• Market Data Notices: December 13, 2010

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      • Market Data Notices
      • #
      • Q2010-228
      • Notice Date
      • 27 December 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

      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.

      New Functionality

      Update NYMEX and DME Futures Enhancements
      Effective Sunday, January 23, 2011, a number of enhancements will be introduced for NYMEX and Dubai Mercantile Exchange (DME) futures and future spreads on CME Globex.

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

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

      Product Launches

      Henry Hub Natural Gas Look-Alike Penultimate Financial Futures
      Effective this 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 futures is available for customer testing in New Release.


      7-Year Interest Rate Swap Futures
      Effective this 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 this 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 are available in New Release for customer testing.

      Please view the   New Product Summary.


      3 Petroleum BALMO Spreads
      Effective this 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 this 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 this 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.

      European Union Allowance Daily vs. In Delivery Month Intercommodity Spreads

      Product Tag 1151-SecurityGroup tag 55-Symbol
      Daily European Union Allowance (EUL) vs. In Delivery Month European Union Allowance (EAF) Intercommodity Spread EUL VO

      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 this 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.

      Dairy Options

      Options Ticker ITC 2.1 Fractional Indicators
      Cash Settled Cheese options CSC 4
      Dry Whey options DY 4
      Non-fat Dry Milk options NF 3
      Cash-settled Butter options CB 3

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


      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.

      Below is the full list of Green products that are currently available in New Release for customer testing

      Green Products in New Release

      Product Tag 1151-SecurityGroup Tag 55-Symbol Tag 207-SecurityExchange
      Daily European Union Allowance (EUA) Futures EUL VE GREE
      European Union Allowance (EUA) Futures EUA VX
      In Delivery Month European Union Allowance (EUA) Futures EAF VX
      Certified Emission Reduction (CER) Futures CCR VX
      In Delivery Month Certified Emission Reduction (CER) Futures CRE VX
      Regional Greenhouse Gas Initiative (RGGI) Futures RGI VX
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2009 Futures 98N VX
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2010 Futures 76X VX
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2011 Futures 86N VX
      Regional Greenhouse Gas Initiative (RGGI) Vintage 2012 Futures 96X VX
      Climate Action Reserve Non-Vintage Futures CR VX
      Climate Action Reserve Vintage 2009 Futures 92X VX
      Climate Action Reserve Vintage 2010 Futures 93X VX
      Climate Action Reserve Vintage 2011 Futures 94X VX
      Climate Action Reserve Vintage 2012 Futures 95X VX
      NOX Seasonal Emissions Allowance - Vintage 2008 Futures RNN VX
      NOX Seasonal Emissions Allowance - Vintage 2009 Futures YIN VX
      NOX Seasonal Emissions Allowance - Vintage 2010 Futures YJN VX
      NOX Seasonal Emissions Allowance - Vintage 2011 Futures YKN VX
      NOX Seasonal Emissions Allowance - Vintage 2012 Futures YMN VX
      NOX Annual Emissions Allowance - Vintage 2009 Futures WWN VX
      NOX Annual Emissions Allowance - Vintage 2010 Futures YPN VX
      NOX Annual Emissions Allowance - Vintage 2011 Futures YQN VX
      NOX Annual Emissions Allowance - Vintage 2012 Futures YRN VX
      SO2 Emission Allowance Futures RSN VX
      SO2 Emissions 25 Allowance - Non-Vintage Futures SNV VX
      SO2 Emissions 25 Allowance - Vintage 2009 Futures VAF VX
      SO2 Emissions 25 Allowance - Vintage 2010 Futures V10 VX
      SO2 Emissions 25 Allowance - Vintage 2011 Futures V11 VX
      SO2 Emissions 25 Allowance - Vintage 2012Futures V12 VX
      SO2 Emissions 25 Allowance - Vintage 2013 Futures V13 VX
      SO2 Emissions 25 Allowance - Vintage 2014 Futures V14 VX
      European Union Allowance (EUA) Option EUX GY
      In Delivery Month European Union Allowance (EUA) Option EAX GY
      In Delivery Month European Union Allowance (EUA) Serial Option 9G GY
      Certified Emission Reduction (CER) Option CCX GY
      In Delivery Month Certified Emission Reduction (CER) Option CRY GY
      In Delivery Month Certified Emission Reduction (CER) Serial Option 9E GY
      Regional Greenhouse Gas Initiative (RGGI) Option RGX GY
      Climate Action Reserve Option CO GY
      SO2 Emission Allowance Option RSX GY
      SO2 Emissions 25 Allowance Option S2X GY

      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.

      Product Changes

      S&P 500 Futures Listing Expansion
      Effective this 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 this 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 this 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 Exchange Traded Funds (ETF) Delisting
      Effective close of business tomorrow, Friday, December 17, new maturities for the following products will not be listed. These products are in the process of being delisted, as the currently listed maturities expire and aren’t replaced.

      Futures on ETFs

      Product Tag 1151-SecurityGroup tag 55-Symbol
      Standard & Poor’s Depository Futures SPY QQ
      PowerShares QQQ Futures QQQ
      iShares Russell 2000 Index Fund Futures IWM

      NEW Corn and Soybean Options Early Listings
      Effective this Monday, December 20, the July 2012 Soybean options and the September 2012 Corn options will be listed early for trading in response to customer demand.


       

      Update Postponed - New Synthetic Future for Options on Eurodollar Calendar Spreads
      The launch of the new synthetic future (tag 1151-SecurityGroup=SPX) for the options on Eurodollar calendar spreads has been postponed. Further information will be available in the CME Globex Notices.


