• Market Data Notice: October 11, 2010

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      • Market Data Distributors
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      • Market Data Notices
      • #
      • Q2010-218
      • Notice Date
      • 14 October 2010
    • Topics in this issue include:
      Critical System Updates
      New Functionality
      Product Launches
      Product Changes
      S&P Launches and Changes
      Events and Announcements


      Critical System Updates

      CME Globex Network Migration to New Data Center
      As previously announced, to accommodate continued growth, CME Group has expanded its infrastructure and moved its CME Globex platform to a new state-of-the-art facility identified as data center 3. Phase 1 of the data center migration was completed as of August 8, 2010, where customers connected to the Globex data center using their new Production iLink IP addresses. As part of the Phase 2 of the data center migration in October, CME Group will migrate existing CME DIRECTLink, CME LNet, and Jackson Direct customer circuits from their current locations to the new data center.

      Detailed information on this migration is available  online.

       

       client impact overview is also available.

      Final Mock Trading Session
      The final post- migration mock trading session, to ensure customers can access all CME Group applications, will be offered this Saturday, October 16, 8:30 a.m.- 10:00 a.m. Central time. An   overview of the mock trading session is now available. Customers must    register online to participate.

       

      If you have any questions regarding this migration, please contact your  Global Account Manager at 312.634.8700 in the U.S.; +44 (0) 20 7796 7100 in Europe; or +852.3101.7696 in Asia.


      FIX/FAST Market Data Platform Channel Changes
      Effective Sunday, November 21, the FX futures and options Market Data Platform channels will be split to better manage messaging rates and performance.

      Channel 11 - CME FX Futures
       

      • The current channel 11 will continue to broadcast CME FX futures with the exceptions noted below.
      • New channel 60 will broadcast the following FX futures:
        • Tag 55-Symbol=6C
        • Tag 55=6E
        • Tag 55=6L
        • Tag 55=6M
        • Tag 55=6N
        • Tag 55=6R
        • Tag 55=CZ
        • Tag 55=KC
        • Tag 55=XR

      Channel 12 - CME FX Options
       

      • The current channel 12 will continue to broadcast CME FX options with the exceptions noted below.
      • New channel 61 will broadcast the following FX options:
        • Tag 55-Symbol=0L
        • Tag 55=0M
        • Tag 55=0X
        • Tag 55=0Z
        • Tag 55=2C
        • Tag 55=2E
        • Tag 55=2N
        • Tag 55=3J
        • Tag 55=3N
        • Tag 55=FR
        • Tag 55=MO
        • Tag 55=OR
        • Tag 55=UO
        • Tag 55=X8
        • Tag 55=XD
        • Tag 55=XT

      The change will not impact the volatility-quoted FX options on channel 6.

      Channel configuration information is available on the  ftp.cmegroup.com site as outlined in the   Core Functionality module of the FIX/FAST Software Development Kit. These new channels will be available in New Release for customer testing this Monday, October 18.


      NEW Expanded Security Definition Messages for User-Defined Spreads
      At customers’ requests, the following tags will be added to the Security Definition messages (tag 35-MsgType=d) for user-defined spreads. These tags are currently published on the Security Definition messages for outright instruments and exchange-defined spreads.

      New tags for UDS Security Definition Messages

      • Tag 461-CFICode
      • Tag 731-SettlPriceType
      • Tag 827-ExpirationCycle
      • Tag 1148-LowLimitPrice
      • Tag 1149-HighLimitPrice
      • Tag 1180-ApplID
      • Tag 1234-NoLotTypeRules
      • Tag 1093-LotType
      • Tag 1231-MinLotSize

      In addition, tag 600-LegSymbol, in the repeating group tag 555-NoLegs, will now identify the Symbol (tag 55) for each leg. Currently, tag 600 always contains [N/A].

