• Listing of Nine (9) Variance Futures Contracts: Four (4) CME Currency Pairs; Three (3) NYMEX Energy; and Two (2) COMEX Metals

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6588R
      • Notice Date
      • 31 May 2013
      • Effective Date
      • 02 June 2013
    • This SER supersedes SER-6588 dated April 5, 2013. 
      Effective Sunday, June 2, 2013, for trade date Monday, June 3, 2013, and pending all relevant CFTC regulatory review periods, the following nine (9) variance futures contracts will be listed as follows. The Chicago Mercantile Exchange, Inc. (CME) will list new quarterly realized variance futures, semi-annual realized variance futures and annual realized variance futures on each of the following four (4) currency pairs: AUD/USD,  GBP/USD, Euro/USD, and JPY/USD; the New York Mercantile Exchange (NYMEX) will list new quarterly realized variance futures, semi-annual realized variance futures and annual realized variance futures on each of the following three (3) energy contracts: Crude Oil, Brent Crude Oil, and Natural Gas; and Commodity Exchange, Inc. (COMEX) will list new quarterly realized variance futures, semi-annual realized variance futures and annual realized variance futures on each of the following two (2) metals contracts: Gold and Silver. These contracts will be available for trading on CME Globex and for submission for clearing through CME ClearPort.
      Also concurrent with the launch of these contracts, the Exchange will permit block trading pursuant to Rule 526 (Block Trades) in each of these contracts at a block trade minimum threshold of ten (10) contracts.
      The contract titles, commodity codes, rule chapters, and specifications are provided below:
       

      Contract Names
      Australian Dollar/U.S. Dollar (AUD/USD) Realized Variance Futures Contract
      Great British Pound/U.S. Dollar (GBP/USD) Realized Variance Futures Contract
      Euro/U.S. Dollar (EUR/USD) Realized Variance Futures Contract
      Japanese Yen/U.S. Dollar (JPY/USD) Realized Variance Futures Contract
      WTI Crude Oil  Realized Variance Futures Contract
      Brent Crude Oil Realized Variance Futures Contract
      Natural Gas Realized Variance Futures Contract
      Gold Realized Variance Futures Contract
      Silver Realized Variance Futures Contract
      Commodity Codes and Rule Book Chapter
      AUD/USD (commodity codes: VAQ, VAS, VAY; CME rulebook chapter: 255J)
      GBP/USD (commodity codes: VPQ, VPS, VPA; CME rulebook chapter: 251J)
      Euro/USD (commodity codes: VEQ, VES, VEA; CME rulebook chapter: 261J)
      JPY/USD (commodity codes: VJQ, VJS, VJY; CME rulebook chapter: 253J)
      WTI Crude Oil (commodity codes: VLR, VLS, VLA; NYMEX rulebook chapter 1230)
      Brent Crude Oil (commodity codes: VBQ, VBS, VBY; NYMEX rulebook chapter 1231)
      Natural Gas (commodity codes: VNQ, VNS, VNA; NYMEX rulebook chapter 1232)
      Gold  (commodity codes: VGQ, VGS, VGA; COMEX rulebook chapter 1233)
      Silver (commodity codes: VSQ, VSS, VSY; COMEX rulebook chapter 1234)
      Floating Price
      The Floating Index Price or Realized Variance shall be calculated as the annualized variance of the continuously compounded percentage returns from one observation point to the next over the life of the contract. The Realized Variance will be calculated by formula.
      The formula shall be 252n . i=1n[lnSiSi-12* 10,000]' type="#_x0000_t75">, rounded to the nearest .01 index point
      Where:
      n' type="#_x0000_t75">              Number of observations taken in the life of the contract
      i' type="#_x0000_t75">               The period being observed
      Si' type="#_x0000_t75">         (1) For the CME currency contracts the 4:00 p.m. fixing price of the spot rate reported by Bloomberg’ (2) For the NYMEX Crude Oil, Brent Crude Oil, and Natural Gas variance contracts, the first nearby futures contract settlement price. Upon expiration of the first nearby Crude Oil, ICE Brent Crude Oil, and Natural Gas Options, the second nearby  futures settlement price will be used until the termination day of the first nearby futures, and (3)For the COMEX Gold and Silver contracts, the PM fixing of the London Bullion Marketing Association.
       
