• Market Data Notices: November 8, 2010

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      • Market Data Distributors
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      • Market Data Notices
      • #
      • Q2010-223
      • Notice Date
      • 11 November 2010
      • Effective Date
      • 11 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, 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 CBOT, KCBT and MGEX Agriculture Options Enhancements
       

      Effective Sunday, November 21, 2010, fractional pricing information will be published on the FIX/FAST Security Definition (tag 35=d) messages for User-Defined Spreads (UDS) on CBOT, KCBT and MGEX agriculture options.

      Details on this enhancement is 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.

      Update COMEX, NYMEX, and DME Futures Enhancements
      The COMEX futures enhancements launch, scheduled for 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

      Brent Look-Alike Crude Oil Options
      Effective this 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.

      Update 7-Year Interest Rate Swap Futures
      The scheduled launch of the open outcry 7-Year Interest Rate Swap futures on November 15 has been postponed. Further information will be published in the Market Data Notices as it becomes available.

      • 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.

      Update 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. Information on the new channels are now added to the config.xml file. The channels will be available for customers and broadcasting heartbeats as of Sunday, January 9 in the production and certification environments.

      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.

      • 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

      Options 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 Sunday, November 7, coverage was suspended by the National Hurricane Center for Hurricane Tomas the nineteenth named storm of the season.

      Trading in HG9, G9B, HS9 and S92 will terminate at 9:00 a.m. Central Time (CT) on Monday, November 15.

      The final settlement values are as follows:

      • 0.0 for HG9 (for CME Hurricane Index futures & options on Hurricane Tomas)
      • 0.0 for G9B (for CME Hurricane Index Binary Contract on Hurricane Tomas)
      • 0.0 for HS9 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Tomas)
      • 0.0 for S92 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Tomas)

      At this time, there is no open interest in any of the futures or options for HG9, G9B, HS9 and S92.

      In addition, the next contract in all four sequences should be listed for trading on Monday, November 15:

      • HF2 (for CME Hurricane Index futures & options on Hurricane Alpha)
      • F22 (for CME Hurricane Index Binary Contract on Hurricane Alpha)
      • HN2 (for CME Hurricane Index Cat-In-A-Box futures & options on Hurricane Alpha)
      • NH2 (for CME Hurricane Index Cat-In-A-Box Binary Contract on Hurricane Alpha)

      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 this Monday, November 15.
      S&P Launches and Changes

      Update New S&P Real Time Indices
      Effective this 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 Currency Dissemination Times Fee Liable
      RBS Autopilot USLarge Cap Index (USD) TR APL APLCUT USD 8:30 to 16:30
      Central Time      		 No
      Elements Linked to ML
      Gold Index      		 EIV GOEIVA
      Elements Linked to ML
      Grains Index      		 UIV GRUIVA
      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 SPSICH
      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 Currency Dissemination Times Fee Liable
      S&P Euro 75 Index ELP SPEL75UP USD 23:45 to 14:00
      Central Time      		 Yes

      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 Currency Dissemination Times Fee Liable
      S&P / Harel Energy
      Index      		 ENI SPHLENIP ILS 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

      New S&P Real Time Indices
      Effective Monday, December 6, 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 Currency Dissemination Times Fee Liable
      Alerian MLP Index AMI AMZ USD 8:30 - 16:30
      Central Time      		 No
      Alerian MLP
      Infrastructure Index      		 AII AMZI
      Alerian MLP
      Infrastructure Index (TR)      		 AIX AMZIX
      Dogs of the Dow
      Indicative Value      		 DOD DODIV
      Elements Linked to Credit
      Suisse Global Warming Index      		 GWO GWOIV
      Elements Linked To Spectrum Index EEH EEHIV
      Elements Linked to the CNY/USD
      Exchange Rate ETN      		 CNY CNYIV
      Elements Linked to the INR/USD
      Exchange Rate ETN      		 INR INRIV
      Elements Linked to the SPTICTR LSC LSCIV
      Morgan Stanley Double
      Long Euro IIV      		 URR URRIV
      Morgan Stanley Double
      Short Euro IIV      		 DRR DRRIV
      S&P 500 Dynamic VEQTOR
      Index Excess Return for GRIP      		 VUE SPXTDVUE Yes
      S&P 500 Dynamic VEQTOR
      Index Total Return for GRIP      		 VUT SPXTDVUT
      S&P 500 Dynamic VEQTOR X
      Index Excess Return      		 XER SPVQXER
      S&P 500 VIX Mid-Term Index
      Excess Return MCAP      		 ZIP VXZIDP
      S&P 500 VIX Mid-Term
      Index MCAP      		 ZID VXZID
      S&P 500 VIX Short-Term
      Index Excess Return MCAP      		 XID VXXIDP
      S&P 500 VIX Short-Term
      Index MCAP      		 XIM VXXID
      S&P Listed Private
      Equity Index (Net TR)      		 EQN SPLPEQNT 19:00 - 16:30
      Central Time

      Update New S&P Real Market Data Platform Channel
      Effective, Sunday, November 21, 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 until February 25, 2011. On Monday, February 28, 2011, all S&P Indices will be disseminated solely on MDP channel 19.
      Events & Announcements

      NEW CME Group E-mail Survey
      Tell Us What You Think
       

      Help us provide you with more relevant and meaningful E-mail communications. The survey will take no longer than 10 minutes to complete and upon completion, you will be entered into a drawing to win a $50 gift certificate to Amazon.com.

       CME Group E-mail Survey

      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.

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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