      The expanded Security Definition messages will be launched according to the following schedule:

      • Sunday, October 31
        • CME Interest Rate Options
      • Sunday, November 7
        • CBOT Interest Rate Options
        • CME FX Options
      • Sunday, November 20
        • CME and CBOT Agriculture Options
        • CME and CBOT Equity Options
        • NYMEX, COMEX and DME Options
      • Sunday, December 12
        • Bursa Malaysia Derivatives Options

      There will be no template changes for this launch.

      The expanded Security Definition messages are currently available for customer testing in the New Release environment.

      New Functionality

      NEW FIX/FAST Maintenance Release
      Effective Sunday, November 7, the FIX/FAST maintenance release will launch on CME Globex.

      This launch will impact the Security Definition (tag 35-MsgType=d,) and Security Status (tag 35=f) messages. Details on the enhancements are available in the   Client Impact Assessment.

      Certification is not required and there are no new templates. Customers and system providers are encouraged to test the enhancements thoroughly in New Release starting Monday, October 24.


      COMEX, NYMEX, and DME Futures Enhancements
      Effective fourth quarter 2010, a number of enhancements will be introduced for COMEX, NYMEX, and Dubai Mercantile Exchange (DME) futures and futures spreads on CME Globex.

      COMEX, NYMEX, and DME Futures Enhancements

      Product Complex New Release Launch Production Launch
      COMEX Futures Now Available Sunday, November 7
      NYMEX Futures
      DME Futures
      Now Available Sunday, December 5

      The messaging and functionality impacts are documented online in the   Client Impact Assessment.

      CME Group recommends all system providers supporting NYMEX, COMEX or DME futures test these changes thoroughly in New Release.

      Product Launches

      EUA and CER Futures Calendar and Intercommodity Spreads
      Effective this Sunday, October 17 (trade date Monday, October 18), calendar and intercommodity spreads for the following NYMEX futures will be listed for trading on the CME Globex platform.

      • In Delivery Month European Union Allowance (tag 1151-SecurityGroup=EAF)
      • In Delivery Month Certified Emissions Reduction(tag 1151-SecurityGroup=CRE)

      The calendar spreads will use the value SP in tag 762-SecuritySubType. The intercommodity spreads will use the value IS in tag 762-SecuritySubType.

      These new futures spreads are available in New Release for customer testing.


      Cheese vs. Class III Milk Intercommodity Futures Spread
       

      Effective this Sunday, October 17 (trade date Monday, October 18), a new intercommodity spread for the Cheese vs. Class III Milk futures will be available for trading on the CME Globex platform.

      The Cheese vs. Class III Milk intercommodity spread will be listed with tag 1151-SecurityGroup=CSC, tag 55-Symbol=DY and tag 762-SecuritySubType=IS.

      This new intercommodity spread is available in New Release for customer testing.


      Options on Weekly NASDAQ-100 and Weekly E-Mini NASDAQ-100 Futures
      Effective this Sunday, October 17 (trade date Monday, October 18), European-style weekly options on the NASDAQ-100 and E-mini NASDAQ-100 futures will be listed on CME Globex.

      These NASDAQ-100 weekly options will expand the number of available expirations and provide our customers with more trading opportunities and increased flexibility for more efficient position management.

      Benefits include expanded trading choices, certainty of exercise, and the precision and flexibility of additional listings.

      A weekly expiration will be available for every Friday of the contract month except for the third Friday, the expiration day of existing American-style quarterly and serial options. In months that have five Fridays (October 2010, for example), a Week 5 weekly expiration will be listed for trading.

      Please view the  New Product Summary.

       


      Crude Oil Volatility Index (VIX®) Futures and Gold Volatility Index (VIX®) Futures
      Effective this Sunday, October 17 (trade date Monday, October 18), Crude Oil Volatility Index (VIX®) Futures and Gold Volatility Index (VIX®) Futures will be listed for trading on CME Globex platform.

