Market Data Notices: March 26, 2012

User-Defined Spreads: Covereds Execution Enhancement
Effective this Sunday, March 25, 2012 (trade date Monday, March 26), the execution for User-Defined Spreads (UDS):Covereds will be enhanced to better ensure delta neutrality.

Currently, in certain scenarios, the matching process may result in a Covered trade that is under- or over-allocated on the futures fills. Starting Sunday, March 25, 2012, the Covered matching algorithm will track executions of a resting order such that when the executed quantity of a customer's option order results in an accumulated delta futures allocation at or above 0.5, a futures contract is allocated to the next fill.

The enhancement is scheduled for a phased launch as follows:

• Sunday, March 25
  • CME FX Options
• Sunday, April 1
  • CME Equity Options
  • CBOT Equity Index Options
  • CBOT Commodity Options
  • CME Commodity, Industrial Commodity and TRAKRS Options
  • KCBT Options
  • MGEX Options
• Sunday, April 15
  • CME Interest Rate Options
  • CBOT Interest Rate Options
  • COMEX Options
  • Green Exchange Options
  • NYMEX Crude Options
  • NYMEX Non-Crude Energy Options

We recommend all system providers supporting Covereds test this enhancement thoroughly in New Release. Details on UDS:Covereds functionality are available  online.

MGEX-CBOT Wheat Intercommodity Spread Options
Effective this Sunday, March 25 (trade date Monday, March 26), MGEX-CBOT Wheat Intercommodity Spread options will be listed for trading on the CME Globex platform, open outcry and CME Clearport.

The MGEX-CBOT Wheat Intercommodity Spread options are unique hedging tools based on the price differentials between hard red spring wheat futures listed on the Minneapolis Grain Exchange, Inc. (MGEX) and soft red winter wheat futures on the Chicago Board of Trade (CBOT), which are the result of fundamental supply and demand factors and varying protein levels between these two distinct classes of wheat.

In addition, a new synthetic future will be launched for the options on MGEX-CBOT Wheat Intercommodity Spread futures.

The new future will have tag 1151-SecurityGroup=MCX and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=MCW) will identify MCX as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The MGEX-CBOT Wheat intercommodity spread options and synthetic future are currently available in New Release for customer testing.

Please view the  New Product Summary.

NY ULSD (Argus) vs. Heating Oil Spread BALMO Swap Futures
Effective this Sunday, March 25 (trade date Monday, March 26), NY ULSD (Argus) vs. Heating Oil Spread BALMO Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

This contract is listed with, and subject to, the rules and regulations of NYMEX.

Please view the  New Product Summary.

Midwest ISO Michigan Hub Electricity Futures
Effective this Sunday, March 25 (trade date Monday, March 26), the following Midwest ISO Michigan Hub Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

• Midwest ISO Michigan Hub 5 MW Peak Calendar-Month Day-Ahead Swap Futures
• Midwest ISO Michigan Hub 5 MW Off-Peak Calendar-Month Day-Ahead Swap Futures

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

Please view the  New Product Summary.

European Union Aviation Allowance Futures
Effective Sunday, April 1 (trade date Monday, April 2), the GreenX European Union Aviation Allowance (EUAA) futures will be listed on Green Exchange and available via 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.

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

 December vs. December Wheat Calendar Spread Option (CSO)
Effective Sunday, April 1 (trade date Monday, April 2), options on the December vs. December Wheat futures calendar spread will be listed for trading on the CME Globex platform and open outcry.

In addition, a new synthetic future will be launched for the options on December vs. December Wheat future calendar spread.

The new future will have tag 1151-SecurityGroup=CWZ and tag 55-Symbol=08 (Open outcry future code ZWC). Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=CWZ) will identify CWZ as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The December vs. December Wheat calendar spread option and synthetic future are currently available in New Release for customer testing.

May vs. November Soybean Calendar Spread Option (CSO)
Effective Sunday, April 1 (trade date Monday, April 2), options on the May vs. November Soybean futures calendar spread will be listed for trading on the CME Globex platform and open outcry.

