Market Data Notices: October 31, 2011

S&P Indexes via Streamlined FIX/FAST Reminder
Starting on Monday, November 21, S&P Index market data will be exclusively disseminated is 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.
 

The dissemination of S&P Index market data ITC 2.1 market data format will be discontinued at the close of business Friday, November 18, 2011.

Please note: S&P Case Shiller indices which are sent on the fourth Tuesday of the month at approximately 8:00 a.m. Central Time will be sent down channel 3 in the ITC 2.1 format starting with the November, 2011 transmission. These indices will not be transitioned to streamlined FIX/FAST at this time.

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 this 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
The launch of the Trading at Marker Platts, previously scheduled for this Sunday, November 6, has been postponed. Further information will be available in the CME Globex Notices.

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, subject to Dubai Financial Services Authority (DFSA) approval, 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.

Hurricane Settlements and Activations
On Friday, October 28 , coverage was suspended by the National Hurricane Center for Hurricane Rina , the seventheenth named storm of the season.

Trading in HG7, G7B, HS7 and S72 will terminate this Friday, November 4, at 9:00 a.m. Central Time (CT).

The final settlement values are as follows:

• 0.0 for HG7 (for CME Hurricane Index futures & options on Hurricane Rina)
• 0.0 for G7B (for CME Hurricane Index Binary Contract on Hurricane Rina)
• 0.0 for HS7 (for CME Hurricane Index Cat-In-A-Box futures & options on Rina)
• 0.0 for S72 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Rina)

At this time there is no open interest in any of the futures or options for HG7, G7B, HS7 or S72.

In addition, the next contract in all four sequences will be listed for trading on Friday, November 4:

• HG0 (for CME Hurricane Index futures & options on Hurricane Vince)
• G0B (for CME Hurricane Index Binary Contract on Hurricane Vince)
• HS0 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Vince)
• S02 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Vince)

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.

  Expansion of Strike Listings for COMEX Silver Options
Effective Sunday, December 4 (trade date Monday, December 5), CME Group will expand the strike listing rules for Silver options (tag 1151-SecruityGroup=SO, tag 55-Symbol=SO) for trading on CME Globex for all maturities as follows:

• If the underlying futures price is less than $25.00 per troy ounce, ± 40 ATM strikes will be listed in intervals of $.05; forty strikes will be listed in $.25 increments above and below the highest and lowest $.05 increment; and 10 strikes will be listed in $1.00 increments above and below the highest and lowest $1.00 increment.
• If the underlying futures price is greater than $25.00 per troy ounce, ± 40 ATM strikes will be listed in intervals of $.25 and forty strikes will be listed in $1.00 increments above and below the highest and lowest $.05 increment ; and10 strikes will be listed in $1.00 increments above and below the highest and lowest $1.00 increment.

   

In addition, Silver options will be listed on the nearest five of the March, May, July, September, and December futures maturities. The nearest of the January, February, April, June, August, October, and November maturities shall be listed for trading for a period of two months from the current listed maturity. Additionally, the July and December maturities shall be listed for sixty months from the current listed maturities.

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.

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.