      These two futures contracts are based on volatility indexes that combine NYMEX’s and COMEX’s options market data on CME Globex for the crude oil and gold with the Chicago Board Options Exchange (CBOE) Volatility Index® (VIX® methodology. The Crude Oil Index will be a 30-day forward looking index value on option implied volatility while the Gold will be a 60-day forward looking index value on option implied volatility. These contracts will be listed on NYMEX (Crude Oil VIX) and COMEX (Gold VIX), and subject to, the rules and regulations of NYMEX, COMEX and Chicago Mercantile Exchange Inc.

      Please view the New Product Summaries:

       Crude Oil Volatility Index (VIX®) Futures

       Gold Volatility Index (VIX®) Futures


      Iron Ore 62% Fe, CFR North China (Platts) Swap Futures
      Effective this Sunday, October 17 (trade date Monday, October 18), Iron Ore 62% Fe, CFR North China (Platts) Swap futures will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort. This iron ore contract will be based on the Platts Iron Ore Index CFR North China 62% Fe index.

      Please view the  New Product Summary.

       


      EIA Flat Tax On-Highway Diesel Average Price Options
      Effective this Sunday, October 17 (trade date Monday, October 18), EIA Flat Tax On-Highway Diesel Average Price options will be listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      Please view the  New Product Summary.

       


      On-The-Run U.S. Treasury Futures
      Effective Sunday, October 24 (trade date, Monday, October 25), On-the-Run (OTR) U.S. Treasury futures and intercommodity spreads will be listed for trading on CME Globex platform, Open Outcry and for clearing through CME Clearport.

      Please view the  New Product Summary.

       

      The OTR Treasury spreads will use a new external name naming convention. The external naming convention will contain the actual ratio and both maturities for the underlying contracts.

      • Convention: OTR Treasury spread, Ratio, Maturity
      • New External Name: OTB 02-01 X0-Z0
      • Defined Ratio: 2:1
      • Month/Year Code: X0 and Z0

      View the Tentative Auction Schedule of U.S. Treasury Securities   online.


      Daily European Union Allowance (EUA) Futures
      Effective Sunday, October 31 (trade date November 1), the Daily European Union Allowance (EUA) Futures will be listed for trading on CME Globex. When launched, the Daily EUA Futures contract will be one of the emissions products (or “Green products”) available for trading via CME Globex and listed on NYMEX.

      In addition, the Daily EUA Futures contract will be the first CME Globex daily expiration futures contract, and as such represents new functionality within CME Globex. For the Daily EUA Futures contract, the listing schedule will include two (2) daily contracts available for trading at any one time: the current trade date and the following trade date (the contract date). On the last trade date, trading will halt at 11:00 a.m. Central Time (CT) (5: 00 p.m. (UK) local time) and the Exchange for Related Position (EFRP) transaction session will end at 12:00 p.m. (CT) (6:00 PM (UK) local time).

      Please note: During the week of October 31 through November 7 due to the end of British Summer Time (BST), trading will halt at 12:00 p.m. (CT) and the EFRP transaction session will end at 1:00 p.m. (CT).

      The FIX/FAST Security Definition message (tag 35-MsgType=d) is being modified to support this new functionality. The following FIX tags will be leveraged for the Daily EUA Futures contract, as follows:

      Daily European Union Allowance (EUA) Futures

      Product tag 1151-SecurityGroup tag 55-Symbol tag 207-SecurityExchange tag 872-InstAttribValue tag 200-MaturityMonthYear
      Daily European Union Allowance (EUA) Futures EUL VE XNYM 19 = Daily Product Eligibility YYYYMMDD

      For daily expiration futures contracts:

      • Tag 200-MaturityMonthYear will include the maturity date, in the YYYYMMDD format; the maximum tag length will remain 8 bytes.
      • Tag 872-InstAttribValue = 19 identifies this as daily expiration futures contract.
      Please view the  New Product Summary.

       

      To support extended testing time for this new daily expiration futures product type and the associated messaging tags, the Security Definition messages are available in New Release, Certification and Production environments for CME Globex. The Daily EUA Futures contract will be actionable in both the New Release and Certification test environments, but will be non-actionable in the CME Globex Production environment.

