Market Data Notices: November 14, 2011

S&P Indexes via Streamlined FIX/FAST Reminder
Starting this 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 this 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 this 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 - Now Available
• 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 is currently available in New Release for customer testing.

  New Timing for the KRX KOSPI 200 Futures Settlements via FIX/FAST
Effective Monday, December 19, CME Group will begin disseminating settlement prices for the KRX KOSPI 200 futures via FIX/FAST as early as 12:40 a.m. Central time (CT). Currently, settlement prices for the KOSPI 200 are disseminated around 2:08 a.m. Central time (CT).

The KOSPI 200 futures market data are disseminated on channel 21 of the Market Data Platform Channel.

  Canadian Heavy Crude Oil (Net Energy) Index Average Price Option
Effective this Sunday, November 20 (trade date Monday, November 21), CME Group will list the Canadian Heavy Crude Oil (Net Energy) Index Average Price option for trading on open outcry and submission for clearing through CME ClearPort.

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

Please view the  New Product Summary.
 

  European Biodiesel Futures
Effective this Sunday, November 20 (trade date Monday, November 21), CME Group will list the following biodiesel futures for trading on open outcry and submission for clearing through CME ClearPort pending receipt of required regulatory approvals.

• RME Biodiesel (Argus) fob Rdam (RED Compliant) Swap futures
• FAME 0 (Argus) Biodiesel fob Rdam (RED Compliant) Swap futures
• RME Biodiesel (Argus) fob Rdam (RED Compliant) vs. ICE Gasoil Spread Swap futures
• FAME 0 Biodiesel (Argus) fob Rdam (RED Compliant) vs. ICE Gasoil Spread Swap futures

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

Please view the  New Product Summary.
 

  NY Ultra Low Sulfur Diesel (ULSD) Futures and Options
Effective this Sunday, November 20 (trade date Monday, November 21), CME Group will list the following NY Ultra Low Sulfur Diesel (ULSD) futures and options for trading on open outcry and submission for clearing through CME ClearPort pending receipt of required regulatory approvals.

• NY ULSD Crack Spread Swap Futures
• RBOB vs. NY ULSD Swap Futures
• NY ULSD Calendar Swap Futures
• NY ULSD BALMO Swap Futures
• NY ULSD Last Day Financial Swap Futures
• NY ULSD Crack Spread BALMO Swap Futures
• NY ULSD Calendar Spread (1 Month) option
• NY ULSD Calendar Spread option (2 Month)
• NY ULSD Calendar Spread option (3 Month)
• NY ULSD Calendar Spread option (6 Month)
• NY ULSD Calendar Spread option (12 Month)
• NY ULSD Crack Spread Option
• NY ULSD Crack Spread Average Price Option
• NY ULSD Average Price Option

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

Please view the  New Product Summary.
 

  SME Biodiesel and Mont Belvieu Iso-Butane Swap Futures
Effective this Sunday, November 20 (trade date Monday, November 21), CME Group will list SME Biodiesel and Mont Belvieu LDH Iso-butane swap futures contracts for trading on open outcry and submission for clearing through CME ClearPort.

• Biodiesel SME Houston B-100 (Argus) Swap futures
• Mont Belvieu LDH Iso-Butane (OPIS) Swap futures

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

Please view the  New Product Summary.
 

  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.

This product is currently available in New Release for customer testing.

GreenX California Carbon Allowance Options
Effective Sunday, December 11 (trade date Monday, December 12), the Green Exchange California Carbon Allowance options (tag-1151 SecurityGroup=CAO, tag-55 Symbol=GY) 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.

The product will be available for customer testing in New Release on Monday, December 5.

  Crude Oil Financial and RBOB Gasoline Financial Futures
Effective Sunday, December 11 (trade date Monday, December 12), Crude Oil Financial and RBOB Gasoline Financial futures will be listed for trading on CME Globex.

These contacts are listed with, and subject to, the rules and regulations of NYMEX.

