• Market Data Notices: November 1, 2010

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      • Market Data Distributors
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      • Market Data Notices
      • #
      • Q2010-222
      • Notice Date
      • 01 November 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

      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 are available in New Release for customer testing.


      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

      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 25.


      Update COMEX, NYMEX, and DME Futures Enhancements
      The COMEX futures enhancements launch, scheduled for this Sunday, November 7, has been postponed in response to customer feedback. Further information will be published in the CME Globex Notices as it becomes available. As a result, GTC and GTD orders will not be eliminated, and the normal pre-open schedule will apply on Sunday.

      COMEX, NYMEX, and DME Futures Enhancements

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

      In internal testing environments, the enhancements for COMEX have resulted in significantly reduced message response times. Already among the fastest in the industry, this upgrade is expected to reduce iLink and FIX/FAST response times by an average of 30%. As a result of the reduced message response times, bandwidth utilization in these futures markets is expected to ultimately increase by as much as 30%.

      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

      Update Monthly and Seasonal Strip Rainfall Index Futures
      The following Monthly and Seasonal Strip Rainfall Index Futures launched Sunday, October 31 (trade date November 1). The correct product codes are available in the   New Product Summary.

      Rainfall Index Futures & Strips are geared to the amount of rainfall recorded in a given month in a designated location. They provide a way to:

      • Protect revenues and manage risks related to rainfall
      • Accept the risks related to rainfall in exchange for possible profit

      Brent Look-Alike Crude Oil Options
      Effective Sunday, November 14 (trade date Monday, November 15), the Brent Look-Alike Crude Oil Option contract on the CME Globex trading platform for six consecutive contract months.

      The Brent Look-Alike Crude Oil Option contract will continue to be available for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort up to 72 consecutive months on an annual basis (balance of current year plus five full years) and then June and December contracts for three additional years.


      7-Year Interest Rate Swap Futures
      Due to customer demand, seven year interest rate swap futures currently available for trading on the Globex venue will also be available via open outcry effective November 15, 2010.

      • A new ITC ticker symbol, N7 will be added to reflect floor volume effective November 15, 2010 and will be available on MDP channel 100.
      • The existing Globex and clearing symbol for seven year IRS futures is 7I (eye) and will not change.

      Green Exchange Product Migration
      Effective Sunday, January 23, 2011 (trade date Monday, January 24), the existing NYMEX emissions products (Green products) will be de-listed from trading on NYMEX and will be listed for trading on Green Exchange (the Transition). 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 products. The Green futures and options will be disseminated on new Market Data Platform channels 18 and 19 as described below.

      As previously announced, following the Transition, Green futures products will continue to be available for trading via CME Globex and privately-negotiated transactions accepted for submission for clearing through CME ClearPort. In addition, with the Transition, ten Green options products (currently available for trading on the New York trading floor) will be transitioned to and newly listed for trading on the CME Globex platform.

      Currently, select Green products are available for customer testing in New Release on the Market Data Platform channel 32. The remaining changes to New Release will be rolled in as follows:

      • November 1, 2010
        • 14 final Green futures products will be available in New Release on the existing channel 32.

      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
      • November 8, 2010
        • Market data for all the Green futures will be disseminated in New Release on the new Green Exchange futures channel 18.
        • Market data for the three existing Green options, currently disseminated in New Release on channel 37, will be migrated to the new Green Exchange options channel 19.
      • November 22, 2010
        • Seven new Green Exchange options will be launched in New Release with market data available on channel 19.

      New Green Exchange Options in New Releases

      Futures Tag 1151-SecurityGroup tag 55-Symbol tag 207-SecurityExchange
      European Union Allowance (EUA) Option EUX GY GREE
      In Delivery Month European Union Allowance (EUA) Option EAX
      In Delivery Month European Union Allowance (EUA) Serial Option 9G
      Certified Emission Reduction (CER) Option CCX
      In Delivery Month Certified Emission Reduction (CER) Option CRY
      In Delivery Month Certified Emission Reduction (CER) Serial Option 9E
      Climate Action Reserve Option CO
      Product Changes

      NEW Hurricane Settlements & Activations
      On Saturday, October 30, 2010, coverage was suspended by the National Hurricane Center for Hurricane Shary the eighteenth named storm of the season.

