Market Data Notices: April 01, 2013

 CME Globex Performance Enhancements
CME Group is in the process of upgrading our internal CME Globex hardware. In internal testing this change improved iLink and FIX/FAST performance by as much as 20%. These upgrades are part of our ongoing efforts to provide best-in-class technology and service on CME Globex.

April 14, 2013
 

• CBOT Commodity Options
• CBOT Equity Index Options
• CME FX Options
• CME Commodity Options
• Volatility Quoted Options
• MGEX Options
• KCBT Options

April 21, 2013
 

• CME Interest Rate Options
• CME Commodity Futures
• CME Interest Rate Options
• COMEX Options
• NYMEX Non-Crude Energy Futures & Options
• NYMEX Metals, Softs, and Alternative Markets
• NYMEX Crude Futures & Options
• NYMEX Emissions Futures & Options
• BMD Futures and Options
• KRX Futures

A detailed schedule of the enhancements is available  online.

Bursa Malaysia Derivative Berhad New External Instrument Naming Convention
Effective Sunday, June 2 (trade date Monday, June 3), Bursa Malaysia Derivative Berhad (BMD) will introduce a new external instrument naming convention for futures, options and spreads listed on CME Globex. This change will make these products easier to support by aligning the convention with that of CME Globex.

The Client Impact Assessment with details on these changes is now available  online.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC), Good 'Till Date (GTD) and User-Defined Spread (UDS) orders for all contracts after their close on Friday, May 31. After 16:00 CT on Friday, May 31 all remaining GTC, GTD and UDS orders for BMD products will be cancelled by the CME Globex Control Center (GCC).

The new BMD instruments with the exception of strip spreads will be available for customer testing in New Release on Monday, April 7.

CME Group recommends that customers purge and re-load their instrument databases on Sunday, June 2.

CME Globex Equity Index Circuit Breaker and Daily Price Limit Changes for Futures and Options
Effective Sunday, April 7, 2013 (trade date Monday, April 8), changes to  circuit breaker methodology and price limits will be introduced on CME Globex for Equity Index futures and options, pending regulatory review periods.

Currently, price limits are established on a quarterly basis based upon the average closing price of the lead month futures contract in December, March, June and September. With this change, the width of the equity index futures price limit band will be calculated daily, based on the underlying cash equity index.

Customers are strongly encouraged to utilize the FIX/FAST Security Status (tag 35-MsgType=f) messages to obtain the daily price limits (tag 332-HighPx; tag 333-LowPx) to avoid the rejection of orders that breach price limit thresholds.

Customers may also obtain the daily price limits from the Security Definition (tag 35-MsgType=d, tag 1149-HighLimitPrice and 1150-LowLimitPrice) messages on the instrument replay feed.

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

If you have any questions, please contact the  CME Global Command Center in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.

Millisecond Timestamp Enhancement for Streamlined FIX/FAST for S&P and Dow Jones Indices
Starting on Sunday, April 14, 2013, CME Group will begin disseminating millisecond for all S&P and Dow Jones Indices market data via streamlined FIX/FAST.

With this change, CME Group will not change the size of the timestamp fields, but will replace zeros in the millisecond fields with actual millisecond data.

Please note: There are no template updates are required for this enhancement.

The following S&P and Dow Jones Indices messages and fields will be affected:

The millisecond granularity is currently available in New Release for customer testing.

Interest Rate Intercommodity Spreads
Effective Sunday, May 5 (trade date Monday, May 6), a new Interest Rate Intercommodity Spread type (tag 762-SecuritySubType=DI) will be introduced on CME Globex. With this launch, the 762-SecuritySubType value for the following intercommodity spreads will be modified from IS to DI and implied functionality will be enabled.

In addition, a new futures intercommodity implied spread will be listed for trading on CME Globex.

Detailed description of Inter-Commodity Implied spread type is available  online.

The new spread type and new intercommodity spread are currently available in New Release for customer testing.

Streamlined FIX/FAST for Block Trades
Starting on Sunday, May 12, 2013, CME Group will begin disseminating Block Trade market data via streamlined FIX/FAST. A Block Trade is a privately negotiated futures or option on futures transaction that is executed apart from the public auction market and that is permitted in designated contracts subject to specified conditions.

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 new templates.

Block Trade market data will be available in New Release for customer testing on Monday, March 24. An optional AutoCert+ Test Suite will available at the beginning of April. The availability of the new AutoCert+ Test Suite will be announced via the CME Globex and Market Data Notices.

Detailed information for streamlined FIX/FAST market data for Block Trades is available  online.

