• CME Globex Notices: May 23, 2022

      • To
      • CME Globex and Market Data Customers
      • From
      • Global Market Solution & Services (GMSS)
      • #
      • 20220523
      • Notice Date
      • 26 May 2022

    • Topics in this issue include:

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

      Critical System Updates

      Disable Triangulation Functionality for FX Futures and Options - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), triangulation functionality that provides liquidity between premium-quoted options (PQO), volatility-quoted options (VQO), and the related underlying futures market will be disabled on CME Globex.

      • Japanese Yen
        • Futures: tag 6937=6J
        • Premium-Quoted Options: tag 6937=JPU, 1JY-5JY
        • Volatility-Quoted Options: tag 6937=VXJ, VJA-VJE
      • British Pound
        • Futures: tag 6937=6B
        • Premium-Quoted Options: tag 6937=GBU, 1BP-5BP
        • Volatility-Quoted Options: tag 6937=VXB, VBA-VBE
      • Swiss Franc
        • Futures: tag 6937=6S
        • Premium-Quoted Options: tag 6937=CHU, 1SF-5SF
        • Volatility-Quoted Options: tag 6937=VXS, VSA-VSE
      • Canadian Dollar
        • Futures: tag 6937=6C
        • Premium-Quoted Options: tag 6937=CAU, 1CD-5CD
        • Volatility-Quoted Options: tag 6937=VXC, VCA-VCE
      • Euro FX
        • Futures: tag 6937=6E
        • Premium-Quoted Options: tag 6937=EUU, 1EU-5EU
        • Volatility-Quoted Options: tag 6937=VXT, VTA-VTE
      • Australian Dollar
        • Futures: tag 6937=6A
        • Premium-Quoted Options: tag 6937=ADU, 1AD-5AD
        • Volatility-Quoted Options: tag 6937=VXA, VAA-VAE, VA1-VA5

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

      Back to Top

      Exchange-Recognized Eurodollar Options vs Three-Month SOFR Options UDS: Resting Order Eliminations  - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), a new exchange-recognized Eurodollar options vs Three- Month SOFR options User Defined Spread (UDS) will be available for trading on CME Globex. The new spread type will utilize a new strategy type code (LS) and trade at a reduced tick. The new spread will utilize a new strategy type (LS).

      The LS spread is the simultaneous purchase (sale) of a Eurodollar options and aThree-Month SOFR options contract. 

      To facilitate this change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders on UDS in the U$ group after the close on Friday, June 3. After 16:00 CT on Friday, June 3, all remaining orders for UDS in the U$ group will be cancelled or deleted by the CME Global Command Center (GCC).

      Please review the Client Impact Assessment for detailed spread construction and pricing examples.

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

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

      Back to Top

      UpdateUpdate - CME Benchmark Administration Premium SBE Schema Update - July 24

      † Denotes update to the article

      Effective † Sunday, July 24 (trade date Monday, July 25), CME Group will launch a new Simple Binary Encoding (SBE) schema on CME Benchmark Administration Premium channel ID 261. The new SBE incremental schema will be sent on:

      Please review the Client Impact Assessment for additional details.

      The new SBE schema is currently available for customer testing in New Release.

      Back to Top

      UpdateUpdate - CVOL Live Streaming Launch and SBE Template Migration - July 24

      † Denotes update to the article

      Effective † Sunday, July 24 (trade date Monday, July 25), CME Group will launch CME Group Volatility Index (CVOL™), Live Streaming and migrate all current CVOL messaging to a new Simple Binary Encoding (SBE) template.

      The CVOL indicator market data messages will be sent on:

      Please review the Client Impact Assessment for additional details.

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

      Back to Top

      Event-Based Contracts

      At a launch date to be announced, event-based options contracts will be listed for trading on CME Globex, pending completion of all regulatory review periods. Event-based contracts are daily-expiring, cash settled, European Style, options on futures contracts. Event-based contracts will provide access to some of our most recognized global products, including metals, energy, equities, and foreign currencies. Additionally, non-tradable underlying futures will be listed to support the new event-based options. Event-based contracts will be listed on a new MDP 3.0 channel (329 - Event-Based Contracts).  

      Please review the Client Impact Assessment for additional details.

      The event-based contracts are currently available for customer testing in New Release.

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

      Back to Top

      Product Launches

      Japan Crude Cocktail (Detailed) Futures Spreads - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), the following strips, calendar spreads, and Inter-commodity spreads on Japan Crude Cocktail (Detailed) futures will be listed on CME Globex.

      Japan Crude Cocktail (Detailed) Futures Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 TAG 762- SECURITYSUBTYPE Market Data Channel
      Japan Crude Cocktail (Detailed) Futures JCC GU SP, SA, SB 382
      Japan Crude Cocktail (Detailed) Futures vs Brent Financial Futures JCC CC XS 382

      These products 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

      Micro WTI Crude Oil Options - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), pending completion of all regulatory review periods, Micro WTI Crude Oil options will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Micro WTI Crude Oil Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Micro WTI Crude Oil Options MCO M8 (UDS: M9) 383
      Micro WTI Crude Oil Weekly Option MW1-MW5 M8 (UDS: M9) 383

      These Micro WTI Crude Oil 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

      Eris BSBY Swaps Inter-Commodity Spreads - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), the following Eris BSBY Swaps Inter-commodity spreads will be listed on CME Globex.

