CME Globex Notices: July 17, 2017

Critical System Updates

NewNew - Implied Functionality for CME FX Futures and SD Calendar Spreads - September 24

Effective Sunday, September 24, 2017 (trade date Monday, September 25), implied functionality will be enabled on the following CME FX futures outrights and all SD calendar spreads (i.e. serial-serial, serial-quarterly, quarterly-quarterly) in the first 12 months.

Implied Functionality for CME FX Futures and SD Calendar Spreads
Product	MDP 3.0: Tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
British Pound	6B	6B
Canadian Dollar	6C	6C
Euro FX	6E	6E
Japanese Yen	6J	6J
Australian Dollar	6A	6A
Euro/British Pound	RP	FB

Implied functionality utilizes bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices. In internal testing, implied functionality increased incremental feed bandwidth up to 13% on the CME Globex FX Futures MDP 3.0 channels 314 and 320.

To identify CME FX futures products with implied eligibility, the market data Security Definition message (tag 35-MsgType=d) will contain tag 872-InstAttrbValue bit 19-Implied Matching Eligible =1.

Implied book updates are disseminated via the market data Incremental message (tag 35- MsgType=X ) with tag 269-MDEntryType=E (implied bid) and F (implied offer).

Implied functionality for CME FX futures will be turned on for customer testing in New Release on Monday, August 7.

Additional detailed information on the implied functionality is available in the Client Systems Wiki.

For more information please visit cmegroup.com/fxmonthlies.

Back to Top

 

NewNew - Changes to Committed Cross Transaction Parameters - August 13

Effective Sunday, August 13 (trade date Monday, August 14), the Better Price Match (BPM) parameters for the Committed Cross (C-Cross) transactions in all CME and CBOT Interest Rate Options will be changed from 20% to 35%.

See the complete list of impacted options products.

This change will be available for customer testing in New Release on Monday, July 31.

A detailed description of the C-Cross process is available here. 

Back to Top

 

Information Security Update - December 18

CME Group is committed to our customers’ information security. To deliver the best security and customer experience, effective Sunday, December 18 (trade date Monday, December 19), the listed CME Group services will support Transport Layer Security (TLS) version 1.2 only, and TLS 1.0 and 1.1 will be disabled. Customers are encouraged to upgrade to TLS 1.2 immediately; please contact your system administrator or network provider today to ensure seamless access.

This change will be effective in New Release on Tuesday, August 29.

Back to Top

 

New Functionality

Globex Risk Management Enhancements: Inline Credit Controls - This Week

Starting this Sunday, July 23, in addition to existing risk management controls, CME Group will offer optional, more granular pre-trade risk management capability through the In-Line Credit Control (ICC) tool.

The ICC tool allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex, per product, at the account level through Account Manager.

Risk Administrators are encouraged to register and set limits in all products starting this Sunday, July 23. Please review the complete ICC enforcement schedule.

The new functionality will feature:

• Daily quantity position limits applied per product at the account level.
• Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day’s working orders.
• No latency differential; all orders are subject to the same ICC processing.
• Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
  • The most restrictive limit applies.
  • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
  • Clearing Member Firms and Executing Firms cannot change the other's limit.
• Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

Please note: With the introduction of ICC, clients may see minor changes in order entry round trip times (RTT) during large market events.

Initially, ICC processing for accounts approaching their pre-set threshold level, In-Flight Mitigation(IFM) enabled orders may temporarily violate account limits resulting in a reject. See scenario here. Future phases of ICC will accommodate In-Flight Mitigation and eliminate the temporary account limit violation scenario.

See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

For registered client systems, a new or cancel/replace order that violates specified position limits will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

Reject Reason	Tag 58-Text
Position Limit Violation	Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by CMF for Product Code: <Product Code>
	Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by EF for Product Code: <Product Code>
Account Policy Violation	Pre-Trade Registration Violation: Account: <Account> is not Registered for this Executing Firm
Product Policy Violation	Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade Product Code: <Product Code>
UDS Covereds Policy Violation	Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade UDS Covereds
Account Deactivation Violation	Pre-Trade Registration Violation: Account: <Account> has been Suspended from Trading by the CMF for this Executing Firm

This new functionality is currently available for customer testing in New Release.