      Contract Size
      $1 multiplier. The contract value shall be $1 times the Floating Index Price.
      Termination
      Last business day of the contract month
      Minimum Tick
      0.01 index point
      Listing Convention
      4 consecutive quarterly contracts, 2 consecutive semi-annual contracts and 2 consecutive annual contracts

       
      Trading and Clearing Hours:
      CME Globex:
      For Currency Contracts on AUD/USD, GBP/USD, EUR/USD, JPY/USD:
      Sunday: 5:00 p.m. – 4:00 p.m. Chicago Time (CT) next day.  Monday – Friday: 5:00 p.m. – 4:00 p.m. CT the next day, except on Friday – closes at 4:00 p.m. CT and reopens Sunday at 5:00 p.m. CT.
      For Commodity Contracts on WTI Crude Oil, Brent Crude Oil, Natural Gas, Gold, and Silver:
      Sunday – Friday 6:00 p.m. – 5:15 p.m. New York Time (5:00 p.m. – 4:15 p.m. CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT).
      CME ClearPort:
                      For All Variance Contracts:
      Sunday – Friday 6:00 p.m. – 5:15 p.m. New York Time (5:00 p.m. – 4:15 p.m. CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT).
       
      Fee Schedule:
      For Currency Contracts on AUD/USD, GBP/USD, EUR/USD, JPY/USD:
       

      Fee Schedule for FX Variance Products
      All In
      Fee
      Member
      Individual Equity Members/Clearing Members/Rule 106.J Equity Members/Rule 106.I Members/Rule 106.S Member Approved Funds; Rule 106.D Lessees / Rule 106.F Employees; Rule 106.R Electronic Corporate Member - Holding Member; Rule 106.R Electronic Corporate Member - Volume Incentive; Rule 106.H/N Firms
      $0.05
      Non-Equity Member
      Asian Incentive Program (AIP) Participants; International Incentive Program (IIP) Participants; Latin American Bank Incentive Program (LABIP); Latin American Commercial Incentive Program (LACIP) Participants; Latin American Fund Manager Incentive Program (FMIP) Participants; CTA/Hedge Fund Incentive Program Participants
      $0.07
      Non-Member
      CBOE Members (reduced for S&P Index & E-mini S&P only); Customers of Member Firms (Non-Members)
      $0.10

        
       

      Other Processing Fees for FX Variance
      Rate
      EFP Surcharge  
      $0.00
      Block Trade Surcharge
      $0.00
      106.D Lessee/106.H Brokerage
      N/A
      106.F Employee Brokerage
      N/A
      Floor / "New" Brokerage
      N/A
      Position Transfers /Position Adjustments
      $0.02
      Give-Up Surcharge
      $0.02
      Exercise & Assignment Surcharge
      N/A
      Facilitation Desk Fee
      $0.05
      Current Fee Programs 
      (Inclusion/Exclusion)
      New Product Access Program
      Excluded
      FX Volume Discount
      Excluded
      NTIP (New Trader Incentive Program)
      Included
      IVIP (International Volume Incentive Program)
      Excluded
      FX Market Maker Programs
      Excluded
      Extended Access Program
      Excluded

       
      For Commodity Contracts on WTI Crude Oil, Brent Crude Oil, Natural Gas, Gold, and Silver:
       
                                           Exchange Fees for Crude Oil, Brent Crude Oil, and Natural Gas
       
      Member Day
      Member
      Cross Division
               Non-Member
      IIP
      ClearPort
      n/a
      $.05
      $.07
                    $.10
       
      Globex
      n/a
      $.05
      $.07
                    $.10
       n/a
      Pit
      n/a
      n/a
      n/a
      n/a
       
                                                                              Exchange Fees for Gold
       
      Member Day
      Member
      Cross Division
               Non-Member
      IIP
      ClearPort
      n/a
      $.06
      $.08
                    $.12
       
      Globex
      n/a
      $.06
      $.08
                    $.12
       n/a
      Pit
      n/a
      n/a
      n/a
      n/a
       
                                                                              Exchange Fees for Silver
       
      Member Day
      Member
      Cross Division
               Non-Member
      IIP
      ClearPort
      n/a
      $.15
      $.22
                    $.30
       
      Globex
      n/a
      $.15
      $.22
                    $.30
       n/a
      Pit
      n/a
      n/a
      n/a
      n/a
       
       
       
      Processing Fees
       
       
       
      Member
      Non-Member
       
       
      Cash Settlement
      $.02
      $.03
       
       
      Futures from E/A
       n/a
       n/a
       
       
       
      House Acct
      Cust Acct
       
       
      Options E/A Notice
       n/a
       n/a
       
       
      Delivery Notice
       n/a
       n/a
       
       
       
       
       
       
      Additional Fees and Surcharges
       
       
      EFS Surcharge
       n/a
       
       
      Block Surcharge
       n/a
       
       
      Facilitation Desk Fee
      $.05
       
       
       
       
       
       
      ClearPort Volume Discount Program - Exchange Fees
       
       
       
      Volume Threshold
      Disc. Member Rate
      Disc. Non-Member Rate
       
       
      ClearPort
                          n/a
      n/a
      n/a
       
       
      For additional information, please contact Bob Biolsi at Bob.Biolsi@cmegroup.com  or (212) 299-2610.

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