• CME Globex Notices: November 1, 2021

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20211101
      • Notice Date
      • 04 November 2021

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:
      See the Development Launch Schedule.

      Critical System Updates

      CME Globex iLink Convenience Gateway Performance Enhancements - November 21

      On Sunday, November 21, CME Group will continue to implement hardware upgrades for CME Globex iLink Convenience Gateways. In internal testing, these upgrades improved performance on the CME Convenience Gateways by more than 10%.

      The changes will continue to be phased in over the following weekends:

      • Sunday, November 21
      • Sunday, December 5

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      Bursa Malaysia Derivatives (BMD) Night Trading Session - December 2021

      In December 2021 and pending final regulatory approval, Bursa Malaysia Derivatives (BMD) will add a night trading session for all active products on CME Globex. Due to the time difference between Malaysian time and Central time, the night trading session activities will begin the business day prior to actual trade date in Malaysian time. The new night trading session will be open for trading Monday - Thursday.

      There will be no Friday night trading session. There is no impact to the current Monday - Friday day trading sessions.

      New Night Trading Session
      Product

      NEW
      Monday - Thursday Night Trading Session
      Night Session Trading Hours 21:00:00 hours to 23:30:00 hours (Malaysia time)

      Example of Monday-Thursday Trading Schedule

      • Trades executed during Monday night trading session will have a Tuesday trade date
      • Trades executed during Tuesday night trading session will have a Wednesday trade date
      • Trades executed during Wednesday night trading session will have a Thursday trade date
      • Trades executed during Thursday night trading session will have a Friday trade date
      • Friday night trading session is not supported

      Example of a Night Trading Session
      This example shows the night trading session market phases using a Monday, August 9, 2021, night trading session, with trades executed for a Tuesday, August 10, 2021, trade date.

      Monday Night Trading Session with a Tuesday Trade Date
      Night Session Trading Market State Malaysian Time (MYT)
      Pre-Open 20:45:00
      No-cancel 20:59:30
      Open 21:00:00
      Pause 23:30:00

       

      Products for Night Trading Session
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group
      Crude Palm Oil Futures FCPO BC
      FTSE Kuala Lumpur Composite Index Futures FKLI BE
      Gold Futures FGLD BG
      USD RBD Palm Olein futures  FPOL BL
      MINI FTSE BURSE MALAYSIA MID 70 IDX FM70 BS
      Crude Palm Oil Options OCPO BP (UDS: BZ)
      FTSE Kuala Lumpur Composite Index Options OKLI BO (UDS: BU)
      FUPO BMD CRUDE PALM OIL FUPO BA
      Option on USD RBD Palm Olein Futures OPOL B8
      CRUDE PALM KERNEL OIL FUTURES FPKO BK
      BMD Tin Futures FTIN BN
      East Malaysia Crude Palm Oil Futures FEPO BR
      3 Month Kuala Lumpur Interbank Offered Rate Futures FKB3 BT

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

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      Product Launches

      BRIXX™ Office Index Futures - This Week

      Effective this Sunday, November 7 (trade date Monday, November 8), BRIXX™ Office Index futures and spreads will be listed for trading on CME Globex pending regulatory approval.

      BRIXX™ Office Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 FUTURE TAG 762-SECURITYSUBTYPE Market Data Channel
      BRIXX™ Office Index futures BXO MF SP (Calendar Spread) 460

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

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

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      UpdateUpdate - Trading at Settlement (TAS) Eligibility for Treasury Futures and Spreads - November 14

      † Denotes update to the article

      Effective Sunday, November 14 (trade date Monday, November 15), pending completion of all regulatory review periods, Trading at Settlement (TAS) on treasury futures and spreads will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Trading at Settlement (TAS) Eligibility for Treasury Futures and Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      TAS on 2-Year Treasury Note Futures ZTT AT 344
      TAS on 5-Year Treasury Note Futures †ZFT QT
      TAS on 10-Year Treasury Note Futures ZNS UT
      TAS on Ultra 10-Year Treasury Note Futures TNT VT
      TAS on U.S. Treasury Bond Futures ZBT WT
      TAS on Ultra U.S. Treasury Bond Futures UBT XT

      The match algorithm and Maximum order quantity applied to each instrument are identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm=F(FIFO) and tag 1140-MaxTradeVol=4999 for outrights and tag 1140-MaxTradeVol=9999 for spreads. Descriptions of algorithms currently supported on CME Globex are defined here.