      We advise customers to test this new product under current production code in the Certification test environment, and under the NYMEX-enhanced functionality in New Release test environment.


      NEW Green Exchange Product Migration
      Effective Sunday, January 23, 2011 (trade date Monday, January 24), the existing Green products will be de-listed from trading on the NYMEX Exchange and listed for trading on the Green Exchange (the “Transition”).

      As previously announced, Green Exchange products will be available for trading via CME Globex and privately-negotiated transactions may be submitted for clearing through CME ClearPort. Upon the Transition, an additional number of NYMEX emissions products currently listed on the CME Globex platform will be migrated to the Green Exchange.

      Currently, select Green Exchange products are available for customer testing in New Release. Effective Monday, November 1, 2010, the following NYMEX products will be migrated to Green Exchange products in New Release for customer testing. These products will use the same SecurityGroup (tag 1151) as they do today; however the value in tag 207-SecurityExchange will be updated from XNYM to GREE. In addition, the value in tag 55-Symbol will be changed for the Green Exchange products.

      The FIX/FAST market data for these products will continue to be broadcast on channel 32 of the Market Data Platform, as it is today. With this launch, channel 32 will have market data for both NYMEX and Green Exchange futures products.

      New Green Exchange Futures in New Releases

      Futures Tag 1151-SecurityGroup Current tag 55-Symbol New
      tag 55-Symbol
      Current tag 207-SecurityExchange New tag 207-SecurityExchange
      European Union Allowance (EUA) Futures EUA VO
      (v-oh)
      VX XNYM GREE
      In Delivery Month European Union Allowance (EUA) Futures EAF
      Certified Emission Reduction (CER) Futures CCR
      In Delivery Month Certified Emission Reduction (CER) Futures CRE
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2009 Futures 98N
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2010 Futures 76X
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2011 Futures 86N
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2012 Futures 96X
      Climate Action Registry (CAR) Future CR
      Climate Action Registry Vintage 2009 Futures 92X
      Climate Action Registry Vintage 2010 Futures 93X
      Climate Action Registry Vintage 2011 Futures 94X
      Climate Action Registry Vintage 2012 Futures 95X
      SO2 Emissions 25 Allowance - Vintage 2009 Futures VAF

      These products will be available for trading via CME Globex Sunday, January 23 (trade date Monday, January 24).

      These new products and Security Definition messages will be available for customer testing in New Release environment Monday, November 1, 2010.

      Product Changes

      European-style Weekly S&P 500 and E-mini S&P 500 Options Strike Changes
      Effective this Sunday, October 17 (trade date Monday, October 18), the strike listing rules for the European-style weekly options on the S&P 500 and the E-mini S&P 500 strike ranges will be expanded for all listed maturities.

      With this change, all maturities of the European-style weekly S&P options will list at-the-money (ATM) ± 30 strikes. Currently, ATM ±10 strikes are listed for all maturities.

       


      DJIA and E-mini Dow Options Strike Changes
      Effective this Sunday, October 17, 2010 (trade date October 18), additional strikes for second nearest expiring options in DJIA and E-mini Dow options on futures will be added as follows:

      • 10% at 50-point intervals for second nearest expiring option in the quarterly cycle

      This will follow the existing strike listing rule of ± 10% at 50-point intervals for the nearest expiring options in the quarterly cycle.


      NEW Hurricane Settlements & Activations
      On Sunday, October 10, 2010, coverage was suspended by the National Hurricane Center for Hurricane Otto the fifteenth named storm of the season.

      Trading in HG5, G5B, HS5 and S52 will terminate at 9:00 a.m. Central Time (CT) on Monday, October 18, 2010.