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

  U.S. Midwest Domestic Hot Rolled Coil Steel Average Price Option
Effective Sunday, December 11 (trade date Monday, December 12), CME Group will a U.S. Midwest Domestic Hot Rolled Coil Steel Average Price Option for trading on open outcry and submission for clearing through CME ClearPort pending receipt of required regulatory approvals.

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

Please view the  New Product Summary.
 

  Mini Singapore Gasoil (Platts) Swap Futures
Effective Sunday, December 11 (trade date Monday, December 12), CME Group will the Mini Singapore Gasoil (Platts) Swap futures for trading on open outcry and submission for clearing through CME ClearPort pending receipt of required regulatory approvals.

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

Please view the  New Product Summary.
 

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 are currently available in New Release for customer testing.

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

  Hurricane Settlements and Activations
On Friday, November 11 , coverage was suspended by the National Hurricane Center for Tropical Storm Sean, the eighteenth named storm of the season.

Trading in HG8, G8B, HS8 or S82 will terminate this Monday, November 21, at 9:00 a.m. Central Time (CT).

The final settlement values are as follows:

• 0.0 for HG8 (for CME Hurricane Index futures & options on Hurricane Sean)
• 0.0 for G78 (for CME Hurricane Index Binary Contract on Hurricane Sean)
• 0.0 for HS8 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Sean
• 0.0 for S82 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Sean)

At this time there is no open interest in any of the futures or options for HG8, G8B, HS8 or S82.

In addition, the next contract in all four sequences will be listed for trading on Monday, November 21:

• HF1 (for CME Hurricane Index futures & options on Hurricane Whitney)
• F12 (for CME Hurricane Index Binary Contract on Hurricane Whitney)
• HN1 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Whitney)
• NH1 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Whitney)

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.

  Reduction of the Strike Increments in Treasury Note Options
Effective Sunday, December 4 (trade date Monday, December 5), CME Group will reduce strike price increments of standard options on 2-Year and 5-Year Treasury Note futures. Please note that these standard options include weekly, serial, and quarterly options. These changes will go into effect beginning with the options on March 2012 futures and thereafter as follows:

• 5-Year Treasury strike increments will be reduced from 1/2 to 1/4 of one price point.
• 2-Year Treasury strike increments will be reduced from 1/4 to 1/8 of one price point.
  • To determine the full strike price customers must postpend “5” to all 2-Year Treasury strike prices when using tag 202-StrikePrice.
  • The ITC 2.1 message strike price fractional indicator will remain 2, with the far left digit truncated.

CME Group recommends all system providers use tag-202 Strike Price to determine strike price.

With these changes, the listing rules 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 available in New Release for customer testing.

  Expansion of Contract Month Listings for Canadian Heavy Crude Oil (Net Energy) Index Futures
Effective Sunday, December 4 (trade date Monday, December 5), 2011, CME Group will expand the listing of contract months for Canadian Heavy Crude Oil (Net Energy) Index futures on the NYMEX trading floor and CME ClearPort pending receipt of required regulatory approvals.

The new listing schedule shall allow the contract to be listed for the balance of the current year plus the next four (4) consecutive years. Currently, the listing period for the contract is thirty-six consecutive contract maturities.

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

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 (tag 1151-SecurityGroup=GE4, tag 55-Symbol=E4) from (tag 1151-SecurityGroup=GE5, tag 55-Symbol=E5) 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, November 18, at the close of business the following S&P Index will be discontinued.

New S&P Real-time Indexes
Effective this Monday, November 21, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

  New S&P Real-time Indexes
Effective Monday, November 28, CME Group will begin disseminating the new indexes detailed below. These indexes will be transmitted every 15 seconds.

  Thanksgiving Holiday Schedule
CME Group trading floors and normal operations will be closed on Thursday, November 24, 2011, in observance of Thanksgiving Day. As a result, on Friday, November 25, 2011, there will be abbreviated trading hours. Please view the Thanksgiving holiday hours by clicking on the following links for more details:

Holiday Schedules:

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