      The timing of each TAS groups’ pre-open state is randomized, more information on pre-open procedures for TAS products communicated via the market data Security Status message (tag 35-MsgType=f), tag 326-SecurityTradingStatus=2 are described here.

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

      For additional information, please refer to Special Executive Report SER-8863.

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

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      BRIXX™ Residential and Hospitality Index Futures - November 21

      Effective Sunday, November 21 (trade date Monday, November 22), BRIXX™ Residential and Hospitality Index futures and spreads will be listed for trading on CME Globex pending regulatory approval.

      BRIXX™ Residential and Hospitality Index Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 FUTURE TAG 762-SECURITYSUBTYPE Market Data Channel
      BRIXX™ Residential Index futures BXR MF SP
      (Calendar Spread)      		 460
      BRIXX™ Hospitality Index futures BXH MF

      These futures will be available for customer testing in New Release on Monday, November 8.

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

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      CVOL Indicators on Benchmark Administration Premium - November 21

      Effective Sunday, November 21 (trade date Monday, November 22), CME Group will launch the CME Group Volatility Index (CVOL) Indicators on Benchmark Administration Premium MDP.

      The market data messages will be sent on the Benchmark Administration Premium Simple Binary Encoding (SBE) Multicast channel ID 261 via SBE template MDIncrementalRefreshSettle401. The CVOL Index will include the following new values:

      • Up Variance (Up Var) - Implied volatility of call options
      • Down Variance (Down Var) - Implied volatility of put options
      • Skew - Difference of Up Var and Down Var
      • At the Money Vol (ATM Vol) - Implied volatility of the theoretical at-the-money (ATM) Premium
      • Convexity - The degree of curvature of the volatility curve as indicated by the ratio of the Volatility Index value and the ATM Vol.

      Please see the CVOL Indicators for the full list of symbols.

      The CVOL Indicators will have the following message layout:

      CVOL Indicators on Benchmark Administration Premium
      TAG FIX NAME NEW VALID VALUES DESCRIPTION
      269 MDEntryType 3 = Index Value Indicates the type of price
      55 Symbol CVOL Indicators Contract name

      Additional product and instrument information are defined in Reference Data API.

      The CVOL Indicators are currently available for customer testing in New Release.

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      NewNew - Micro Ether Futures - December 5

      Effective Sunday, December 5 (trade date Monday, December 6), pending completion of all regulatory review periods, Micro Ether futures and BTIC on Micro Ether futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Micro Ether Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Micro Ether Futures MET EZ 318
      BTIC on Micro Ether Futures MRB RJ 318

      These products will be available for customer testing in New Release on Monday, November 22.

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

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      Product Changes

      Change to Maximum Order Quantity for E-mini FX Futures and SD Calendar Spreads - This Week

      Effective this Sunday, November 7 (trade date Monday, November 8), the maximum order quantity for these FX futures outrights and all SD calendar spreads(quarterly-to-quarterly) will be amended as follows:

      CHANGE TO MAXIMUM ORDER QUANTITY FOR FX FUTURES AND SD CALENDAR SPREADS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 CURRENT
      TAG 1140-MAXTRADEVOL      		 NEW
      TAG 1140-MAXTRADEVOL
      E-mini EUR/USD Futures 6E E7 250 2500
      E-mini JPY/USD Futures 6J J7 250 2500

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

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

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      Listing Cycle Expansion for Select FX Options - This Week

      Effective this Sunday, November 7 (trade date Monday, November 8), the listing cycle for the following Options on EURO/British Pound Sterling (EUR/GBP) Futures, Options on Euro/Japanese Yen (EUR/JPY) Futures, Options on Euro/Swiss Franc (EUR/CHF) Futures will be expanded on CME Globex.