Please contact your Global Account Manager with any questions on onboarding and testing In-line Credit Controls functionality in New Release in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

Back to Top

 

Request for Cross for Volatility-Quoted Options - August 6

Effective Sunday, August 6 (trade date Monday, August 7), pending all relevant regulatory review periods, CME Globex will allow the Request for Cross (RFC) for the following CME FX Volatility-Quoted Options(VQO) products:

Request for Cross for Volatility-Quoted Options
Product	Maturity	Tag 1151-SecurityGroup	Tag 6937-Asset
Australian Dollar	Monthly	3A	VXA
	Weekly		VAA-VAE
Japanese Yen	Monthly	3Y	VXJ
	Weekly		VJA-VJE
British Pound	Monthly	B3	VXB
	Weekly		VBA-VBE
Swiss Franc	Monthly	3S	VXS
	Weekly		VSA-VSE
Canadian Dollar	Monthly	3C	VXC
	Weekly		VCA-VCE
Euro FX	Monthly	3E	VXT
	Weekly		VTA-VTE

With this change, Globex Cross will no longer be allowed on VQO products. VQO products will be eligible for Committed Cross with 50 % BPM.

Please note that the BPM percentage to the CME FX Premium-Quoted Options (PQO) products will remain the same at 20%.

This change is currently available for customer testing in New Release.

Detailed information including functionality and messaging for Cross is available in the Client Systems Wiki.

Back to Top

 

Market by Order (MBO) Market Recovery Implied Dissemination Modification - August 6

Starting on Sunday, August 6 (trade date Monday, August 7), to allow customer systems to efficiently recover market data books, the Market by Order Recovery feed will now include 2nd level (1023-MDPriceLevel) Market by Price implied book depth (tag 269-MDEntryType=E, F).

Market By Order (MBO) Market Recovery Implied Dissemination Modification
Group	Channel Number	Channel Name	Production Launch Date
1	312	CME Globex Interest Rate Futures	Sunday, August 6
	382	NYMEX Globex Crude & Crude Refined Futures
2	360	COMEX Globex Futures	Sunday, August 13
	384	NYMEX Globex Metals, Softs, & Alternative Market Futures
	380	NYMEX Globex Emissions Futures
	386	NYMEX Globex Nat Gas & other Non-Crude Energy Futures
	382	NYMEX Globex Crude & Crude Refined Futures
	440	DME Globex Futures
	340	CBOT Globex Commodity Futures
	346	CBOT Globex Commodity Futures II
	460	MGEX Globex Futures
	344	CBOT Globex Interest Rate Futures
	316	CME Globex Commodity Futures
	430	BMD Globex Futures

The Market By Order (MBO) Market Recovery Implied Dissemination Update is currently available for customer testing in New Release.

Back to Top

 

UpdateUpdate - Rounded Intraday Settlement Prices - August 27

† Denotes update to the article

Effective Sunday, August 27 (trade date Thursday, August 31), to provide additional information on intraday settlement prices, CME Group will publish rounded intraday settlements for E-mini S&P 500 futures, in addition to the unrounded prices available today. Rounded intraday settlements are flagged with tag 731=SettlPriceType where bit 2=1 and bit 3=1.

Market Data Dissemination of Equity Intraday Rounded Settlements Prices
MDP 3.0 Channel Description	MDP 3.0 Channel	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
CME Globex Equity Futures	Channel 310	ES	ES

With this change, customers will receive both a rounded and unrounded intraday settlement message. Intraday Settlement Prices are published on the last trading day of the calendar month for E-mini S&P 500 contracts. These prices are sent while the trading session is still active and represent a snapshot valuation of the settlement price at the time that they are published.

The new prices are currently available for customer testing in New Release. To test tag 731-SettlPriceType (bits 2 and 3) in New Release, please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.

The MDP 3.0 Market Data Incremental Refresh message including tag 731-SettlPriceType is documented in the Client Systems Wiki.

Please Note: The rounded intraday settlement prices will also be published via ITC Channel 3.

ITC Floor Feed testing is not available in New Release. Customers consuming ITC messages can use the following examples for customer testing.