      Trading in HG8, G8B, HS8 or S82 will terminate at 9:00 a.m. Central Time (CT) this Friday, November 5, 2010.

      The final settlement values are as follows:

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

      At this time, there is no open interest in any of the futures or options for HG8, G8B, HS8 or S82.

      In addition, the next contract in all four sequences should be listed for trading this Friday, November 5, 2010:

      • HF1 (for CME Hurricane Index futures & options on Hurricane Walter)
      • F12 (for CME Hurricane Index Binary Contract on Hurricane Walter)
      • HN1 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Walter)
      • NH1 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Walter)

      NEW Expansion of Contract Months for LLS (Argus) vs. WTI Spread Calendar Swap Futures
      Effective Wednesday, November 3 (trade date Thursday, November 4), CME Group will expand the listing of the LLS (Argus) vs. WTI Spread Calendar Swap futures (WJ) in the following manner:

      • The current year plus the next three (3) consecutive full years instead of its current, 36 contract months, listing schedule.
      • At the expiration of the December contract month, a new, full year shall be added.

      This contract is available for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort. The expansion of listed months will be reflected in both venues.


      NEW New Contract Listings for Natural Gas Calendar Spread (IC) and Natural Gas Financially Settled Calendar Spread (G3) Options
      Effective Sunday, November 7, 2010 (trade date Monday, November 8), CME Group will expand its listing of the options on the October – January three-month spreads for each of Henry Hub Natural Gas Calendar Spread (IC) and Henry Hub Natural Gas Financial Calendar Spread (G3) options listed on the NYMEX trading floor and CME ClearPort.

      The listing expansion for the three-month October – January spreads in IC and G3 will consist of the following:

      • Addition of the October 2012 and October 2013 contract months such that the three-month spreads in each of IC and G3 are listed for the next three October expirations.

      NEW FIX tag 55-Symbol Change for E-mini S&P SmallCap 600 Futures
      Effective Sunday, December 12 (trade date Monday, December 13), the Symbol (FIX tag 55) for E-mini S&P SmallCap 600 futures will be changed as follows:

      FIX tag 55-Symbol Change for E-mini S&P SmallCap 600 (SMC)

      Product Tag 1151-SecurityGroup Current tag 55-Symbol New tag 55-Symbol
      E-mini S&P SmallCap 600 Futures SMC ME SC

      The E-mini S&P SmallCap 600 (SMC) with the new tag 55 value will be available in New Release for customer testing on Monday, November 15.

      S&P Launches and Changes

      Discontinued S&P Real Time Indices
      Effective this Friday, November 5, at the close of business on July the following S&P Index will be discontinued.

      S&P Real Time Indices

      Index Name MDP Ticker S&P Display Codes
      S&P Asia STARS Index (Net TR) ATR SPSRASTR
      S&P Europe STARS Index ESU SPSREU
      S&P Europe STARS Index (EURO) ESE SPSREUEU
      S&P Europe STARS Index (Net TR) ESN SPSREUTR
      S&P US STARS Index SIU SPSRUS
      S&P US STARS Index (EURO) SIE SPSRUSEU
      S&P US STARS Index (TR) USN SPSRUSTR

      New S&P Real Time Indices
      Effective Monday, November 15, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 of CME’s MDP, with an Exchange Code of “M.”