Block Trade market data is fee-liable. For additional details, please contact the  Information Products Management at 312 634 8395.

CME Europe on CME Globex
Pending regulatory recognition, CME Europe markets will be available via CME Globex for iLink order routing and market data late Q2/Early Q3 2013. Only non-US customers are eligible to trade on CME Europe. Eligible customers who would like to trade CME Europe products must establish all appropriate agreements and accounts to be authorised to trade CME Europe products and clear through CME Clearing Europe.

The launch includes the following impacts:

• New tag value to identify the exchange
• New products in FX Futures
• New market data channels to disseminate market data
• New streamlined Fix/Fast market data to publish block information

The  client impact assessment provides detailed functionality and messaging for customer systems interested in supporting CME Europe products via CME Globex.

A new CME Europe mandatory certification suite will be available Monday, April 7, in AutoCert+. Customer systems that plan to support CME Europe via CME Globex must complete this certification.

The implementation will be available in New Release for customer testing starting Monday, April 7.

Please contact your Global Account Manager for further information.

Trading at Marker Platts
Effective Sunday, April 7 (trade date Monday, April 8), 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 available in New Release for customer testing.

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

Please view the  New Product Summary.

Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price Options
Effective Sunday, April 14 (trade date Monday, April 15), Gasoline Euro-bob Oxy NWE Barges (Argus) Average Price options will be listed for trading on CME Globex.

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

Please view the  New Product Summary.

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

KCBT Product on CME ClearPort
Effective this Sunday, April 14 (trade date Monday, April 15), the following product will be listed for submission on CME ClearPort.

Variance Futures
Variance futures are currently available in the New Release environment for customer testing. The production launch date will be announced via the CME Globex and Market Data Notices.

Variance futures are based on the realized volatility of an underlying asset squared. Unlike most futures, the direction of these price changes in the underlying asset is irrelevant to the value of the Variance futures. These futures derive their value from the magnitude of the changes in price of the underlying assets, irrespective of their direction. Upon launch, these underlying assets include 4 currencies, 3 energy, and 2 metals products.

S&P GSCI Excess Return Index Futures Minimum Tick Increment and Display Factor Changes
Effective Sunday, April 7 (trade date Monday, April 8), changes to minimum tick increment tag 969-MinPriceIncrement and tag 9787-DisplayFactor will be implemented for S&P GSCI Excess Return Index futures, pending relevant regulatory review periods.

These changes will be available in New Release for customer testing on Monday, March 25.

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

 ITC Fractional Indicator Changes
Effective this Monday, April 8, CME Group will modify the final settlement price increment on the S&P GSCI ER futures, DJ-UBS Commodity Index futures and S&P GSCI futures and options. As a result, the ITC fractional indicator will be modified as follows:

These changes will be available for customer testing during the floor ITC ticker test on Friday, April 5.

Change the Trading and Settlement Tick Size of the U.S. Midwest Domestic Hot Rolled Coil Steel Average Price Options (HRO)
Effective Sunday, April 14 (for trade date Monday, April 15), U.S. Midwest Domestic Hot Rolled Coil Steel Average Price options minimum tick fluctuation will be modified from $1.00 to $0.25 on open outcry and CME ClearPort.

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

 Listing Expansion for Platinum Options and Palladium Options
Effective Sunday, April 14 (trade date Monday, April 15), the listing cycle for Platinum and Palladium options will be expanded on open outcry and for clearing through CME ClearPort as follows.

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

Revised Trading Hours on CBOT Commodity and KCBT Wheat Futures and Options
Effective this Sunday, April 7 (trade date Monday, April 8), all CBOT commodity futures and option and KCBT Wheat futures and options electronic trading hours will be modified on CME Globex. The new trading hours will be:

• Sunday to Thursday 19:00 to 07:45 Central Time (CT)
• Monday to Friday, Pause 07:45 to 08:30 CT
• Monday to Friday 08:30 to 13:15 CT

Mini-Sized Corn, Mini-Sized Soybeans and Mini-Sized Wheat will continue to trade on CME Globex until 13:45 CT.

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

The FIX/FAST preliminary settlement messages for these products will be disseminated beginning at 13:30 CT, after the CME Globex market close. Currently, the FIX/FAST messages for these products are disseminated around 14:15 CT. ITC settlement messages will continue to be sent as soon as settlement prices are available.

If you have any questions, please contact the  CME Global Control Center at 312-456-2391, in Europe at 44-20-7623-4708 or in Asia at 65-6223-1357.