Market Data Notices: December 6, 2010

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, 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.

 Theoretical Settlement Prices via FIX/FAST
Effective Sunday, February 6, theoretical settlement data blocks will be implemented on the Market Data Incremental Refresh (tag 35-MsgType=X) message.

The new data blocks will allow customer systems to differentiate actual final settlement prices (based on the trading day’s market activity) from theoretical final settlement prices (based on CME Clearing calculations). Theoretical settlement prices are only sent for instruments without an actual settlement price.

The theoretical settlement data blocks are similar to the settlement price data blocks, and will contain the following tags and values:

• Tag 286-OpenCloseSettlFlag=4
• Tag 279-MDUpdateAction=0
• Tag 269-MDEntryType=5 (Theoretical Settlement Price)
• Tag 64-SettlDate will not be present

These new Theoretical Settlement data blocks will be available in New Release for customer testing this Monday, December 13.

COMEX, NYMEX, and DME Futures Enhancements
In response to customer feedback, the COMEX, NYMEX and DME futures enhancements have been rescheduled:

Please note: for the COMEX futures enhancements launch on December 12, customers are asked to please cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for these COMEX futures and futures spreads after their respective closes this Friday, December 10. After 16:15 CT on Friday, December 10, all remaining GTC and GTD orders for these products will be cancelled by the CME Globex Control Center (GCC).

GTC and GTD orders for COMEX futures and futures spreads may be re-entered during an extended pre-open period, starting at 15:00 CT, this Sunday, December 12. TAS products will pre-open at their normal time, 16:15 CT. If you have any questions, please contact the CME Globex Control Center at 312.456.2391, in Europe at 44.20.7623.4708, or in Asia at 65.6223.1357.

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.

 Soybean-Corn Intercommodity Ratio Options
Effective this Monday, December 13, the Soybean-Corn Intercommodity Ratio options will be listed for trading on the trading floor.

Please view the   New Product Summary.

Henry Hub Natural Gas Look-Alike Penultimate Financial Futures
Effective Sunday, December 19 (trade date Monday, December 20), the Henry Hub Natural Gas Look-Alike Penultimate Financial futures (tag 1151-SecurityGroup=HP) will be listed for trading on CME Globex. This product is already available on the NYMEX trading floor and CME ClearPort. The CME Globex commodity code for the Henry Hub Natural Gas Look-Alike Penultimate Financial Futures will be HP, the same code currently used for trading on the NYMEX trading floor and for clearing through CME ClearPort. Only 12 consecutive months will be available.

A new intercommodity spread will also be listed for the Henry Hub Natural Gas futures (tag 1151=HH) vs. the Henry Hub Natural Gas Look-Alike Penultimate Financial futures (tag 1151=HP). These intercommodity spreads will be listed with tag 762-SecuritySubType=IS.

The Henry Hub Natural Gas Look-Alike Penultimate Financial future will be available for customer testing in New Release this Monday, December 13, 2010.

7-Year Interest Rate Swap Futures
Effective Monday, December 20, the 7-Year Interest Swap futures will be listed for trading via open outcry. This product is already available for trading on CME Globex.

• A new ITC ticker symbol, N7 will be added to reflect floor volume effective December 20, 2010 and will be available on MDP channel 100.
• The existing Globex and clearing symbol for 7-Year Interest Rate Swap futures is 7I (eye) and will not change.

3-Year Eurodollar Mid-Curve Options
Effective Sunday, December 19, (trade date Monday, December 20), the 3-Year Eurodollar Mid-Curve options (tag 1151-Security Group=GE3) will be listed for trading on CME Globex.

Eurodollar Mid-Curve options provide a wide variety of hedging and trading opportunities on the mid-range of the yield curve. Because they are short-dated, they offer a low premium, high time decay option alternative for trading this part of the curve. These new 3-Year Mid-Curve options will be listed with quarterly expirations.

These options will be available for New Release for customer testing this Monday, December 13, 2010.

Please view the   New Product Summary.

 3 Petroleum BALMO Spreads
Effective Sunday, December 19 (for trade date Monday, December 20), CME Group will list 3 Petroleum BALMO spreads for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

Please view the   New Product Summary.

 3 Additional FX E-micro Futures Contracts on CME Globex
Effective Sunday, December 19, (trade date Monday, December 20), FX E-micro futures will be listed for trading on the CME Globex platform and for submission for clearing through CME ClearPort.

The FX E-Micros are a series of innovative smaller-sized FX contracts, designed to enable retail traders and investors to cost-effectively access the security, transparency and liquidity of CME Group's FX products. The FX E-micro contracts will be one-tenth the size of the corresponding FX contracts, making them accessible to active individual traders, small Commodity Trading Advisers (CTAs), and Small Medium Enterprises (SMEs).

Please view the   New Product Summary.

European Union Allowance Daily vs. In Delivery Month Intercommodity Spreads
Effective Sunday, December 19 (trade date Monday, December 20), new EUA Daily vs. In Delivery Month intercommodity spreads will be listed for trading on the CME Globex platform.

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

These are intercommodity spreads between a daily and a monthly future. The spreads will be listed and expired according to the daily future’s schedule.

These new futures spreads will be available in New Release for customer testing this Monday, December 13.