ITC Feed Market Data Dissemination of Equity Intraday Rounded Settlements Prices
ITC Channel Description	ITC Feed Channel
CME Open Outcry	3
Examples of the rounded and unrounded messages published on the final day of the month:	Settlement Message Type
<SOH>M   FQ S00075081500550 <STX> SP  H18EH182 0243720+TWS                        S<ETX>	Futures Intraday Unrounded Settlement
<SOH>M   FQ S00075241500570 <STX> ES  H18EH182 0243725+TWS                        S<ETX>	†Futures Intraday Rounded Settlement
<SOH>M   FQAS00075251500570 <STX> ES  H18EH182 0243720+TWS                        S<ETX>	†Futures Intraday Unrounded Settlement

This change does not impact ITC Future Unrounded Settlement for the S&P 500 Futures. 

The ITC Market Data Message specification for pricing is documented in the Client Systems Wiki.

Back to Top

 

Spread Statistics Change - September 10

To better align traded volume information across platforms, effective Sunday, September 10 (trade date Monday, September 11), when a spread-of-spreads trades MDP 3.0 will only publish traded volume updates for the top-level spread and the outright legs.

Today, MDP 3.0 publishes volume updates for the top-level spread, the spread legs and the outright legs. With this change, the spread legs will no longer have a volume update when traded as part of a spread-of-spreads. The following table outlines the new behavior. This change only affects trades for spread-of-spreads. Trades in spreads will continue to function as they do today.

Current State PS Pack Spread – Volume update	Effective Sunday, September 10 PS Pack Spread – Volume update
PK Pack 1 – Volume update	PK Pack 1 – No volume update
Outright leg 1 – Volume update	Outright leg 1 – Volume update
Outright leg 2 – Volume update	Outright leg 2 – Volume update
Outright leg 3 – Volume update	Outright leg 3 – Volume update
Outright leg 4 – Volume update	Outright leg 4 – Volume update
PK Pack 2 – Volume update	PK Pack 2 – No volume update
Outright leg 1 – Volume update	Outright leg 1 – Volume update
Outright leg 2 – Volume update	Outright leg 2 – Volume update
Outright leg 3 – Volume update	Outright leg 3 – Volume update
Outright leg 4 – Volume update	Outright leg 4 – Volume update

Detailed spread and spread-of-spread information is available in the Client Systems Wiki.

This change will be available for customer testing in New Release Monday, August 14.

Back to Top

 

UpdateUpdate - Self-Match Prevention Enhancements - September 24

† Denotes update to the article

Effective Sunday, September 24 (trade date Monday, September 25) CME Group will launch enhancements to CME Globex Self-Match Prevention (SMP). SMP is optional functionality that allows market participants to prevent the matching of orders for accounts with common ownership if both the buy and sell orders contain the same SMP ID and Globex Firm ID.

With these enhancements, iLink customers will have the ability to configure SMP functionality across multiple Globex Firm IDs within or across clearing firms. Upon this release, orders submitted with unregistered SMP IDs will be rejected. CME Globex will send a Session Level Reject (†tag 35-MsgType=8) message including tag 58=<Reject Reason>. All Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders with unregistered SMP IDs must also be updated to use a registered SMP ID by the close on the Friday before launch. Any remaining GT orders with unregistered SMP IDs will be eliminated at Sunday start-up on launch weekend.

The Firm Administrator Dashboard interface will continue to be used to request new SMP IDs but will be enhanced to allow existing SMP IDs to be modified to support additional Globex Firm IDs.

Detailed information, including the launch schedule, is available in the Client Impact Assessment.

The new SMP enhancements are currently available for customer testing in New Release. Customer certification is not required, but CME Group strongly recommends all system providers test these changes thoroughly in New Release.

Please note: Clients planning to test the SMP enhancements in New Release must contact their Global Account Manager to receive new SMP IDs, †which will be activated after the New Release daily maintenance period (16:00 to 16:45 central time).