      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.

      S&P Launches and Changes

      New S&P Real Time Indices
      Effective this Friday, December 16, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 19 of CME’s MDP.

      New S&P Real-time Indices

      Index
      Name
      MDP
      Ticker
      S&P Display
      Codes
      Dissemination
      Times
      WisdomTree India
      Earnings Index
      WTIND IEI 21:45 - 10:30
      Central Time
      WisdomTree
      Emerging
      Markets Equity
      Income Index
      WTEMHY WTY 18:00 - 15:30
      Central Time
      WisdomTree
      International
      Real Estate Index
      WTIRE WTR 18:00 - 11:08
      Central Time
      WisdomTree
      Emerging
      Markets Smallcap
      Index
      WTEMSC WMS 18:00 - 15:30
      Central Time
      Wisdomtree
      Global
      High-Yielding
      Equity Index
      WTGDHY WT4 18:00 - 15:30
      Central Time
      WisdomTree
      DEFA Index
      WTDFA W20 18:00 - 11:08
      Central Time
      WisdomTree
      DEFA
      Equity Income
      Index
      WTDHYE W24 18:00 - 11:08
      Central Time
      WisdomTree
      Pacific ex-Japan
      Dividend Index
      WTDIPR W32 18:00 - 10:30
      Central Time
      WisdomTree
      Pacific ex-Japan
      Equity Income Index
      WTDPHY W33 18:00 - 10:30
      Central Time
      WisdomTree
      MidEast
      Dividend Index
      WTEMME WT6 00:00 - 10:45
      Central Time
      WisdomTree
      Europe SmallCap
      Dividend Index
      WTESC W28 1:45 - 11:08
      Central Time
      WisdomTree
      International
      Basic Materials
      Sector Index
      WTIBM W34 18:00 - 11:08
      Central Time
      WisdomTree
      International
      Energy Sector Index
      WTIE W38 18:00 - 11:08
      Central Time
      WisdomTree World ex-U.S. Growth Index WTGDXG WTG 18:00 - 15:30
      Central Time
      WisdomTree
      International
      LargeCap Dividend
      Index
      WTILDI W21 18:00 - 11:08
      Central Time
      WisdomTree
      International
      MidCap Dividend
      Index
      WTIMDI W22 18:00 - 11:08
      Central Time
      WisdomTree
      International
      SmallCap Dividend
      Index
      WTISDI W23 18:00 - 11:08
      Central Time
      WisdomTree
      International
      Utilities Sector
      Index
      WTIU W43 18:00 - 11:00
      Central Time
      WisdomTree Japan
      SmallCap Dividend
      Index
      WTJSC W31 18:00 - 10:30
      Central Time
      WisdomTree
      International
      Dividends
      ex Financials
      WTIDXF DEF 18:00 - 11:08
      Central Time

      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.


      New S&P Real Time Indices
      Effective Monday, January 10, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 19 of CME’s MDP.

      New S&P Real-time Indices

      Index
      Name
      MDP Ticker S&P Display
      Codes
      Currency Dissemination
      Times
      Fee Liable
      GMP Junior
      Oil & Gas Index
      GMPOG MPO CAD 8:30 - 16:30
      Central Time
      No
      RBS US Large
      Cap Growth
      Trendpilot Index
      (USD) TR
      TPLCGUT GUT USD 8:30 - 16:30
      Central Time
      No
      RBS US Large Cap
      Value Trendpilot
      Index (USD) TR
      TPLCVUT LCV USD 8:30 - 16:30
      Central Time
      No
      S&P Israel
      BMI Capped
      Growth LCL
      SPBIGIP BIG ILS 1:45 to 11:30
      Central Time
      Yes
      S&P Israel
      BMI Capped
      Value LCL
      SPBIVIP BIV ILS 1:45 to 11:30
      Central Time
      Yes

      New S&P Real Time Indices
      Effective Monday, January 31, CME Group will begin disseminating the new indices detailed below. These indices will be transmitted every 15 seconds, via Channel 3 and Channel 19 of CME’s MDP.

      New S&P Real-time Indices

      Index
      Name
      MDP
      Ticker
      S&P Display
      Codes
      Currency Dissemination
      Times
      Fee Liable
      Materials Select
      Sector Index
      IXB IXB USD 8:30 - 16:30
      Central Time
      Yes
      Energy Select
      Sector Index
      IXE IXE USD 8:30 - 16:30
      Central Time
      Yes
      Industrial Select
      Sector Index
      IXI IXI USD 8:30 - 16:30
      Central Time
      Yes
      Financial Select
      Sector Index
      IXM IXM USD 8:30 - 16:30
      Central Time
      Yes
      Consumer Staples
      Select Sector Index
      IXR IXR USD 8:30 - 16:30
      Central Time
      Yes
      Technology Select
      Sector Index
      IXT IXS USD 8:30 - 16:30
      Central Time
      Yes
      Utilities Select
      Sector Index
      IXU IXU USD 8:30 - 16:30
      Central Time
      Yes
      Health Care
      Select Sector Index
      IXV IXV USD 8:30 - 16:30
      Central Time
      Yes
      Consumer
      Discretionary
      Select Sector Index
      IXY IXY USD 8:30 - 16:30
      Central Time
      Yes
      Events & Announcements

      NEW Christmas Holiday Schedule
      The CME Globex holiday schedule for December 23 through December 26 is now available  online.

      For the trading floor and Clearport holiday schedule please click on the following links for more details:

       


      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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