In addition a new synthetic future will be launched for the options on May vs. November Soybean future calendar spread.

The new future will have tag 1151-SecurityGroup=S7C and tag 55-Symbol=08 (Open outcry future code S7C). Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=SC7) will identify S7C as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

The May vs. November Soybean calendar spread option and synthetic future are currently available in New Release for customer testing.

S&P Case-Shiller Home Price Index Options
Effective Sunday, April 1 (trade date Monday, April 2), pending all relevant CFTC regulatory review periods, the following S&P Case Schiller Home Price Index options will be listed for trading on CME Globex.

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

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

TC6 Freight Swap Futures
Effective Sunday, April 1 (trade date Monday, April 2), Freight Route TC6 (Baltic) Swap futures will be listed on open outcry and submission for clearing through CME ClearPort, pending receipt of required regulatory approvals.

This contract is listed with, and subject to, the rules and regulations of NYMEX.

Please view the  New Product Summary.

 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future Implied Intercommodity Spread
Effective Sunday, April 15 (trade date Monday, April 16), a new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future (tag 1151-SecurityGroup=NBY, tag 55-Symbol=ZB) implied intercommodity spread with new leg ratios will be listed on the CME Globex platform. The new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future implied intercommodity spread will be initially listed with 5:3 ratios. The current 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future (tag 1151-SecurityGroup=NOB) implied intercommodity spread with the current 2:1 ratios will continue to be available.

The new 10-Year Treasury Note Future vs. 30-Year Treasury Bond Future implied intercommodity spread will be available for customer testing in New Release on Monday, April 2.

 Delisting of Treasury Matched Mid Curve Options
Effective close of business this Friday, March 23, the Treasury Matched Mid Curve “TOMMI”) options tag-1151 SecurityGroup=TE0) will be delisted. The Security Definition (tag 35-MsgType=d) will continue to be available on CME Globex through Friday, April 6.

Beginning with the May 2012 maturities and all subsequent maturities, a weekly Mid Curve will be listed in place of the TOMMI options. With this change, 4 weekly Mid-Curve expirations will always be listed in addition to the standard Mid Curve options expiration. This Sunday, March 25 (trade date Monday, March 26), a new weekly Mid Curve option (tag-1151 SecurityGroup=E03, tag-55 Symbol=E0) will be added to CME Globex.

This change will be available for customer testing in New Release on Monday, April 2.

Butterfly Spreads on Energy Futures
Effective this Sunday, March 25 (trade date Monday, March 26), butterfly spreads will be listed on CME Globex for the following futures:

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. These energy butterfly spreads will not support implied functionality.

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

The energy butterfly spreads are currently available in New Release for customer testing.

Additional Listings for In Delivery Month European Union Allowance (EUA) Options
Effective Sunday, March 25, 2012 (trade date Monday, March 26), the following December maturities in GreenX In Delivery Month European Union Allowance (EUA) options (tag 1151-SecurityGroup=EAX) will be listed on Green Exchange and available via CME Globex.

• DEC 2016
• DEC 2017
• DEC 2018
• DEC 2019
• DEC 2020

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 contracts are currently available in New Release for customer testing.

Amendment to the Minimum Price Fluctuation of Natural Gas Products
Effective Sunday, April 15 (trade date Monday, April 16), and pending all relevant CFTC regulatory review periods, the minimum price fluctuation will be amended from $0.0025 per MMBtu to $0.0001 per MMBtu for the following Natural Gas products available   online.

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

Discontinued S&P Real-time Indexes
Effective Friday, March 23, at the close of business the following S&P Indexes will be discontinued.

 Good Friday Holiday Schedule
CME Group will hold abbreviated CME Globex and open outcry sessions on Friday, April 6, in observance of the Good Friday Holiday. Please view the Good Friday Holiday schedule 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
•   Good Friday Settlement Times

Note: On Friday, April 6, CME Clearing will run a normal clearing processing day for CME, CBOT, NYMEX, COMEX and DME exchanges.