CME Globex Notices: December 13, 2010

Theoretical Settlement Prices via FIX/FAST
Effective Sunday, February 6, theoretical settlement data blocks will be implemented on the Market Data Incremental Refresh (tag 35-MsgType=X) message.

The new data blocks will allow customer systems to differentiate actual final settlement prices (based on the trading day’s market activity) from theoretical final settlement prices (based on CME Clearing calculations). Theoretical settlement prices are only sent for instruments without an actual settlement price.

The theoretical settlement data blocks are similar to the settlement price data blocks, and will contain the following tags and values:

• Tag 286-OpenCloseSettlFlag=4
• Tag 279-MDUpdateAction=0
• Tag 269-MDEntryType=5 (Theoretical Settlement Price)
• Tag 64-SettlDate will not be present

These new Theoretical Settlement data blocks are available in New Release for customer testing.

New Mandatory iLink Tags
Effective Sunday, June 5, 2011, new mandatory FIX tags will be introduced on inbound and outbound iLink messages to enhance customer support and assist in market oversight.

Based on customer feedback, the requirements have been updated and clarified to be more easily supported by system providers. A summary of the clarifications are captured below.

The new tags will be used to indentify:

• Front-end system
  • Should reflect the gateway application logging into the iLink session id
• Automated trading indicator flag
  • Does not have to dynamically change on a per-order basis from manual to automated
• Country of origin
  • Does not have to dynamically change based on trader’s current location.
  • For automated systems, the tag should denote the location of the system operator, not the trading system.

All customer order routing systems must support and accurately populate these new tags, and complete the mandatory certification via AutoCert+ by June 5.

The new tags are available in New Release for customer testing.

There are no impacts to FIX/FAST market data with this launch.

Please see the updated    Client Impact Document for a more detailed description of technical and data requirements.

 NYMEX and DME Futures Enhancements
Effective Sunday, January 23, 2011, a number of enhancements will be introduced for NYMEX and Dubai Mercantile Exchange (DME) futures and future spreads on CME Globex.

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

CME Group recommends all system providers supporting NYMEX or DME futures test these changes thoroughly in New Release.

European Union Allowance Daily vs. In Delivery Month Intercommodity Spreads
Effective this Sunday, December 19 (trade date Monday, December 20), new EUA Daily vs. In Delivery Month intercommodity spreads will be listed for trading on the CME Globex platform.

The intercommodity spreads will use the value IS in tag 762-SecuritySubType.

These are intercommodity spreads between a daily and a monthly future. The spreads will be listed and expired according to the daily future’s schedule.

These new futures spreads are available in New Release for customer testing.

Henry Hub Natural Gas Look-Alike Penultimate Financial Futures
Effective this Sunday, December 19 (trade date Monday, December 20), the    Henry Hub Natural Gas Look-Alike Penultimate Financial futures (tag 1151-SecurityGroup=HP) will be listed for trading on CME Globex. This product is already available on the NYMEX trading floor and CME ClearPort.

A new intercommodity spread will also be listed for the Henry Hub Natural Gas futures (tag 1151=HH) vs. the Henry Hub Natural Gas Look-Alike Penultimate Financial futures (tag 1151=HP). These intercommodity spreads will be listed with tag 762-SecuritySubType=IS.

The Henry Hub Natural Gas Look-Alike Penultimate Financial futures is available for customer testing in New Release.

3 Additional FX E-micro Futures Contracts on CME Globex
Effective this Sunday, December 19, (trade date Monday, December 20),   FX E-micro futures will be listed for trading on the CME Globex platform.

The FX E-Micros are a series of innovative smaller-sized FX contracts, designed to enable retail traders and investors to cost-effectively access the security, transparency and liquidity of CME Group's FX products. The FX E-micro contracts will be one-tenth the size of the corresponding FX contracts, making them accessible to active individual traders, small Commodity Trading Advisers (CTAs), and Small Medium Enterprises (SMEs).

3-Year Eurodollar Mid-Curve Options
Effective Sunday, December 19, (trade date Monday, December 20), the 3-Year Eurodollar Mid-Curve options (tag 1151-Security Group=GE3) will be listed for trading on CME Globex.

Eurodollar Mid-Curve options provide a wide variety of hedging and trading opportunities on the mid-range of the yield curve. Because they are short-dated, they offer a low premium, high time decay option alternative for trading this part of the curve. These new 3-Year Mid-Curve options will be listed with quarterly expirations.

