Market Data Notices: October 24, 2011

S&P Indexes via Streamlined FIX/FAST
On Monday, June 13, 2011, CME Group launched streamlined FIX/FAST for dissemination of S&P Index market data. To ensure S&P customers’ currently receiving ITC 2.1 market data have sufficient time to develop and deploy the streamlined FIX/FAST solution, the ITC 2.1 market data format will continue to be disseminated in parallel with the streamlined FIX/FAST market data until Friday, November 18, 2011. At that time the ITC 2.1 market data will be discontinued.

New functionality will only be implemented on streamlined FIX/FAST.

Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a  dedicated message specification distinct from the CME Globex FIX/FAST format and a new template.

Mandatory certification is not required for streamlined FIX/FAST; an optional test suite is currently available in Auto-Cert+ for interested customers.

Detailed information for S&P Indexes via streamlined FIX/FAST is available  online.
 

  New Market Data Platform Channel for DME Options
Effective Sunday, November 20, a new Market Data Platform channel 29 will be defined for FIX/FAST market data on DME options. Until the launch of DME options, the channel will only broadcast heartbeats.

Information on the new channel will be added to the config.xml file for the following environments as follows:

• New Release - Monday, November 14
• Production/Certification - Sunday, November 20

With this launch, channel 28 will be re-titled “DME Futures” in the config.xml file.

The new Market Data Platform channel will be available for customer testing in New Release on Monday, November 14.

GreenX Cross State Air Pollution Rule (CSAPR) Transport Rule(TR) Nitrogen Oxides (NOx) Futures and Sulfur Dioxide (SO2)
Effective Sunday, November 6 (trade date Monday, November 7), the Green Exchange CSAPR TR NOx and SO2 futures will be listed for trading on CME Globex.

These contracts are listed with, and subject to, the rules and regulations of GreenX. All transactions will be available for clearing through CME Clearing.

These products are currently available for in New Release for customer testing.

Trading at Marker Platts
Effective Sunday, November 6 (trade date Monday, November 7), CME Group will introduce Trading at Marker (TAM) based on the Platts 3:15 p.m. Eastern Time (ET) futures assessment or TAPS, for NYMEX New York Harbor No. 2 Heating Oil and RBOB Gasoline futures on CME Globex pending receipt of required regulatory approvals.

For TAM trading on the Platts 3:15 p.m. ET futures assessment in NYMEX Heating Oil and RBOB Gasoline futures, the marker price will be the price established and published by Platts. Additional information on the methodology employed by Platts in establishing the 3:15 p.m. ET futures assessment is set forth in its  Platts Methodology Statement which is available on the Platts   website.

These contracts are listed with, and subject to, the rules and regulations of NYMEX. Additional information for TAM Platts trading is available  online.

These products are currently in New Release for customer testing.

Please view the  New Product Summary.
 

The TAM Platts marker prices will be disseminated via the Market Data Platform NYMEX ITC channel.

  New DME Oman Crude Oil European Style Option Contract (OQE)
Effective Sunday, December 11, DME Oman Crude Oil European Style Option will be listed for trading on CME Globex.

The DME Oman Crude Oil European Style Option will be disseminated on a   new Market Data Platform channel 29.

This contract is listed with and subject to the rules and regulations of the Dubai Mercantile Exchange.

The product will be available for customer testing in New Release on Monday, November 14.

European-style Weekly S&P 500 and E-mini S&P 500 Options Strike Expansion
Effective Sunday, November 6 (trade date Monday, November 7),the strike listing rules for the European-style weekly options on the S&P 500 and the E-mini S&P 500 strike ranges will be expanded for all weekly maturities.

With this change, all maturities of the European-style weekly S&P 500options and E-mini S&P 500 options will list at-the-money ± 50 strikes. Currently, ATM ± 30 strikes are listed for all weekly maturities.

These contracts are listed with, and subject to, the rules and regulations of CME.

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

 Reduction of the Strike Increments in 5-Year Treasury Note Options
At customers’ requests, effective Sunday, November 6 (trade date Monday, November 7), CME Group will reduce strikes increments in 5-Year Treasury Note standard and weekly options from 1/2 to 1/4 of one price point beginning with December 2011 maturities. With this change, the listing rule for 5-Year Treasury Note options will be expanded from ATM ± fifteen to ATM ± thirty for all trading maturities.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

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

Reduction of the Strike Increments in 2-Year Treasury Note Options
At customers’ requests, effective Sunday, November 6 (trade date Monday, November 7 ), CME Group will reduce strikes increments in 2-Year Treasury Note standard and weekly options from 1/4 to 1/8 of one price point beginning with December 2011 maturities. With this change, the listing rule for 2-Year Treasury Note options will be expanded from ATM ± fifteen to ATM ± thirty for all trading maturities.

Please note the ITC 2.1 message strike price fractional indicator will remain 2, with the far left digit truncated.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

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

Expansion of Short-Term Gold Options Strike Price Listings
Effective Sunday, November 6 (trade date Monday, November 7), the strike listing rules for Short-Term Gold Options (tag 1151-SecurityGroup=L01-L31) will be expanded from ATM ± 10 to ATM ± 40 on CME Globex, open outcry, and CME Clearport.

These contracts are listed with and subject to the rules and regulations of the COMEX.

The expanded strike price listing are currently available in New Release for customer testing.

Implied Delay Functionality for NYMEX and COMEX Futures
Effective Sunday, November 6, 2011 (trade date Monday, November 7), CME Globex will remove the 10 second implied delay functionality for the market open process for all NYMEX and COMEX futures.

This change is currently available in the New Release environment for customer testing.

  E-micro USD/RMB Display Factor Changes
Effective Sunday, November 20 (trade date Monday, November 21), changes to minimum tick increment and tag 9787-DisplayFactor will be implemented for E-micro USD/RMB futures.

These contracts are listed with, and subject to, the rules and regulations of CME.

These changes will be available for customer testing in New Release on Monday, November 7.

More information on tag 9787-DisplayFactor is available in the  FIX/FAST Message Specifications module of the FIX/FAST SDK.

  New Product Name and Symbol for Eurodollar Mid-Curve Options
Effective Sunday, December 11 (trade date Monday, December 12), the 5-Year MidCurve options will be renamed 4-Year Mid-Curve options. The product symbol will also be changed to GE4 from GE5 (tag 1151-SecurityGroup) on CME Globex and to E4 from E5 for open outcry. This change will introduce a consistent naming and symbol convention for Eurodollar Mid-Curve options on CME Globex and on the CME trading floor.

These contracts are listed with, and subject to, the rules and regulations of CME.

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

CME Group recommends that customers update their historical records to reflect the new naming and symbol convention.

Discontinued S&P Real-time Indexes
Effective this Friday, October 28, at the close of business the following S&P Index will be discontinued.

  New S&P Real-time Indexes
Effective this Monday, November 7, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

  Discontinued S&P Real-time Indexes
Effective Friday, November 11, at the close of business the following S&P Index will be discontinued.