put
• CMEG will no longer pre-list any options spreads. Existing EDS will be removed, and no new EDS will be added. All option spreads must be created by traders using their trading software’s UDS functionality.
• All system providers that support option spreads must have developed to the UDS functionality properly identifying UDS' that match CMEG recognized spread types
• Currently available in New Release

The following resources are available for UDS functionality:

•  Client impact assessment – detailed UDS development information
•  iLink order entry UDS specifications (Section 6, p. 40)
•  FIX/FAST market data UDS impact – development information for options market data
• A list of all CMEG recognized spread types in  Electronic Trading Concepts

Equity Futures Enhancements
In the second half of 2009, a number of enhancements will be introduced for CME and CBOT Equity futures and future spreads on CME Globex.

This launch will also result in reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce response times by 20 - 40% for CBOT Equity futures, and 40-50% for CME Equity futures.

Please note: as a result of the reduced message response times, bandwidth utilization in these futures markets may ultimately increase by as much as 20%.

The messaging and functionality impacts are documented online in the   Client Impact Assessment.

Please note: all Equity Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders will be deleted from CME Globex prior to the open on launch weekend.

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

Implied Intercommodity Soybean Crush Future Spread
Effective this Sunday, August 2 (trade date Monday, August 3), implied intercommodity Soybean Crush futures spreads will be listed for trading on CME Globex.

Implied intercommodity spreads are an exchange-defined spread type created to address specific trader requirements for flexibility in spread trading different instruments. Soybean Crush spreads allow traders to better manage risk using combined components of the Soybean, Soybean oil and Soybean meal markets in a single instrument. The spread is constructed as follows:

• First leg: 11 Soy Meal futures contracts
• Second leg: 9 Soy Oil futures contracts
• Third leg: 10 Soy Bean futures contracts

The spread price will be anchored to the current market price of the Soy Meal futures and will be calculated: (leg 1 * 0.22) + (leg 2 * 0.11) - leg 3.

The implied Soybean Crush spreads will use the new value SI (ess-eye) in tag 762-SecuritySubType and will be listed with tag 1151-SecurityGroup=SOM and tag 55-Symbol=ZS.

Soybean Crush spreads are currently available for customer testing in New Release.

Weekly S&P 500 Options
Effective Sunday, August 23 (trade date Monday, August 24), S&P 500 and E-mini S&P 500 weekly options will launch on CME Globex. They will be listed with full User-Defined Spreads (UDS) functionality.

Weekly options on the standard and E-mini S&P 500 futures contracts will expire European-style on the first and second Friday of each month. The new product will complete the suite of S&P 500 options products that include end of month, serial and quarterly expiration cycles. Expanding the number of expirations is designed to provide more trading opportunities and increased flexibility for more efficient position management.

These new options will be available for customer testing Monday, August 10.

Implied Functionality Changes for Energy Futures
Effective this Sunday, August 2, 2009, implied functionality for all energy futures contracts in the CL group (tag 55-Symbol=CL) will be available for the first 12 months only. Currently, implied functionality for these products is supported for the first 24 months.

The following products are listed in the CL group:

• Brent Crude Oil Last Day (tag 1151-SecurityGroup=BZ)
• Crude Oil (CL)
• Heating Oil (HO)
• Gulf Coast Gasoline (LR)
• Gulf Coast ULS Diesel (LU)
• NY Harbor ULS Diesel (LH)
• NYMEX Ethanol (QEN)
• RBOB (RB)
• Russian Export Blend Crude Oil (REBCO) (RE)

Each implied instrument listed on CME Globex is identified in the Security Definition (tag 35-MsgType=d) message in tag 1144-ImpliedMarketIndicator=3.

This change is currently available for customer testing in New Release.

 Request for Cross Eligibility for NYMEX and COMEX Options
Effective Sunday, August 16, 2009 (trade date Monday, August 17), all NYMEX and COMEX options listed on CME Globex will become eligible for Cross order submission using the Request for Cross (RFC) funtionality. RFC requires the submission of the New Order Cross (FIX tag 35-MsgType=s) message for a Cross trade.

In addition to the technical requirements, the regulatory requirements and process will be implemented. More information is available in the  Regulatory Advisory.

Cross order eligibility is defined in positions 789, RFC Eligible Flag, and 800, RFQ for Cross Eligible Flag. For more information please review the Cross Order section of the  Options module of the iLink SDK.

These products with RFC eligibility will be available for customer testing in New Release this Monday, August 3. Customer applications are required to certify for the New Order Cross message before submitting cross orders in production. Please contact your trading application provider for more information.

Minimum Tick Increase for 30-Year U.S. Treasury Bond Futures
Effective Sunday, August 30, the minimum trading tick for 30-Year U.S. Treasury Bond futures will be increased from the current 1/2 of 1/32nd to a full 1/32nd.

This change only affects the outright futures. There is no change to the minimum trading tick for the futures spreads.

Increasing the tick size is designed to broaden participation from active traders who provide much-needed liquidity to this important sector of the Treasury market. For more information about the tick size change, please visit  www.cmegroup.com/ir.

These futures with the new tick increment are currently available for customer testing in New Release.

 CME Globex Disaster Recovery Connectivity Testing
Saturday, August 8, is the monthly CME Globex DR Connectivity test. The testing 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 Overview.

Twice a year, CME Group offers Simulated CME Globex DR testing and the next such test is scheduled for Saturday, September 19.

The Simulated CME Globex DR testing is designed to ensure that customers can successfully failover to the DR environment, send orders and fallback to the production environment in case of an emergency. For more detailed information on the Simulated CME Globex DR testing, please contact your  CME Globex Account Manager.

Drop Copy Charges Begin October 1
When CME Group introduced Drop Copy functionality in April 2008, we stated we would begin charging for it in the second half of 2009. Consistent with that plan, effective Thursday, October 1, 2009, CME Group will begin charging for the Drop Copy groups used to logically combine the drop copy data feed for related iLink source sessions.

The first Drop Copy group per legal entity with an executed CME Customer Connection Agreement will be free. Each additional Drop Copy group will cost $500.00 per month. Since Drop Copy customers dictate the number of Drop Copy groups they require, each firm can manage its own costs for the service. There is no limit to the number of iLink source session IDs that a firm can combine in a single Drop Copy group.

This pricing structure is designed to partially subsidize the costs of this important risk management service, while ensuring all clearing firms can utilize Drop Copy for risk management best practices.

For more information, including an FAQ and client overview, please visit  www.cmegroup.com/dropcopy.