• Volatility-Quoted FX Options - Effective Sunday, March 9, 2008

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      • Market Data Distributors
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      • Market Data Operations
      • #
      • Q2008-007
      • Notice Date
      • 10 January 2008
      • Effective Date
      • 09 March 2008

    • CME Group has determined that in the interests of saving quote vendor connection costs, CBOT metals will be migrated to the CME Market Data Platform at the end of February 2008 (specific date to be determined). As a result, all CBOT customers with BT Radianz connections to the CBOT network should terminate those connections by February 29, 2008 .

      The MDP will support two channels for CBOT metals -- one will support top of book, and the other depth of market, both in the CBOT flavor of the ITC 2.1 specification . Channel definitions, IP addresses and Port information will be distributed as soon as they are available.

      In addition, all Open Auction (floor-traded) Metals will be delisted, effective January 18, 2008 .

      For assistance with disconnecting BT Radianz circuits, please contact Lakisha Speights at 312.338.7110, or email cbotvendorsupport@cmegroup.com.

      The previously announced volatility-quoted FX options for trading on the CME Globex® electronic trading platform, originally scheduled to begin in February 2008, have been rescheduled to begin trading on March 9, 2008.

      Volatility – based quoting facilitates “delta-neutral” trading, virtually eliminating the execution risk that is inherent to trading in premium-quoted options.

      Volatility-quoted options will be available in both American- and European-style expiration on the following options products:

      • EuroFX
      • British Pound
      • Japanese Yen
      • Canadian Dollar
      • Swiss Franc
      • Australian Dollar (American-style only, initially)

      These products will be fully fungible with the existing premium-quoted FX options and futures.

      The table in Exhibit 1, on the following page, details product and group code information for each product.

      MDP Channel Information
      Market data for foreign currency volatility-quoted options will be disseminated via the Market Data Platform as follows:

      Message Type MDP Channel
      ITC 2.1 Market Data 205
      RLC Market Data 12

      Volatility Pricing Conventions
      Please note that ITC 2.1 market data messages require no changes to support volatility-quoted options. Volatilities will be transmitted in the price field, and will be represented in decimal form; i.e. a volatility of 6 1/4% will be represented by .0625; this will be represented in the ITC 2.1 transmission format as 0006250, with a fractional indicator of 3, which will be interpreted as 6.250. For RLC messaging enhancements, please refer to the Volatility-Quoted Options Client Impact Assessment document.

      Exhibit 1

      Volatility-Quoted FX Options Codes

      Product Expiration Style Listing Term Group Code Product Code
      Australian Dollar Volatility-Quoted Options American Monthly 3A V6A
      Australian Dollar Volatility-Quoted Options American Weekly 3A VA(1-5)
      British Pound Volatility-Quoted Options American Monthly 3B V6B
      British Pound Volatility-Quoted Options American Weekly 3B VB(1-5)
      British Pound Volatility-Quoted Options European Monthly 3B VXB
      British Pound Volatility-Quoted Options European Weekly 3B VB(A-E)
      Canadian Dollar Volatility-Quoted Options American Monthly 3C V6C
      Canadian Dollar Volatility-Quoted Options American Weekly 3C VC(1-5)
      Canadian Dollar Volatility-Quoted Options European Monthly 3C VXC
      Canadian Dollar Volatility-Quoted Options European Weekly 3C VC(A-E)
      Euro FX Volatility-Quoted Options American Monthly 3E V6E
      Euro FX Volatility-Quoted Options American Weekly 3E VE(1-5)
      Euro FX Volatility-Quoted Options European Monthly 3E VXT
      Euro FX Volatility-Quoted Options European Weekly 3E VT(A-E)
      Japanese Yen Volatility-Quoted Options American Monthly 3J V6J
      Japanese Yen Volatility-Quoted Options American Weekly 3J VJ(1-5)
      Japanese Yen Volatility-Quoted Options European Monthly 3J VXJ
      Japanese Yen Volatility-Quoted Options European Weekly 3J VJ(A-E)
      Swiss Franc Volatility-Quoted Options American Monthly 3S V6S
      Swiss Franc Volatility-Quoted Options American Weekly 3S VS(1-5)
      Swiss Franc Volatility-Quoted Options European Monthly 3S VXS
      Swiss Franc Volatility-Quoted Options European Weekly 3S VS(A-E)

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