• Delisting of CME Globex Options on Exchange-Defined Spreads (EDS) and Listing of User Defined Spreads – Effective November 1, 2009

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      • Quote Vendors
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      • Market Data Operations
      • #
      • Q2009-197
      • Notice Date
      • 03 September 2009
      • Effective Date
      • 01 November 2009

    • This notice contains details of two changes that will be implemented on November 1, 2009 (trade date November 2). 

      Delisting of All Exchange Defined Spreads:

      Currently, approximately 360,000 options spreads are prelisted each week, which are known as Exchange-Defined Spreads (EDS). Less than 1% of the more than 360,000 EDS have activity. Due to customer and system provider demand, CME Group has chosen to delist all Exchange Defined Spreads and make all option strategies User defined Spreads (UDS).

      User Defined Spread Changes:

       

       

      The following changes to User Defined Spreads will be implemented:

      ·          Horizontals (HO) UDS will be harmonized, so all product complexes have the same construction:

      o    Buy deferred front leg with strike 1

      o    Sell near back leg with strike 1

      ·          This will be a change for Equity, Commodity, (CME and CBOT instead of Equity and Commodity?) NYMEX and COMEX options markets, and the pricing will be reversed from the current convention in these markets. With this change, all existing horizontal UDS in the Equity, Commodity, NYMEX and COMEX options markets will be removed

      ·          The horizontal harmonization will be available for customer testing in New Release Monday, September 14

      ·                      Diagonal (DG) UDS will be added as a recognized UDS spread type in all CME Globex options markets:

      o    Buy deferred front leg with strike 1

      o    Sell near back leg with strike 2

      ·                      The new diagonal recognized UDS spread type will be available for customer testing in New Release Monday, September 14

      ·          The following recognized UDS spread types will be added:

      o    Jelly Roll

      o    Iron Butterfly

      o    Guts

      o    3-way

      o    Straddle vs. Call

      o    3-way Straddle vs. Put

      ·          All option spreads must be created by traders using their trading software's UDS functionality.

       

       

      The following resources are available related to UDS functionality:

      •               Options Spread Enhancements 2009 Client Impact Assessment

      •                FIX/FAST Market Data UDS Impact

      •               A list of all CMEG recognized spread types in Electronic Trading Concepts

       

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

CME Group is the world’s leading 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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