CME Globex Notices: August 17, 2009

New Market Data Channel for OneChicago Single Stock Futures
Effective Sunday, October 4, 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, channel ID 17.

This change only affects the FIX/FAST market data messages currently available on CME Globex (i.e., Security Definition, Security Status and settlement prices). All other market data information (i.e., prices) is available only directly from OneChicago.

Port and multicast addresses for the new Market Data Platform channel will be available in the config.xml file on  ftp.cmegroup.com, as outlined in the  Core Functionality module of the FIX/FAST SDK.

SSF market data in New Release is available on the new channel now for customer testing.

iLink tag 48-SecurityID Change
Effective Sunday, October 11, 2009, FIX tag 48-SecurityID in iLink messages will be changed to match the current format of tag 48-SecurityID in the FIX/FAST market data messages.

This harmonization of tag 48-SecurityID will provide customers a key for linking FIX/FAST and iLink messaging for a particular instrument.

With this launch, CME Globex will always send the new format for tag 48 in iLink, even if customer systems submit the old format. For instance, if the customer submits a new order with tag 48=CME009606070, CME Globex will respond with tag 48=960607

The tag 48 harmonization will be available for customer testing in New Release Monday, August 31.

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.

November 1

Horizontals (HO) UDS will be harmonized so all product complexes have the same construction:

• Buy deferred front leg with strike 1
• Sell near back leg with strike 1

This will be a change for Equity, Commodity, NYMEX and COMEX options markets, and the pricing will be reversed from the current convention in these markets. With this change, all existing horizontal UDS in the Equity, Commodity, NYMEX and COMEX options markets will be removed.

Diagonal (DG) UDS will be added as a recognized UDS spread type in all CME Globex options markets:

• Buy deferred front leg with strike 1
• Sell near back leg with strike 2

The horizontal harmonization and the new diagonal recognized UDS spread type will be available for customer testing in New Release Monday, October 5.

CMEG will add the following recognized UDS spread types:

• Jelly Roll
• Iron Butterfly
• Guts
• 3-way
• Straddle vs. Call
• 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

These new recognized spread types are 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

Energy Inter-Exchange Spreads on CME Globex
Effective Sunday, November 15, 2009, four NYMEX-DME implied inter-exchange spreads will be listed for trading on CME Globex.

Inter-exchange spreads are implied futures spreads in which the two legs originate from different exchanges. They consist of buying the front leg (exchange A) and selling the back leg (exchange B), with both legs having the same maturity. For inter-exchange spreads, tag 762-SecuritySubType will be set to IS. Inter-exchange spreads are implied IN and OUT, from the individual legs IN to the inter-exchange spread or conversely from the inter-exchange spread OUT to the respective future outrights. These will be the first inter-exchange spreads listed on CME Globex.

This launch will impact all customers receiving FIX/FAST market data, even if you do not plan on supporting the new spreads. There will be a new FIX/FAST template for the Market Data Incremental Refresh (tag 35-MsgType=X) message for this launch.

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

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%.

Details on the CBOT Equity futures enhancements mock trading session are now available  online.

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.

European Gasoil (ICE) Futures
Effective this Sunday, August 23 (trade date Monday, August 24), European Gasoil futures and calendar spreads will launch on CME Globex.

These new products will have tag 55-Symbol=CL and tag 1151-SecurityGroup=GLI (eye).

European Gasoil contracts will allow CME Group customers to gain margin and capital efficiencies by hedging their risk to both European gasoil and Brent crude oil futures, along with the benchmark WTI and heating oil futures, on a single exchange. These futures, in combination with CME Group's suite of Brent crude oil and gasoil contracts, are designed to lower the capital costs of hedging through increased efficiencies.

European Gasoil futures and calendar spreads are currently available for customer testing in New Release.

Weekly S&P 500 Options
Effective this 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 are currently available for customer testing in New Release.

Request for Cross Eligibility for NYMEX and COMEX Options
The change to make all NYMEX and COMEX options listed on CME Globex eligible for Cross order submission using the Request for Cross (RFC) functionality, originally scheduled for Sunday, August 16, has been postponed. The new effective date for this change will be announced via the Market Regulation and CME Globex Notices.

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. For more information please review the Cross Order section of the  Options module of the iLink SDK.

These products with RFC eligibility are currently available for customer testing in New Release. 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.

 Wheat Calendar Spreads Match Algorithm Change
Effective Sunday, August 30 (trade date Monday, August 31), the match algorithm for the Wheat futures calendar spreads (tag 1151-SecurityGroup=ZW), will be changed to Threshold Pro-Rata (O). Currently, the match algorithm for Wheat calendars is Split FIFO/Pro-Rata (K).

The match algorithm applied to each instrument is identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm. Descriptions of each algorithm currently in use on CME Globex are available  online.

Wheat calender spreads with the O match algorithm will be available for customer testing in New Release this Monday, August 24.

 30-Day Federal Funds Options Strike Price Changes
Effective Sunday, September 20 (trade date Monday, September 21), at customers' requests, the strike price format for 30-Day Federal Funds options on futures will be changed in FIX/FAST market data messages.

• Example current format: 99750.0
• Example new format: 9975.00

This change will have no impact on ITC format market data messages or the format of tag 107-SecurityDesc.

The strike price can be found in the Security Definition message (tag 35-MsgType=d), tag 202-StrikePrice.

30-Day Federal Funds options with the new strike price format will be available for customer testing in New Release Monday, August 31.

 Gold Options Listing Changes
Effective Sunday, September 20 (trade date Monday, September 21), the listing rules for Gold options on futures (tag 1151-SecurityGroup=OG) will be modified to allow additional strike prices in the first six months.

With this change, the nearby six months maturities will list ATM ± 20. Currently, all maturities list ATM ± 6. The rest of the maturities will continue to list ATM ± 6.

This change will be available in New Release for customer testing Monday, August 31.

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.