These options are available for New Release for customer testing.

 Green Exchange Product Migration
Effective Sunday, January 23, 2011 (trade date Monday, January 24), the existing NYMEX emissions products (Green products) will be de-listed from trading on NYMEX and will be listed for trading on Green Exchange (the Transition). These products will use the same SecurityGroup (tag 1151) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE. In addition, the value in tag 55-Symbol will be changed for the Green products. The Green futures and options will be disseminated on new Market Data Platform channels 18 and 19 as described below. Information on the new channels is now available in the config.xml file. The channels will be available for customers and broadcasting heartbeats as of Sunday, January 9 in the production and certification environments.

As previously announced, following the Transition, Green futures products will continue to be available for trading via CME Globex and privately-negotiated transactions accepted for submission for clearing through CME ClearPort. In addition, with the Transition, ten Green options products (currently available for trading on the New York trading floor) will be transitioned to and newly listed for trading on the CME Globex platform.

Below is the full list of Green products that are currently available in New Release for customer testing

3-month and 1-month FXVolContracts Futures and Spreads
Effective Sunday, February 6 (trade date Monday, February 7), the following 3-month and 1-month FXVolContracts (realized volatility futures and spreads) will be listed for trading on CME Globex.

These FX Realized Volatility products are defined as follows:

These are the first futures contracts that offer direct trading of FX volatility. FX VolContracts allow participants to buy or sell FX volatility without the complexity of managing standard options positions, and without the necessity of forming a strong directional view on the underlying.

The contracts are valued at $1,000 times the computed realized volatility for the specific time period. They are quoted as an annualized standard deviation in minimum increments of 0.01% (i.e., one may quote the contract as 12.52; 12.53; 12.54, 12.55, 12.56, etc.).

The calendar spreads will use the value SP in tag 762-SecuritySubType.

These products will be available for customer testing in New Release Monday, January 24.

Early Listing for In Delivery Month European Union Allowance Futures
Effective this Sunday, December 19 (trade date Monday, December 20), CME Group will list the December 2014 maturity for In Delivery Month European Union Allowance futures (tag1151-SecurityGroup=EAF).

Listing Rules for 2-Year Eurodollar Mid-Curve Options
Effective this Sunday, December 19 (trade date Monday, December 20),the listing cycle for the 2-Year Eurodollar Mid-Curve options (tag 1151-Security Group=GE2 )will be expanded by adding the following serial months:

• January 2011
• February 2011

With this change, the listing cycle will be four quarterly contracts plus two additional serial months.

These additional 2-Year Eurodollar Mid-Curve options are available in New Release for customer testing.

 Exchange Traded Funds (ETF) Delisting
Effective close of business tomorrow, Friday, December 17, new maturities for the following products will not be listed. These products are in the process of being delisted, as the currently listed maturities expire and aren’t replaced.

 Postponed - New Synthetic Future for Options on Eurodollar Calendar Spreads
The launch of the new synthetic future (tag 1151-SecurityGroup=SPX) for the options on Eurodollar calendar spreads has been postponed. Further information will be available in the CME Globex Notices.

Grain Options Listing Changes
Effective Sunday, December 26 (trade date Monday, December 27), CME Group will list strikes at 5 cent intervals for the third maturity month for Corn (tag 1151=OZC) and Soybean (tag 1151=OZS) options. 5 cent intervals are currently listed for the first and second maturity month for Corn and Soybean options.

For options on Soybean Meal futures (tag 1151=OZM), strikes will be listed at $5 per ton intervals for the first maturity month only. Soybean Meal options currently list the reduced strike intervals for strike prices less than $200 per ton; with this change, for the front month only, the reduced intervals will be listed for the entire strike range.

Expansion of Listings for Brazilian Real Futures
Effective Sunday, January 9 (trade date Monday, January 10) CME Group will expand the listing of Brazilian Real futures by adding 16 more quarterly contract months, for a total of 28 quarterly contracts. Currently, only 12 quarterly contracts are listed.

This change will make the contract listings at CME Group consistent with the expanded contract listings recently announced at the Singapore Exchange (SGX), and preserve customers' ability to capitalize on the Mutual Offset System (MOS) agreement between CME and SGX.

The new future quarterly contracts will be available for customer testing in New Release on Monday, December 20.

 CME Globex Holiday Schedule
The CME Globex holiday schedule for December 23 through December 26 is now available  online.

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