• Options Changes to Exchange-Defined Spreads (EDS) on CME Globex - Effective March 22, 2009

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      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-038
      • Notice Date
      • 26 February 2009
      • Effective Date
      • 22 March 2009

    • Effective Sunday, March 22, 2009 (trade date Monday, March 23), CME Group will begin a phase approach for delisting Options EDS from CME Globex. Currently, CME Group prelists approximately 360,000 options spreads per week, known as Exchange-Defined Spreads (EDS).  Fewer than 1% of the more than 360,000 EDS have activity. Due to customer and system provider demand, CME Group has chosen to remove all EDS and make all option strategies user defined.

      User-Defined Spreads (UDS) will be subsequently listed per the timetable below. A UDS is an option spread that a trader creates by defining the spread's legs and ratios. CME Globex receives these legs and creates a tradable instrument that is disseminated to the entire market. If the created spread matches a known CME Group spread type (e.g. straddle), CME Globex will properly identify the spread as that type.

      Timetable

      Please reference the following timetable regarding the changes to the options EDS and UDS:

      Production Date

      Change

      New Release Date

      March 22

      ·          Delist all FX options and Dairy options EDS from CME Globex  with the exception of the following:

      FX Options

      o    AUD/USD (tag 1151-SecurityGroup=6A)

      o    CAD/USD (tag 1151=6C)

      o    GBP/USD (tag 1151=6B)

      o    EUR/USD (tag 1151=6E)

      o    JPY/USD (tag 1151=6J)

      o    CHF/USD (tag 1151=6S)

      Dairy Options

      o    Dry Whey (tag 1151=DY)

      o    Class III Milk (tag 1151=DC)

      March 9

      Apr 19

      ·          Harmonization of the recognized option spread types (e.g., horizontal, butterfly, etc) will take place across all product complexes. All customer-created UDS that match a CME Globex-recognized spread type will be identified as that strategy type in the Security Definition message (tag 35-MsgType=d, tag 762-SecuritySubType), regardless of the product complex.*

      March 20

      July 31

      ·          The following recognized UDS spread types will be added:

      o    Jelly Roll

      o    Iron Butterfly

      o    Guts

      o    3-way Straddle vs. Call

      o    3-way Straddle vs. Put    

      ·          CME Group will no longer pre-list any options EDS.

      ·          All existing options EDS will be removed with no new options EDS to be added. 

      April 17

       

      *Please note: the following exclusions to the spread type harmonization apply:

      • Horizontal and Diagonal spreads (tag 762=HO) will continue as today, because they are defined specifically to their product complex
      •  Conditional Curve (tag 762=CC) will only be available for Eurodollar options
      •  FX volatility-quoted options will not be affected by this change

      The following resources are available related to UDS functionality:

      Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.

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