CME Globex Notices: December 20, 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.

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

 Options on Crude Oil Volatility Index (VIX) Futures
Effective Sunday, January 23 (trade date Monday, January 24)   options on Crude Oil Volatility Index futures(VIX) will be listed for trading on CME Globex.

The Crude Oil Volatility Index (VIX) will be a 30-day forward looking index value on option implied volatility.

These options will be listed with tag 1151-SecurityGroup=CVP and tag 55-Symbol=VC.

The options on the Crude Oil Volatility (VIX) will be available for customer testing in New Release Monday, January 10.

 Options on Gold Volatility Index (VIX) Futures
Effective Sunday, January 23(trade date Monday, January 24)   options on Gold Volatility Index futures (VIX) will be listed for trading on CME Globex.

The Gold Volatility Index (VIX) will be a 60-day forward looking index value on options implied volatility.

These options will be listed with tag 1151-SecurityGroup=GVP and tag 55-Symbol=VG.

The options on the Gold Volatility Index (VIX) will be available for customer testing in New Release Monday, January 10.

 Weekly Treasury Options
Effective Sunday,Janurary 23(trade date, Monday, January 24) Weekly Treasury options will be listed for trading on CME Globex.

Weekly Treasury options (WTOs) provide users with increased flexibility in managing existing option positions, and new opportunities to trade high impact economic events, such as Treasury auctions and economic reports.

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.). More information is available   online.

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.

 Postponed - S&P 500 Options and E-mini S&P 500 End-of Month Options Listing Changes
The changes to the listing range for S&P 500 options (tag 1151=EV) and E-Mini S&P 500 End-of-Month options (tag 1151=EW) has been postponed. Further information will be available in the CME Globex Notices.

 Grain Options Listing Changes
Effective Sunday, January 9 (trade date Monday, January), 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 is now available for customer testing in New Release.

 User-Defined Spreads for E-mini S&P 500 and E-mini NASDAQ-100 Options
Effective Sunday, January 9, to facilitate the creation and trading of intercommodity User-Defined Spreads (UDS) in the E-mini equity options, the following changes to tag 55-Symbol will occur for User-Defined Spreads only.

Please note: this change will have no impact on the tag 55-Symbol values for the outright options. Only the tag 55 values for the UDS are changing.

 Implied Functionality for CBOT Corn Futures and Mini-Sized Corn Futures
Implied functionality, which was disabled for CBOT corn futures and spreads (tag 1151-SecurityGroup=ZC) and mini-sized corn (tag 1151=XC) from August 29, 2010, through December 31, 2010, will be extended until January 31, 2011. During the month of January, a decision on the long-term use of the implied spreading functionality for corn futures will be made public based on our assessment of the markets during the August to December period.

Implied functionality is indicated for every instrument on CME Globex in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator.

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

Settlement Prices via FIX/FAST On Fridays
Because final settlement prices for some instruments are not available until 7:00 p.m. Central time, not all final settlement prices are published in the Market Data Incremental Refresh (35=X) on Friday. Client systems should leverage the Security Definition (tag 35-MsgType=d) message upon Sunday startup to determine the most recent final settlement price in tag 1150-TradingReferencePrice.