CME Globex Notices: August 3, 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.

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 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.

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

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 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 will be available for customer testing in New Release this Monday, August 10.

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.

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) functionality. 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 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.

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.