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Back to Top

 

UpdateUpdate - CME Globex Execution Information Enhancements - September 10

† Denotes update to the article

Starting Sunday, September 10 (trade date Monday, September 11), CME Group will offer customers the following CME Globex execution information enhancements:

• Updated STP function - new Common Trade ID automatically traces each individual execution across CME Globex and through clearing
  • iLink tag 37711-MDTradeEntryID
  • MDP 3.0 tag 37711-MDTradeEntryID
  • CME STP and CME STP FIX MDTrdEntrID
• Real-time trade price adjustments reporting to participating traders and market as a whole via iLink and MDP 3.0 messages
  • Currently, trade price adjustments are only available via Clearing systems

†CME Globex Execution Information Enhancements
Tag1300-MarketSegmentID	Market Segment	Launch Schedule
68	CME Equity futures excluding E-mini S&P	Sunday, September 10
50	CME Eurodollar options	Sunday, September 24
76	NYMEX and COMEX Metals and Alternative Market futures	Sunday, September 24
78	NYMEX Non-Crude Energy futures	Sunday, September 24
54	CME Equity options	Sunday, October 22
56	NYMEX and COMEX options	Sunday, October 22
58	CBOT Treasury options	Sunday, October 22
64	CME E-mini S&P 500 futures	Sunday, October 22
80	NYMEX Crude Energy futures	Sunday, October 22
84	CBOT Treasury futures	Sunday, October 22
88	CME Globex FX Futures and Options	Sunday, October 22
52	CME FX options	Sunday, October 29
60	CBOT Commodity and Equity options	Sunday, October 29
70	CME Commodity futures	Sunday, October 29
72	CBOT Commodity futures	Sunday, October 29
74	Hosted Partner Exchange markets and NYMEX Emissions futures	Sunday, October 29
82	CME Eurodollar futures	Sunday, October 29

Please review the client impact assessment for information on functionality and messaging impacts and complete rollout schedule.

These enhancements are now available in New Release for customer testing.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Back to Top

 

Product Launches

Treasury Futures Inter-commodity Ratio Spread  - This Week

Effective this Sunday, July 23 (trade date Monday, July 24), CME Group will add a new 2-Year T-Note Futures vs. 5-Year T-Note Futures inter-commodity ratio spread on CME Globex. The spread will have a 3:2 spread and leg pricing ratio, as reflected in Security Definition (tag 35-MsgType=d) messages tag 5570-Price Ratio. This spread will be similar to other Treasury futures yield curve inter-commodity spreads with pricing on a net change basis and implied pricing.  Both legs of the initial version will use the September 2017 contracts: ZTU7 and ZFU7.

Treasury Futures Inter-commodity Ratio Spread
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762-SecuritySubType
2-Year T-Note Future vs. 5-Year T-Note Futures intercommodity spread	TAF	IV	IV

This spread is currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

Back to Top

 

Australian Wheat FOB (Platts) Futures  - This Week

Effective this Sunday, July 23 (trade date Monday, July 24), Australian Wheat FOB (Platts) Futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

Australian Wheat FOB (Platts) Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Australian Wheat FOB (Platts) Futures	AUW	AH

These futures are currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of CBOT.

Back to Top

 

Crude Oil Inter-Commodity Spreads - This Week

Effective this Sunday, July 23 (trade date Monday, July 24), the following Crude Oil Inter-Commodity and Energy Inter-Commodity Strips spreads will be listed for trading on CME Globex.

Crude Oil Inter-Commodity Spreads
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Tag 762-SecuritySub Type	Listing Cycle
Mars (Argus) vs. WTI Financial Futures vs. Brent Financial Futures	AYX	CC	IS	12 monthly spreads and the next June and December spreads
Mars (Argus) vs. WTI Financial Futures vs. Brent Financial Futures	AYX	CC	XS	4 quarterly spreads
WTI Houston (Argus) vs. WTI Trade Month Futures vs. WTI Midland (Argus) vs. WTI Trade Month Futures	HTT	CC	IS	12 monthly spreads and the next June and December spreads
WTI Houston (Argus) vs. WTI Trade Month Futures vs. WTI Midland (Argus) vs. WTI Trade Month Futures	HTT	CC	XS	4 quarterly spreads
WTI Houston (Argus) vs. WTI Trade Month Futures vs. Argus LLS vs. WTI (Argus) Trade Month Futures	HTT	CC	IS	12 monthly spreads and the next June and December spreads
WTI Houston (Argus) vs. WTI Trade Month Futures vs. Argus LLS vs. WTI (Argus) Trade Month Futures	HTT	CC	XS	4 quarterly spreads
Mars (Argus) vs. WTI Trade Month Futures vs. Argus LLS vs. WTI (Argus) Trade Month Futures	AYV	CC	IS	12 monthly spreads and the next June and December spreads
Mars (Argus) vs. WTI Trade Month Futures vs. Argus LLS vs. WTI (Argus) Trade Month Futures	AYV	CC	XS	4 quarterly spreads
LLS (Argus) vs. WTI Financial Futures vs. Mars (Argus) vs. WTI Financial Futures	AWJ	CC	IS	12 monthly spreads and the next June and December spreads
LLS (Argus) vs. WTI Financial Futures vs. Mars (Argus) vs. WTI Financial Futures	AWJ	CC	XS	4 quarterly spreads
WTI Houston (Argus) vs. WTI Financial Futures vs. WTI-Brent Financial Futures	HIL	CC	IS	12 monthly spreads and the next June and December spreads
WTI Houston (Argus) vs. WTI Financial Futures vs. WTI-Brent Financial Futures	HIL	CC	XS	4 quarterly spreads