      Listing Cycle Expansion for Select FX Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current Listing Schedule New Listing Schedule
      Options on EURO/British Pound Sterling (EUR/GBP) Futures RP 8E 2 Quarterlies and 3 Serials 3 Serials and 4 Quarterlies
      Options on Euro/Japanese Yen (EUR/JPY) Futures RY 8H
      Options on Euro/Swiss Franc (EUR/CHF) Futures RF 8C

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

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

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      Amendment to Match Algorithm for Select Treasury Note Futures Calendar and Butterfly Spreads - This Week

      Effective this Sunday, November 7 (trade date Monday, November 8), the CME Globex match algorithm for select Treasury Note Futures calendar and butterfly spreads will be modified so that the leveling component, will be replaced by a FIFO allocation.

      Currently, these spreads use the configurable (tag 1142=K) match algorithm for all calendar and butterfly spread months with leveling. The remaining quantity from rounding during the Pro Rata step is distributed to participating orders.

      Amendment to Match Algorithm for Select Treasury Note Futures Calendar AND BUTTERFLY Spreads
      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 Futures Calendar Spread ZT-ZT
      		 ZT SP
      2-Year T-Note Futures Butterfly Spread ZT:BF ZT BF
      3-Year T-Note Futures Calendar Spread Z3N-Z3N
      		 Z3 SP
      3-Year T-Note Futures Butterfly Spread Z3N:BF Z3
      BF
      5-Year T-Note Futures Calendar Spread ZF-ZF ZF SP
      10-Year T-Note Futures Calendar Spread ZN - ZN ZN RT
      Ultra 10-Year U.S. Treasury Note Futures Calendar Spread TN – TN TN RT
      U.S. Treasury Bond Futures Calendar Spread ZB - ZB ZB RT
      Ultra U.S. Treasury Bond Futures Calendar Spread UB-UB UBE RT

      The match algorithm applied to each instrument is identified in the Security Definition (tag 35-MsgType=d) message in tag 1142-MatchAlgorithm. Descriptions of each algorithm currently in use on CME Globex are available online.

      The match algorithm change for these futures calendar and butterfly spreads are currently for customer testing in New Release.

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      Changes to Circuit Breaker Event Market Pause Interval in Futures Spreads - November 21

      Effective Sunday, November 21 (trade date Monday, November 22), the market pause interval for a circuit breaker event in futures spreads on CME Globex, will be reduced from the current 2 minutes to 30 seconds.

      Please Note: This change does not impact the market pause for outright futures.

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      NewNew - Change to Minimum Price Increment for Ether Futures: Resting Order Eliminations - December 5

      Effective Sunday, December 5 (trade date Monday, December 6), pending the completion of all regulatory review periods, tag 969-MinimumPriceIncrement for Ether futures will change as follows:

      Please Note: To facilitate this change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on December 3. After 16:00 CT on December 3, all remaining GT orders for these futures will be cancelled or deleted by the CME Global Command Center (GCC).

      Change to Minimum Price Increment for Ether Futures: Resting Order Eliminations
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group

      CURRENT TAG 969-MINPRICEINCREMENT

      NEW TAG 969-MINPRICEINCREMENT
      Ether Futures ETH EZ 25.000000000 50.000000000

      This change will be available for customer testing in New Release on Monday, November 8.

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

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      Events and Announcements

      CME SPAN 2 Margin Methodology - H1 2022

      CME Group is targeting the initial launch of SPAN 2 Margin Methodology in H1 2022, starting with a subset of energy products. Any firm that currently uses the CME SPAN methodology and trades impacted products will need to implement one of the following services for computing CME SPAN 2 margin requirements:

      • CME Core – a CME Group hosted web application for Margin Calculation “CME CORE”
      • Margin API – a CME Group hosted margin calculation API
      • Deployable Margin Software – a CME Group java margin calculation library

      Please Note: A limited number of existing pre-trade execution margin calculation processes may continue to be supported.

      Firms using CME SPAN for pre-trade risk management can contact the Post Trade Services team for more information:

      US UK APAC
      +1 312 580 5353 +44 20 3379 3500 +65 6593 5599

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