Market Data Notices: January 3, 2011

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 now available in New Release.

 Preliminary and Final Settlement Prices via FIX/FAST
Effective Sunday, February 6, the settlement flag to indicate preliminary settlement prices will be consistently applied to all preliminary settlement data blocks.

The preliminary settlement prices are calculated based on market activity on all trading venues during the open outcry trading hours. They can be Actual or Net Change preliminary settlement prices based on whether the instruments are settled to their own activity or to another instrument’s settlement activity. Detailed information for preliminary settlement is available  online.

The preliminary settlement data blocks will contain Tag 286-OpenCloseSettlFlag=100 or 101 to accurately identify the preliminary settlement price. These settlements are disseminated early Monday thru Friday to allow customers to prepare for the opening of the next trading day.

The final daily settlement prices are the official daily settlements published by CME Clearing and disseminated after the start of the next trading day on CME Globex, Monday through Thursday between 7:00 p.m. and 9:30 p.m. CT. Because final settlement prices for some instruments are not available until after 7:00 p.m. CT, not all final settlement prices are published in the Market Data Incremental Refresh (tag 35=X) on Fridays. 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.

• Market Data Incremental Refresh (tag 35-MsgType=X)
  • Tag 269-MDEntryType=6
  • Tag 270-MDEntryPX=final daily settlement price
  • Tag 64-SettlDate=date to which the settlement price applies
• Security Definition (tag 35-MsgType=d) message
  • Tag 1150-TradingReferencePrice=settlement price

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.

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 on Friday, January 21. After 16:15 CT on 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, on 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.

Twenty-Four (24) New Daily ERCOT Electricity Futures
Effective this Sunday, January 9 (for trade date Monday, January 10), CME Group will list twenty-four new Electric Reliability Council of Texas (ERCOT) swap futures contracts for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

•  8 Daily ERCOT Day Ahead Hub New Product Summary.
•  8 Daily ERCOT Load Zone New Product Summary.
•  8 Daily ERCOT Load Zone Real Time New Product Summary.

3 Average Price Options
Effective this Sunday, January 9, (for trade date Monday, January 10), will list three new average price option contracts trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

•  2 Ethanol Average Price Options New Product Summary.
•  Gulf Coast Jet Fuel (Platts) Average Price Options New Product Summary.

Pine Prairie Energy Center Natural Gas Futures
Effective January 23 (trade date Monday, January 24), 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, CME Group will list for open outcry trading and for clearing through CME ClearPort three new natural gas futures contracts physically delivered at Pine Prairie Energy Center (PPEC).

Please view the   New Product Summary.

Gold Volatility Index (VIX) Options
Effective Sunday, January 23 (trade date Monday, January 24) options on Gold Volatility Index (VIX) futures 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.

Please view the   New Product Summary.

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.

Please view the   New Product Summary.

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

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.

Please view the   New Product Summary.

 Indonesian Coal (McCloskey sub-bituminous) Swap Futures
Effective Sunday, January 23 (trade date Monday, January 24), Indonesian Coal (McCloskey sub-bituminous) Swap futures for trading on open outcry and for submission for clearing through CME ClearPort.

Please view the   New Product Summary.

 PJM 50 MW Calendar-Month LMP Swap Options
Effective Sunday, January 23 (trade date Monday, January 24), PJM 50 MW Calendar-Month LMP Swap options for trading on open outcry and for submission for clearing through CME ClearPort.

Please view the   New Product Summary.

 Green Exchange Product Migration
Effective 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 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 on Friday, January 21. After 16:15 CT on 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, 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

Please note: Green Exchange volume and open interest will be available in FIX/FAST only.

3-month and 1-month FXVolContracts Futures
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.

Please view the   New Product Summary.

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

Grain Options Listing Changes
Effective this 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 this Sunday, January 9 (trade date Monday, January 10) CME Group will expand the listing of Brazilian Realfutures by adding 16 more quarterly contract months, for a total of 28 listed maturities. Currently, consecutive maturities are listed for the first year; with this change, quarterly maturities will be listed for years two through five.