 Dairy Options
Effective Monday, December 20, Cash-Settled Cheese options, Dry Whey options, Non-fat Dry Milk options and Cash-settled Butter options will be list on the trading floor for “side by side” trading. Floor trading hours will be Monday through Friday from 9:05 a.m. (CT) to 1:12 p.m. (CT). These options products are currently listed for trading on CME Globex. Please note: All contract specifications including strike prices and available contract months will be the same as the CME Globex listed contract.

Floor ITC 2.1 ticker tests will be held at approximately 6:45 p.m. (CT) on Friday, December 10 and December 17.

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.

3-month and 1-month FXVolContracts Futures
Effective Sunday, February 6 (trade date Monday, February 7), the following 3-month and 1-month FXVolContracts (realized volatility futures and spreads) will be listed for trading on CME Globex.

Please view the   New Product Summary.

FIX tag 55-Symbol Change for E-mini S&P SmallCap 600 Futures
Effective this 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:

The E-mini S&P SmallCap 600 (SMC) with the new tag 55 value is now available in New Release for customer testing.

Strike Price Listing Rule for RBOB Gasoline Average Price Option
Effective this Monday December 13, the RBOB Gasoline Average Price Option (RA). strike price listing rule will be revised from $0.01 per gallon increments with a minimum of 61 strike prices to $0.0001 per gallon increments and with a minimum of 41 strike prices. As a result, the ITC Strike Price Fractional Indicator will be revised from 2 to 4. The RBOB Gasoline Average Price Option will continuously be available for open outcry trading and for clearing through CME ClearPort.

Change in the Minimum Trading and Settlement Price Fluctuation for the Daily Natural Gas Option (KD) and 8 Pipe Options
Effective Sunday, December 12 (trade date Monday, December 13), the minimum trading and settlement price will change from 0.001 to 0.0001 for the following options:

• PGE Citygate Options
• Northern Rockies “Pipe” Options
• Transco Zone 6 “Pipe” Options
• Chicago City Gate “Pipe” Options
• Houston Ship Channel “Pipe” Options
• San Juan “Pipe” Options
• SOCAL “Pipe” Options
• Panhandle “Pipe” Options
• Daily Natural Gas Options

As a result, the ITC Fractional Indicator will be change from 3 to 4.

S&P 500 Futures Listing Expansion
Effective Sunday, December 19 (trade date Monday, December 20), the listing cycle for S&P 500 futures will be expanded by adding three additional December contracts. With this change, the listing cycle will be eight quarterlies contracts plus three additional December contracts.

Early Listing for In Delivery Month European Union Allowance Futures
Effective Sunday, December 19 (trade date Monday, December 20), CME Group will list the December 2014 maturity for In Delivery Month European Union Allowance futures (tag1151-SecurityGroup=EAF).

Listing Rules for 2-Year Eurodollar Mid-Curve Options
Effective Sunday, December 19 (trade date Monday, December 20),the listing cycle for the 2-Year Eurodollar Mid-Curve options will be expanded by adding the following serial months:

• January 2011
• February 2011

With this change, the listing cycle will be four quarterly contracts plus two additional serial months.

These additional 2-Year Eurodollar Mid-Curve options will be available in New Release for customer testing Monday, December 13, 2010.

 New Synthetic Future for Options on Eurodollar Calendar Spreads
Effective Sunday, December 19, in all customer-facing environments, a new synthetic future will be launched for the options on Eurodollar calendar spreads.

The new future will have tag 1151-SecurityGroup=SPX and tag 55-Symbol=08. Settlement prices will be published for the new synthetic future to support customers’ options pricing model.

The options (tag 1151=SPO) will identify SPX as the underlying contract in tag 309-UnderlyingSecurityID of the Security Definition (tag 35-MsgType=d) FIX/FAST message.

 Grain Options Listing Changes
Effective Sunday, December 26 (trade date Monday, December 27), CME Group will list strikes at 5 cent intervals for the third maturity month for Corn and Soybean options. 5 cent intervals are currently listed for the first and second maturity month for Corn and Soybean options.

For options on Soybean Meal futures, strikes will be listed at $5 per ton intervals for the first maturity month only. Soybean Meal options currently list the reduced strike intervals for strike prices less than $200 per ton; with this change, for the front month only, the reduced intervals will be listed for the entire strike range.

 Expansion of Listings for Brazilian Real Futures
Effective Sunday, January 9 (trade date Monday, January 10) CME Group will expand the listing of Brazilian Real futures by adding 16 more quarterly contract months, for a total of 28 quarterly contracts. Currently, only 12 quarterly contracts are listed.

This change will make the contract listings at CME Group consistent with the expanded contract listings recently announced at the Singapore Exchange (SGX), and preserve customers' ability to capitalize on the Mutual Offset System (MOS) agreement between CME and SGX.

The new future quarterly contracts will be available for customer testing in New Release on Monday, December 20.

New S&P Real Time Indices
Effective this Monday, December 13, 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 Market Data Platform Channel
Effective, this 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 109.

 Settlement Prices via FIX/FAST On Fridays
Because final settlement prices for some instruments are not available until 7:00 p.m. Central time, not all final settlement prices are published in the Market Data Incremental Refresh (35=X) on Friday. Client systems should leverage the Security Definition (tag 35-MsgType=d) message upon Sunday startup to determine the most recent final settlement price in tag 1150-TradingReferencePrice.

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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.