ITC 2.1 Spread Dissemination Changes – Effective, Monday, July 27, 2009

Effective Monday, July 27, 2009, CME Group will introduce a new spread, Mixed Spread,  (MX – spread type) for trading in the CME Group open outcry markets. This spread type will be disseminated via CME MDP Channels 3 and 100 in the ITC 2.1 Format. 

In addition, CME Group will modify the current process of sending Category Code “t’ market data messages for open outcry spreads containing more than four legs. The 20-character Description field in the ITC spread message will contain “RTH SPRD” + indicate which leg of the spread for the given message. 

TESTING SCHEDULE:

Tickers tests will be conducted on Friday, July 17, 2009 and July 24, 2009 at 5:00pm over Channel 3 and Channel 100 of MDP for both of these changes. Please review sample messages of each spread change below.

Mixed spread type description and ITC 2.1 sample messages:

Spread type: MX

Number of legs: 2

Leg types: 2 option legs

Description1: Buy (or sell) near month put (or call), buy (or sell) deferred month call (or put) at different strikes, same or different quantity

Quote Basis: Total Premium Example:

N 390P- U 410C 122 pts 50 times                                        

U 350P- Z 320P 170 pts 50 x 75 times

Description 2: Buy (or sell) month put (or call), sell (or buy) same or deferred month call (or put) at different strikes, in related commodities

Quote Basis:  Net Premium Example:

4XM 1410P- 3XN 1430C 10 pts 105 times           

EVM 850P- OSN 900P 2350 pts 50 times            

Sample Messages:

aM   Lt O00000060814020Rb RTH SPRD            MX022 0000035+TD        O EV  U09P0075000+ESP  Z09TU092               00025O CS  Z09C0                          077500+ASP  Z09GZ092               00037c

aB   Lt O00000020816110Rb RTH SPRD            MX02E 0000016+TD        O PY  N09P0004100+AC   N09PM09E               00500O PY  Z09P0                           004200+AC   Z09JX09E               00250c

Spread Messages Containing more than 4 legs ITC 2.1 description sample messages:

Description: Generic spreads containing more than 4 legs will be disseminated with multiple messages with differing sequence numbers but containing the same ITC timestamp as the first part of the message.

Sample 1: Generic spread with 9 future legs.  Each leg within the spread has a different price and quantity and are

linked together with “RTH SPRD – 1 OF 3”, “RTH SPRD – 2 OF 3” and “RTH SPRD – 3 OF 3”.

aB   LA 800000081032130Rb RTH SPRD - 1 OF 3   GN032 0000010+TDF BO  N09DN09 2 0000010+T 00001F BO  Q09DQ09 2 0000020+T 00002F C   N09DN09 E 0000030+T 00003c

aB   LA 800000091032130Rb RTH SPRD - 2 OF 3   GN032 0000010+TDF C   U09DU09 E 0000040+T 00004F O   N09DN09 E 0000050+T 00005F O   U09DU09 E 0000060+T 00006c

aB   LA 800000101032130Rb RTH SPRD - 3 OF 3   GN032 0000010+TDF RR  N09DN09 3 0000070+T 00007F RR  U09DU09 3 0000080+T 00008F TY  Z09KZ09 U 0000090+T 00009c

Sample 2: Generic spread with 6 option legs + 5 future legs. Each leg within the spread has a different price and quantity and are linked together with “RTH SPRD – 1 OF 3”, “RTH SPRD – 2 OF 3” and “RTH SPRD – 3 OF 3”.

aM   LA 800000391113420Rb RTH SPRD - 1 OF 3   GN044 0001000-TDO PE  M09P0910000+AED  M09EM094   4 0001000-T 00001O CE  M09C0910000+AED  M09EM094   4 0002000+T 00002O PE  U09P0920000+AED  U09DU094   4 0003000-T 00003O CE  U09C0920000+AED  U09DU094   4 0004000+T 00004c

aM   LA 800000401113420Rb RTH SPRD - 2 OF 3   GN044 0001000-TDO PE  Z09P0930000+AED  Z09DZ094   4 0005000-T 00005O CE  Z09C0930000+AED  Z09DZ094   4 0006000+T 00006F ED  M09EM09 4 0007000-T 00007F ED  U09DU09 4 0008000+T 00008c

aM   LA 800000411113420Rb RTH SPRD - 3 OF 3   GN034 0001000-TDF ED  Z09DZ09 4 0009000-T 00009F ED  H10EH10 4 0010000+T 00010F EM  M09EM09 4 0011000+T 00011c

Please refer to the attached text file for more examples spread messages containing more than 4 legs.

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