      The final settlement values are as follows:

      • 0.0 for HG5 (for CME Hurricane Index futures & options on Hurricane Otto)
      • 0.0 for G5B (for CME Hurricane Index Binary Contract on Hurricane Otto)
      • 0.0 for HS5 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Otto)
      • 0.0 for S52 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Otto)

      At this time, there is no open interest in any of the futures or options for HG5, G5B, HS5 or S52.

      In addition, the next contract in all four sequences should be listed for trading on Monday, October 18, 2010.

      • HG8 (for CME Hurricane Index futures & options on Hurricane Shary)
      • G8B (for CME Hurricane Index Binary Contract on Hurricane Shary)
      • HS8 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Shary)
      • S82 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Shary)

      NEW Cash-Settled Cheese Futures Strips
      Effective October 31 (trade November 1), 3-, 6-, and 9-month strips on cash-settled cheese futures will be listed for trading on CME Globex.

      These strips will use tag 55-Symbol=DY, tag 1151-SecurityGroup=CSC and tag 762-SecuritySubType=FS.

      The new strips will be available for customer testing in New Release this Monday, October 18, 2010.


      NEW Expansion of Contract Months for the 3.5% Fuel Oil (Platts) Barges FOB Rdam Crack Spread Swap Futures
      Effective Sunday, October 31, 2010 (trade date Monday, November 1), CME Group will expand the contract months listing for the 3.5% Fuel Oil (Platts) Barges FOB Rdam Crack Spread Swap Futures (code FO).

      The listing will be expanded as follows:

      • The contracts will be listed through the current calendar year plus the next consecutive four (4) full calendar years.
      • Following the termination of the December contract month, a new full calendar year will be added on an annual rolling basis.

      These contracts are currently listed on the NYMEX trading floor and CME ClearPort.

      S&P Launches and Changes

      New S&P Real Time Indices
      Effective this Monday, October 18, 2010, the ITC 2.1 fractional indicator will be modified from 2 to 3 for the following S&P Indexes:

      S&P Real Time Indices

      Index Name MDP Ticker Symbol S&P Display Codes Currency
      MSCI WISE ASIA Ex-Japan Top (NetTR) AJT SGIXWATR 3
      MSCI WISE ASIA Ex-Japan Top AJR SGIXWAT 3

      NEW  Discontinued S&P Real Time Indices
      Effective Friday, October 22, 2010, at the close of business on July the following S&P Index will be discontinued.

      S&P Real Time Indices

      Index Name MDP Ticker Symbol S&P Display Codes
      Alphashares China Consumer Index ACS ACNCS
      Alphashares China Infrastructure Index ACI ACNIF
      Events & Announcements

      Update CME Co-Location Services Details and Application Process
      Reminder: Application Period: Now Open through October 27, 2010
      CME Co-Location Services – comprised of hosting, connectivity and support services – will launch early 2012 at our new state-of-the-art data center. The CME Group Data Center, designed to be environmentally friendly and energy efficient, will provide the following services:

      • Power and Space
      • Lowest Latency and Equidistant Access for All Customers
      • Exceptional Support and Responsiveness

      If you are interested in having the lowest possible latency connection to the CME Globex platform, contact your   Global Account Manager today.

      Please note the Application Period will close on Wednesday, October 27, 2010 at 5:00 p.m. Central Time.

       Learn more about CME Co-Location Services, visit   www.cmegroup.com/colo

       View   CME Co-Location Services Brochure (PDF)

       To request additional information and to apply, please contact your  Global Account Manager at +1.312.634.8700 in the United States; +44.20.7796.7100 in Europe; and +65.6593.5574 in Asia.

      CME Co-Location Briefing Center Coming Soon
       

      For your convenience, the CME Co-Location Briefing Center is coming soon and will be located at 141 West Jackson in Chicago, IL.

      The Briefing Center will include displays of:

       

      • Cabinets and Cages
      • Cabling Options
      • Power Strips

      Conference room facilities will also available.

      To access the Briefing Center, an appointment will be needed. Please contact your  Global Account Manager for further information and to schedule an appointment today.