      New S&P Real-time Indices

      Index Name MDP Ticker S&P Display Codes Dissemination Times Fee Liable
      RBS Autopilot USLarge Cap Index (USD) TR APL APLCUT 8:30 to 16:30
      Central Time
      No
      Elements Linked to ML Gold Index EIV GOEVIA
      Elements Linked to ML Grains Index UIV GRUVIA
      Elements Linked to ML LiveStock Index LSO LSOIVA
      Elements Linked to ML Precious Metal Plus Index YIV PMYIVA
      Elements Linked to MLCX Biofuels Index FUE FUEIVA
      Elements Linked to Rogers Commodity Index IIV RJIIVA
      Elements Linked to Rogers Intl Agriculture Index AIV RJAIVA
      Elements Linked to Rogers Intl Energy Index NIV RJNIVA
      Elements Linked to Rogers Intl Metals Index ZIV RJZIVA
      Morgan Stanley Double Long Euro Index GEU DLONGEUR 7:30 to 16:30
      Central Time
      No
      Morgan Stanley Double Short Euro Index TEU DSHRTEUR
      S&P Aerospace & Defense Select Industry Index IAD SPSIAD 8:30 to 16:30
      Central Time
      Yes
      S&P Biotechnology Select Industry Index SPB SPBIO
      S&P Building and Construction Select Industry Index SIB SPSIBC
      S&P Computer Hardware Select Industry Index ICH SSPSICH
      S&P Computer Software Select Industry Index ICS SPSICS
      S&P Global 100 ( C ) GBL SPGBL 18:00 to 16:30
      Central Time
      Yes
      S&P Health Care Services Select Industry Index IHP SPSIHP 8:30 to 16:30
      Central Time
      Yes
      S&P Healthcare Equipment Select Industry Index IHE SPSIHE
      S&P Homebuilders Select Industry Index OME SPHOME
      S&P Leisure Time Select Industry Index ILT SPSILT
      S&P Metals and Mining Select Industry Index SIM SPSIMM
      S&P Oil & Gas Equipment Select Industry Index IOS SPSIOS
      S&P Oil & Gas Exploration & Production Select Industry Index IOP SPSIOP
      S&P Outsourcing & IT Consulting Select Industry Index IOC SPSIOC
      S&P Pharmaceuticals Select Industry Index IPH SPSIPH
      S&P Retail Select Industry Index SIR SPSIRE
      S&P Semiconductors Select Industry Index SMX SPSEMI
      S&P Telecom Select Industry Index ITE SPSITE
      S&P Transportation Select Industry Index ITN SPSITN

      New S&P Real Time Indices
      Effective Monday, November 22, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 of CME’s MDP, with an Exchange Code of “M.”

      New S&P Real-time Indices

      Index Name MDP Ticker S&P Display Codes Dissemination Times Fee Liable
      S&P Euro Liquid 75 ELP SPEL75UP 23:45 to 14:00
      Central Time
      Yes

      Update Revised ITC 2.1 Fractional Indicators
      Effective this Monday, November 22, the ITC 2.1 fractional indicator will be modified for the select S&P Indexes. Please click   here to view the complete list of indexes.


      NEW New S&P Real Time Indices
      Effective Monday, November 29, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 of CME’s MDP, with an Exchange Code of “M.”

      New S&P Real-time Indices

      Index Name MDP Ticker S&P Display Codes Dissemination Times Fee Liable
      S&P / Harel Energy Index ENI SPHLENIP 1:30 to 11:30
      Central Time
      Yes
      S&P / Harel Materials Index MAI SPHLMAIP
      S&P / Harel Consumer Goods Index CGI SPHLCGIP
      S&P / Harel Telecommunications Index TCI SPHLTCIP

      Update New S&P Real Market Data Platform Channel
      Effective Sunday, December 19, CME Group will introduce a new Market Data Platform (MDP) channel to support S&P indices. All existing S&P Indices, which currently reside on MDP channel 3 will migrate to the new MDP channel 109 all other indexes will remain on MDP channel 3.

      With this migration, the following ITC 2.1 Specification changes will occur for all S&P indexes, which will be disseminated on MDP channel 109:

      • Message Time Stamp will be disseminated in Greenwich Mean Time (GMT).
      • Message Day Code will be based on the date of where the index is traded (Asian index will reflect accurate date and GMT).
      • New Exchange IDs will be utilized to give customers the ability to distinguish entitlement offerings.
        • XL – S&P 100 and S&P 500
        • XF – all other Fee Liable indexes
        • XW – all Fee Waived

      The new MDP Channel 109 and ITC 2.1 Specification changes will be available for customer testing in production parallel starting Sunday, November 21. Customers may begin utilizing the new MDP channel 109 in production anytime between November 21, 2010 and February 28, 2011. The new IPs and Ports will be made available in the comings weeks.

      Events & Announcements

      CME Co-Location Services Details
      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.

       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 Now Open
       

      For your convenience, the CME Co-Location Briefing Center is now open and located at 141 West Jackson in Chicago, IL.

      The Briefing Center includes displays of:

       

      • Cabinets and Cages
      • Cabling Options
      • Power Strips

      Conference room facilities are also available.

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