These spreads are currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Back to Top

 

North American Crude Grades Options  - August 6

Effective Sunday, August 6 (trade date Monday, August 7), North American Crude Grades Options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

North American Crude Grades Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group (UDS)
LLS (Argus) vs. WTI Trade Month Average Price Option	E5O	EF	EX
WTI Houston (Argus) vs. WTI Trade Month Average Price Option	HTO	EF	EX
WTI Houston (Argus) vs. WTI Calendar Month Average Price Option	HIO	EF	EX
Mars (Argus) vs. WTI Trade Month Average Price Option	YVO	EF	EX
Mars (Argus) vs. WTI Calendar Month Average Price Option	YXO	EF	EX
WTI Midland (Argus) vs. WTI Trade Month Average Price Option	WTO	EF	EX
WTI Midland (Argus) vs. WTI Calendar Month Average Price Option	FFO	EF	EX
WTS (Argus) vs. WTI Trade Month Average Price Option	FHO	EF	EX
WTS (Argus) vs. WTI Calendar Month Average Price Option	WSO	EF	EX

These options are currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Back to Top

 

Bursa Malaysia Derivatives Berhad (BMD) FX Futures - Q3 2017

Pending regulatory approvals, Bursa Malaysia Derivatives (BMD) will list the following FX futures for trading on CME Globex in late Q3 2017.

Bursa Malaysia Derivatives Berhad (BMD) FX Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
BMD Mini CNH/MYR Futures	MFCM	BR
BMD Mini USD/MYR Futures	MFUM	BM

These are currently available for customer testing in New Release.

Back to Top

 

Product Changes

Listing Cycle Expansion for Crude Grade Futures - This Week

Effective this Sunday, July 23 (trade date Monday, July 24), the listing cycle for the following Crude Grade Futures will be expanded on CME Globex.

Listing Cycle Expansion for Crude Grade Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
WTI Midland (Argus) Trade Month Futures	WTI	CC	30 consecutive months	Current year plus the next 5 calendar years
WTS (Argus) Financial Futures	WTS	CC	30 consecutive months	Current year plus the next 5 calendar years
WTI Midland (Argus) vs. WTI Trade Month Futures	WTT	CC	30 consecutive months	Current year plus the next 5 calendar years
WTS (Argus) vs. WTI Financial Futures	WTA	CC	30 consecutive months	Current year plus the next 5 calendar years

These changes are currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Back to Top

 

Listing Cycle Expansion for Electricity Capacity Futures - This Week

Effective this Sunday, July 23 (trade date Monday, July 24), the listing cycle for the following Electricity Capacity futures will be expanded on CME Globex.

Listing Cycle Expansion for Electricity Capacity Futures
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Listing Schedule	New Listing Schedule
NYISO NYC In-City Capacity Calendar-Month Futures	NCC	RF	Monthly contracts listed for the current season (May-Oct and Nov-Apr) plus the next 3 seasons. Monthly contracts for a new season will be added following the termination of trading in the last monthly contract of the current season.	The current year and the next three (3) consecutive calendar years. At the expiration of the December contract month, a new, full year shall be added
NYISO Rest of the State Capacity Calendar-Month Futures	NRR	ZZ	Monthly contracts listed for the current season (May-Oct and Nov-Apr) plus the next 4 seasons. Monthly contracts for a new season will be added following the termination of trading in the last monthly contract of the current season.	The current year and the next three (3) consecutive calendar years. At the expiration of the December contract month, a new, full year shall be added

