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COMEX Floor Options Spread Reporting Change -- Effective March 30, 2009
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- To
- Quote Vendors
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- From
- Market Data Operations
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- #
- Q2009-048
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- Notice Date
- 05 March 2009
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- Effective Date
- 30 March 2009
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Effective March 30, 2009, there will be a change to the current way COMEX Option Spreads are disseminated via the COMEX ITC2 Floor Feed (MDP Channel 45). COMEX Floor Operations will be identifying and reporting Options Spreads similar to the way Options Spreads are currently identified and reported on the NYMEX Trading floor. COMEX Floor Options Spreads will no longer be reported generically using trade types Intra-Commodity Spread (ITC2 Combination Code 'SP') or Hedge (ITC2 Combination Code 'HE'), and will instead, use the strategy types as defined in the following table:
Options Strategy
ITC2 Combination Code
Ratio
RA
Fence
RR
Straddle/Strangle
ST
Synthetic
SY
Conversion
CV
Combo
CB
NOTE: For your convenience, a file of sample ITC2 messages is attached to the email containing the Market Data Operations Weekly Update from which you linked to this particular notice.
Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.
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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.
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