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 are now available for customer testing in New Release.

User-Defined Spreads for E-mini S&P 500 and E-mini NASDAQ-100 Options
Effective this 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.

Expansion of Listings for Lean Hog Options
In response to customer requests, effective this Sunday, January 9 (trade date Monday, January 10), CME Group will expand the listing of Lean Hog options (tag1151-Security Group=HE) by adding two additional contract months, for a total of 10 contracts. Currently, only eight maturities are listed.

 Listing of Second Nearby Henry Hub Natural Gas and Henry Hub Natural Gas Financial Calendar Options
Effective Wednesday, January 12(for trade date Thursday, January 13), CME Group will add the listing of an option on the six-month futures spread between the second nearby April through October, on a rolling basis, for the following calendar spread options:

• Henry Hub Natural Gas Calendar Spread Option (IM)
• Henry Hub Natural Gas Financial Calendar Spread Option (G6)

For each of the calendar spread options listed above, the initial listing of an option on the second nearby April through October spread will be an option on the spread between the April 2012 and October 2012 maturities for the underlying futures contract.

Expansion of TAS on Gold, Silver and Copper Futures
Effective Sunday, January 23 (for trade date Monday, January 24), CME Group will expand Trading at Settlement (TAS) to the second active maturities for each of Gold Futures and Silver Futures on CME Globex and the COMEX trading floor. In addition, CME Group will offer TAS in the first and second active maturities for Copper Futures on CME Globex only and implement intra-commodity calendar spreads between the first two active maturities in these contracts.

Details on this change are available   online.

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.

 New S&P Real Time Indices
Effective this Monday, January 10, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 19 of CME’s MDP.

New S&P Real Time Indices
Effective Monday, January 24, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 109 of CME’s MDP.

New S&P Real Time Indices
Effective Monday, January 31, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 109 of CME’s MDP.

New S&P Real Market Data Platform Channel
Effective, this Sunday, November 21, CME Group will introduce a new Market Data Platform (MDP) channel to support S&P indices. All existing S&P Indices, which currently reside on MDP channel 3 will migrate to the new MDP channel 109 all other indexes will remain on MDP channel 3.

With this migration, the following ITC 2.1 Specification changes will occur for all S&P indexes, which will be disseminated on MDP channel 109:

• Message Time Stamp will be disseminated in Greenwich Mean Time (GMT).
• Message Day Code will be based on the date of where the index is traded (Asian index will reflect accurate date and GMT).
• New Exchange IDs will be utilized to give customers the ability to distinguish entitlement offerings.
  • XL – S&P 100 and S&P 500
  • XF – all other Fee Liable indexes
  • XW – all Fee Waived

The new MDP Channel 109 and ITC 2.1 Specification changes will be available for customer testing in production parallel until February 25, 2011. On Monday, February 28, 2011, all S&P Indices will be disseminated solely on MDP channel 109.

 Martin Luther King Jr. Holiday Schedule
CME Group trading floors and normal operations will be closed on Monday, January 17, 2011, in observance of Martin Luther King Holiday. Please view the Martin Luther King Jr. holiday hours by clicking on the following links for more details:

•   CME Globex
•   CME Group Chicago Trading Floor
•   CME Group New York Trading Floor
•   CME Clearport

 CME Group and GreenX to Host Product Migration Teleconference
10:00 a.m. – 11:15 a.m. Eastern Time, January 12, 2011
CME Group and GreenX cordially invite market participants, clearing member firms, and technology vendors to participate in a teleconference on Wednesday, January 12, to discuss events leading up to and through the transition of NYMEX emissions products (GreenX Products) from NYMEX to GreenX for trade date Monday, January 24. Discussion topics include, but will not be limited to, operations related to Order Entry, Clearing, Market Data and the previously announced Mock Trading Session scheduled for Saturday, January 22.

For more information and to register for the event, please contact   Andrew Pisano.