These changes are currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Back to Top

 

Changes to Non-Reviewable Ranges for Natural Gas and Crude Oil Options  - July 30

Effective Sunday, July 30 (trade date Monday, July 31), the Non-Reviewable Ranges will be modified for following natural gas and crude oil options:

Changes to Non-Reviewable Ranges for Natural Gas and Crude Oil Options
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current Non-Reviewable Range	New Non-Reviewable Range
Daily Natural Gas Option	KDB	GZ	The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.05	The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.025
Henry Hub Natural Gas Calendar Spread (12 month) Options	IZ	ON
Henry Hub Natural Gas Calendar Spread (2 month) Options	IB	ON
Henry Hub Natural Gas Calendar Spread (3 month) Options	AIC	ON
Henry Hub Natural Gas Calendar Spread (5 month) Options	IE	ON
Henry Hub Natural Gas Calendar Spread (6 month) Options	IM	ON
Henry Hub Natural Gas Financial Calendar Spread (1 month) Option	G4X	ON
Henry Hub Natural Gas Financial Calendar Spread (3 month) Option	G3B	ON
Henry Hub Natural Gas Financial Calendar Spread (4 month) Option	G10	ON
Henry Hub Natural Gas Financial Calendar Spread (6 month) Option	G6B	ON
Natural Gas (Henry Hub) Last-day Financial 2 Month Spread Option	AG2	ON
Natural Gas (Henry Hub) Last-day Financial 5 Month Spread Option	AG5	ON
Natural Gas (Henry Hub) Last-day Financial 12 Month Spread Option	AG7	ON
Henry Hub Natural Gas Last Day Financial Option	AE7	GZ
Natural Gas Options	ON	ON
Natural Gas Weekly Options	ON#	ON
Natural Gas Weekly Financial Options	LN#	LG
Natural Gas Calendar Spread Options	IAY	ON
Natural Gas Option on Calendar Futures Strip	A6J	GZ
Natural Gas Option on Summer Futures Strip	A4D	GZ
Natural Gas Option on Winter Futures Strip	A6I	GZ
Natural Gas European Options	LNE	LG
Brent Calendar Spread (12 Month) Options	AZ	OT	The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.50	The greater of the delta times the underlying futures' non-reviewable range or 20% of the fair value premium up to the underlying futures' non-reviewable range with a minimum reasonability of $0.25
Brent Calendar Spread (2 Month) Options	AB	OT
Brent Calendar Spread (3 Month) Options	AC	OT
Brent Calendar Spread (6 Month) Options	AM	OT
Brent Calendar Spread (1 Month) Options	AA	OT
Brent Crude Oil Last Day Financial Calendar Spread (12 Month) Options	9Y	OT
Brent Crude Oil Last Day Financial Calendar Spread (2 Month) Options	9B	OT
Brent Crude Oil Last Day Financial Calendar Spread (3 Month) Options	9D	OT
Brent Crude Oil Last Day Financial Calendar Spread (6 Month) Options	9L	OT
Crude Oil Financial Calendar Spread (2 Month) Options	7B	LO
Crude Oil Financial Calendar Spread (3 Month) Options	7C	LO
Crude Oil Financial Calendar Spread (6 Month) Options	7M	LO
Crude Oil Financial Calendar Spread (12 Month) Options	7Z	LO
Crude Oil Option on Calendar Futures Strip Options	A6F	LO
Crude Oil Option on Quarterly Futures Strip Options	A6E	LO
Daily Brent Crude Oil Option	ODB	OT
Daily Crude Oil Calendar Spread (1 Month) Options	DNM	LO
Daily Crude Oil Calendar Spread (2 Month) Options	DTM	LO
Daily Crude Oil Options	ICD	LO
WTI Average Price Options	AAO	LO
WTI Crude Oil Calendar Spread Option (3 Month)	WC	LO
WTI Crude Oil Calendar Spread Option (6 Month)	AWM	LO
WTI Crude Oil Calendar Spread Option (12 Month)	AWZ	LO

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Back to Top

 

Implied Functionality on Crude and Refined Energy Futures Butterflies  - August 6

Effective Sunday, August 6 (trade date Monday, August 7), implied functionality will be enabled for Crude and Refined Energy Butterflies in the first 12 months plus June and December for two additional years. Butterflies are identified with “BF” in tag 762-SecuritySubType in the MDP 3.0 Security Definition (tag 35-MsgType=d) message.

