CME Globex Notices: January 17, 2011

New Mandatory iLink Tags
Effective Sunday, June 5, 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 this Sunday, January 23, a number of enhancements will be introduced for NYMEX and Dubai Mercantile Exchange (DME) futures and future spreads on CME Globex.

Please note: for the NYMEX and DME futures enhancements launch on January 23, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these futures and futures spreads after their respective closes this Friday, January 21. After 16:15 CT this Friday, January 21, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

GTC and GTD orders for NYMEX and DME futures and futures spreads may be re-entered during an extended pre-open period, starting at 15:00 CT, this Sunday, January 23. TAS products will pre-open at their normal time, 16:15 CT. If you have any questions, please contact the CME Globex Control Center at 312.456.2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.

In internal testing environments, the enhancements for NYMEX and DME have resulted in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink and FIX/FAST response times by an average of 50%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 50%.

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 this Sunday, January 23 (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.

A mock trading session, to ensure customers can trade and receive market data for Green products in the CME Globex production environment, will be offered this Saturday, January 22, 8:30 a.m. – 10:00 a.m. Central time. Detailed information for the mock trading session is now available   online. Customers must register with their   Global Account Manager to participate.

Please note: for the Green Exchange launch on January 23, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these futures and futures spreads after their respective closes this Friday, January 21. After 16:15 CT this Friday, January 21, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

GTC and GTD orders for Green futures and futures spreads may be re-entered during the normal pre-open, starting at 16:15 CT, this Sunday, January 23. If you have any questions, please contact the CME Globex Control Center at 312-456-2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.

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 this 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) are currently available for customer testing in New Release.

Options on Gold Volatility Index (VIX) Futures
Effective this 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) are currently available for customer testing in New Release.

Weekly Treasury Options
Effective this Sunday, January 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), only the 1- and 3-month EUR/USD FXVolContracts (realized volatility futures and spreads) will be listed for trading on CME Globex. The 1- and 3-month GBP/USD, JPY/USD, CHF/USD, CAD/USD and AUD/USD Realized Volatility futures and calendar spreads have been postponed. Further information will be available in the CME Globex Notices.

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 this Monday, January 24.

Pine Prairie Energy Center Natural Gas Futures
Effective Sunday, February 6 (trade date Monday, February 7), pending Federal Energy Regulatory Commission (FERC) approval of modifications to the Pine Prairie Energy Center’s FERC Gas Tariff seeking to add new pooling services for the delivery of the three contracts, the following new   Pine Prairie Energy Center Natural Gas futures will be listed for trading on CME Globex:

• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Daily/Weekend Futures (tag 1151-SecurityGroup=PPD, tag 55-Symbol=NJ)
• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas BALMO Futures (tag 1151-SecurityGroup=PPB, tag 55-Symbol=NJ)
• Pine Prairie Energy Center (PPEC) Physically Delivered Natural Gas Monthly Futures (tag 1151-SecurityGroup=PPM, tag 55-Symbol=NJ)

These are normal fixed quantity contracts, however the contract size varies according to maturity. The quantity will be defined as:

• Lot Type Repeating Group
  • Tag 1093-LotType=2(minimum order entry quantity for an instrument)
  • Tag 1231-MinLotSize=1
• Tag 1439-FlowScheduleType=2(calendar days per month)
• Tag 996-UnitofMeasure=MMBtu
• Tag 5849-OriginalContractSize=varies per instrument
• Tag 1435-ContractMultiplierUnit=2(multiplied by day)

Details on the original contract size are available    online.

The Daily/Weekend (PPD) and BALMO (PPB) futures are daily contracts (tags 871=24, 872=19 in the Security Definition message).

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

Expansion of TAS on Gold Silver and Copper Futures
Effective this Sunday, January 23 (trade date Monday, January 24), CME Group will list Trading at Settlement (TAS) for the first active maturity for Copper futures on the CME Globex platform. The previously announced expansion of Trading at Settlement (TAS) futures to the second active maturity for Gold, Silver, and Copper futures and the associated calendar spread between the first and second active maturities has been postponed. Further information will be available in the CME Globex Notices.

The TAS Copper futures are currently available in New Release for customer testing.

 E-Mini Gold Futures Delisting
Effective Friday, January 28, the E-mini Gold Futures (tag 1151-SecurityGroup=XGN) will be delisted.

 Implied Corn Spreads Reinstated
From September to the end of December of last year, CME Group turned off the implied spreading functionality on corn futures. The objective of this test, which was recently extended through the end of January, was to determine if a more robust market, in term of market participation, market depth and market liquidity, could be achieved in an environment without this functionality.

From the beginning of this test, market performance was monitored against a wide range of objective measurement criteria to determine changes in the market. Unless there were clear improvements in the market, the assumption was that the implied spreading functionality would be reinstated at the end of the trial period.

Based on our assessment of this data and customer feedback, it is our intention to reinstate the implied spreading functionality effective January 31, 2011.

CME Group will continue to look at methods of improving market quality including consideration of a partial implied spreading functionality where implieds provide support only to back month contracts. We will provide the market with significant advance notice before testing this or other potential modifications.

Butterfly Spreads on Crude Oil Futures
Effective Sunday, February 27 (trade date Monday, February 28), butterfly spreads will be listed on CME Globex for Crude Oil futures (tag 1151-SecurityGroup=CL).

Twelve one-month and two six-month butterfly spreads will be available upon launch.

Butterfly spreads consists of three instruments within the same product and with equally distributed maturity months (e.g., M2-U2-Z2). Further details are available in the   Electronic Trading Concepts. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. Crude Oil butterfly spreads will not support implied functionality.

Crude Oil butterfly spreads is currently available for customer testing in New Release.

 Implied Delay Functionality for Grain Futures
Effective Sunday, January 30, CME Globex will remove the 10-second implied delay functionality for the market opening process for all CBOT, MGEX and KCBT Grain futures complexes. This functionality was originally implemented on December 6, 2009.

The change will be available for testing in the New Release environment starting this Monday, January 24.

If you have any questions, please contact the CME Globex Control Center at 312-456-2391, in Europe at 44-20-7623-4708, or in Asia at 65-6223-1357.

 iLink Session ID Auto-Deletion Process
Effective Monday, January 31, CME Group will implement the quarterly iLink session ID auto-delete process.

Details on the process are available  online. An e-mail notification will be distributed to Class A clearing firms on Monday, January 31. Class A clearing firms will have 30 days to review their idle session IDs. All idle session IDs will be deleted at end of day March 4.