CME Globex Notices: October 5, 2009

New FIX/FAST Enhancements
Effective Sunday, October 18, 2009, a number of enhancements will be launched for the FIX/FAST format market data on CME Globex.

The following new tags will be published in the Security Definition (tag 35-MsgType=d) message:

• TradingReferenceDate (tag 5796)
• OpenInterestQty (5792)
• ClearedVolume (5791)

The following new information will be published in the Market Data Snapshot Full Refresh (tag 35=W) messages:

• New valid values for tag 269-MDEntryType
  • Fixing price
  • Opening price

There will be a new FIX/FAST template for the Security Definition (tag 35=d) message with this launch. The new template is currently available in the production folder of the  CME Group ftp site. Per the normal process, the current template is still available as well.

Detailed information on this launch is available  online in the client impact assesment.

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

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 are currently available for customer testing in New Release.

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

iLink tag 48-SecurityID Change
Effective Sunday, November 8, 2009, FIX tag 48-SecurityID in iLink messages will be changed to match the current format and data type 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 is currently available for customer testing in New Release.

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 Security Definition (tag 35-MsgType=d) message for this launch. The new template is currently available in the production folder of the  CME Group ftp site. Per the normal process, the current template is still available as well.

The messaging and functionality impacts are documented online in the  Client Impact Assessment. This launch is currently available in New Release for customer testing.

Gold Options Listing Changes
Effective this Sunday, October 11, 2009 (trade date Monday, October 12), the following changes to the listing rules for COMEX Gold options will occur:

The strike price interval will be set to $5.00 (CME Globex strike price increment=5) increments for all trading months on all venues regardless of the level of the underlying futures prices. Currently, the strike price interval is dependent on futures price levels as follows: $5.00 (5) if futures prices are under $500; $10.00 (10) if futures prices are between $500 and $1,000; and $25.00 (25) for futures prices above $1,000.

In addition, the strike price listing will be expanded from ATM ± six to ATM ± 20 strike prices.

Weekly Weather Listing Changes
Effective Sunday, October 18, 2009, (trade date Monday, October 19), all weekly weather futures will be expanded to list four (4) weekly maturities at all times. Currently, only two (2) maturities are listed at any one time for these products.

The additional maturities will be available for customer testing in New Release this Monday, October 12.

Variable Tick Table Change for FX Futures
Effective Sunday, November 1 (trade date Monday, November 2), the following FX futures will change to a fixed tick increment of 1.

• E-mini EuroFX (tag 1151-SecurityGroup=E7)
• E-mini Japanese yen (J7)
• CME$INDEX (USD)
• Australian dollar (6A)
• Canadian dollar (6C)
• Euro FX (6E)
• Japanese yen (6J)
• New Zealand dollar (6N)
• Swiss franc (6S)

Currently, these futures use the Variable Tick Tables (VTT) 5 and 7. Both VTT 5 and 7 have a fixed tick size of 1, as outlined in the  FIX/FAST Message Specifications module of the FIX/FAST SDK.

These changes will be available in the New Release environment for customer testing Monday, October 19.

Display Factor Change for FX Futures
Effective Sunday, November 1 (trade date Monday, November 2), the following changes to Display Factor values will be made:

The previously announced change to the ZAR/USD Display Factor has been cancelled.

These changes will be available in New Release for customer testing Monday, October 19.

 FX Futures Intercommodity Spreads Delisting
Effective Sunday, November 1 (trade date Monday, November 2), the following FX futures intercommodity spreads will be delisted:

• AUD/USD vs CAD/USD (6A-6C)
• AUD/USD vs NZD/USD (6A-6N)
• JPY/USD vs CHF/USD (6J-6S)
• NOK/USD vs SEK/USD (NOK-SEK)

 New Release Environment Harmonization
To provide a robust customer testing environment as close to production as possible, CME Group is harmonizing the New Release environment this Sunday, October 11. This synchronization will result in listed instruments in New Release better matching those listed in production; for instance, strike prices will match. The following impacts will occur:

• All GTC and GTD orders will be removed
• All User-Defined Spreads (UDS) will be eliminated
• The ISIN Codes for all currently listed products will be impacted
  • CME Group recommends all customers purge and re-load their instrument databases from the Security Definition (tag 35-MsgType=d) market data messages every week
  • There is no impact for customers who purge and re-load weekly, or who do not rely on the ISIN Code for instrument identification.
  • Please contact your front-end system provider for more information.

Please contact CSET at 312.930.2322 with any questions or concerns.

 CME Globex Disaster Recovery Connectivity Testing
Saturday, October 17, 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.