Implied Functionality on Crude and Refined Energy Futures Butterflies
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
Light Sweet Crude Oil Futures	CL	CL
RBOB Gasoline Futures	RB	CL
NY Harbor ULSD Futures	HO	CL
Brent Last Day Financial Futures	BZ	OP
DME Oman Crude Oil Physically Settled Futures	OQD	DE

Implied functionality on these spreads is currently available for customer testing in New Release.

These contracts are listed with, and subject to, the rules and regulations of NYMEX.

Back to Top

 

External Name Change Henry Hub Natural Gas Last Day Financial Option - August 6

Effective Sunday, August 6 (trade date Monday, August 7), the external name format in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc for Henry Hub Natural Gas Last Day options on futures will be changed. With this change, tag 202-StrikePrice strike price in MDP 3.0 will change to support the external name change.

Henry Hub Natural Gas Last Day Financial Option
Product	MDP 3.0: tag 6937-Asset	iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	Current iLink: tag 107-SecurityDesc MDP 3.0: tag 55-Symbo	New iLink: tag 107-SecurityDesc MDP 3.0: tag 55-Symbo	Current 202-StrikePrice	New 202-StrikePrice
Henry Hub Natural Gas Last Day Financial Option	AE7	GZ	Examples: AE7N7 C75 AE7N7 P535	Examples: AE7N7 C750 AE7N7 P5350	Examples: 75.0000000 535.0000000	Examples: 750.0000000 5350.0000000

To facilitate this change, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted options after their close on Friday, August 4. After 16:00 CT on Friday, August 4, all remaining GTC and GTD orders for these options will be cancelled by the CME Group Global Command Center (GCC).

These changes will be available for customer testing in New Release on Monday, July 24.

This contract is listed with, and subject to, the rules and regulations of NYMEX.

Back to Top

 

UpdateUpdate - Decommission of MexDer Order Routing Offering - August 25

† Denotes update to the article

Effective end of day Friday, August 25, Globex order routing and market data for MexDer products will no longer be available via the CME Globex platform. Existing order routing customers to MexDer markets and customers wishing to pursue market access to MexDer should contact Laura Vazquez at lvazquez@grupobmv.com.mx or +(52 55) 53 42 9840. Customers wishing to pursue market access to CME Group markets should contact Global Account Management in the U.S. at 312-634-8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505.

†New Release order routing will be decommissioned end of day Wednesday, August 16. 

Back to Top

 

Group Code Change E-mini S&P 500 Options  - August 27

Effective Sunday, August 27 (trade date Monday, August 28), the E-mini S&P 500 Options group codes will change for the following products:

Group Code Change S&P 500 Options
Product	MDP 3.0: tag 6937-Asset	Current iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group	New iLink: tag 55-Symbol MDP 3.0 tag 1151 - Security Group
E-mini S&P 500 Options	ES	EZ	EW
E-mini S&P 500 Wednesday Weekly Options	E1C- E5C	EK	EW
S&P 500 Wednesday Weekly Options	S1C- S5C	SW	OS

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for User-Defined Spreads (UDS) only for the affected products by the close on the Friday, August 25.  After 16:00 CT on Friday, August 25 any remaining GT orders on UDS will be cancelled by the CME Global Command Center (GCC). GT orders on outright options will not be impacted.

These options will be available for customer testing in New Release on Monday, August 7.

These contracts are listed with, and subject to, the rules and regulations of CME.

Back to Top

 

Last Trading Date for CME Europe Limited (CMEEL) - August 30

On Friday May 19, CME Europe Limited (CMEEL) advised members and other participants that the last trading date for all remaining Products listed on CMEEL will be August 30. Members with open positions after that last trading date will be closed out in accordance with CME Clearing Europe Rules and in accordance with the Planned Termination Event as described in CME Clearing Europe Notice 17-24.

Additional information regarding this change can be found in the CME Europe Ltd Exchange Advisory Notice 17-014.

Back to Top