      Eris BSBY Swaps Inter-commodity Spreads
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Tag 762- SecuritySubType Spread Ratio
      1-Year Eris BSBY Swap Futures vs 2-Year Eris BSBY Swap Futures Intercommodity Ratio Spread KAT BY IV 1:1
      1-Year Eris BSBY Swap Futures vs 3-Year Eris BSBY Swap Futures Intercommodity Ratio Spread KAC BY IV 1:1
      2-Year Eris BSBY Swap Futures vs 3-Year Eris BSBY Swap Futures Intercommodity Ratio Spread KAX BY IV 1:1
      2-Year Eris BSBY Swap Futures vs 5-Year Eris BSBY Swap Futures Intercommodity Ratio Spread KWT BY IV 5:2
      3-Year Eris BSBY Swap Futures vs 4-Year Eris BSBY Swap Futures Intercommodity Ratio Spread KAD BY IV 1:1
      3-Year Eris BSBY Swap Futures vs 5-Year Eris BSBY Swap Futures Intercommodity Ratio Spread WCK BY IV 5:3
      4-Year Eris BSBY Swap Futures vs 5-Year Eris BSBY Swap Futures Intercommodity Ratio Spread WDK BY IV 1:1
      5-Year Eris BSBY Swap Futures vs 10-Year Eris BSBY Swap Futures Intercommodity Ratio Spread WYK BY IV 2:1
      1-Year Eris BSBY Swap Futures vs 1-Year Eris SOFR Swap Futures Intercommodity Ratio Spread KXA BY IS 1:1
      2-Year Eris BSBY Swap Futures vs 2-Year Eris SOFR Swap Futures Intercommodity Ratio Spread KXT BY IS 1:1
      3-Year Eris BSBY Swap Futures vs 3-Year Eris SOFR Swap Futures Intercommodity Ratio Spread KXC BY IV 1:1
      4-Year Eris BSBY Swap Futures vs 4-Year Eris SOFR Swap Futures Intercommodity Ratio Spread KXD BY IS 1:1
      5-Year Eris BSBY Swap Futures vs 5-Year Eris SOFR Swap Futures Intercommodity Ratio Spread KXW BY IS 1:1
      7-Year Eris BSBY Swap Futures vs 7-Year Eris SOFR Swap Futures Intercommodity Ratio Spread KXB BY IS 1:1
      10-Year Eris BSBY Swap Futures vs 10-Year Eris SOFR Swap Futures Intercommodity Ratio Spread KXY BY IS 1:1
      4-Year Eris BSBY Swap Futures vs 4-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread KXD BY IS 1:1
      5-Year Eris BSBY Swap Futures vs 5-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread KXW BY IS 1:1
      7-Year Eris BSBY Swap Futures vs 7-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread KXB BY IS 1:1
      10-Year Eris BSBY Swap Futures vs 10-Year Eris US Dollar Swap Futures Intercommodity Ratio Spread KXY BY IS 1:1

      These spreads 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

      Exchange-Recognized Eurodollar Options vs Three-Month SOFR Options UDS: Resting Order Eliminations - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), a new exchange-recognized Eurodollar options vs Three-Month SOFR options User Defined Spread (UDS) will be available for trading on CME Globex. The new spread type will utilize a new strategy type code (LS) and trade at a reduced tick. The new spread will utilize a new strategy type (LS).

      The LS spread is the simultaneous purchase(sale) of a Eurodollar options and a Three-Month SOFR options contract.

      To facilitate this change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders on UDS in the U$ group after the close on Friday, June 3. After 16:00 CT on Friday, June 3, all remaining orders for UDS in the U$ group will be cancelled or deleted by the CME Global Command Center (GCC).

      Please review the Client Impact Assessment for detailed spread construction and pricing examples.

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

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

      Back to Top

      Euro Denominated CME CF Cryptocurrency Pricing Data - June 6

      Starting Monday, June 6, shortly after 10 a.m. London time, CME Group and CF Benchmarks (CFB) will launch non-tradable Euro denominated cryptocurrency pricing products designed to provide clients with additional transparent, robust, reliable reference rates and real time pricing.

      The pricing data will be disseminated via the streamlined CME CF Cryptocurrency Pricing Market Data feed on channel 213 and through DataMine.

      The feed will publish the following:

      • Standardized reference rates in Euro (EUR) shortly after 4 p.m. London time each day including weekends and bank holidays.
      • Real time index pricing data in Euro (EUR), published approximately once every second.
      CRYPTOCURRENCY REFERENCE RATE AND REAL TIME INDEX TICKER
      CME CF Bitcoin-Euro Reference Rate BTCEUR_RR
      CME CF Bitcoin-Euro Real-Time Index BTCEUR_RTI
      CME CF Ether-Euro Reference Rate ETHEUR_RR
      CME CF Ether-Euro Real-Time Index ETHEUR_RTI

      The additional cryptocurrency pricing data are available for customer testing in New Release. Certification is not required.

      Back to Top

      Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) Futures - June 12

      Effective Sunday, June 12 (trade date Monday, June 13), and pending completion of all regulatory review periods, Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) futures will be listed for trading on CME Globex and for submission for clearing via CME ClearPort.

      Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) Futures
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Market Data Channel
      Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) Futures CWR CR 340

      These Canadian Western Red Spring Wheat FOB Vancouver Financially Settled (Platts) futures will be available for customer testing in New Release on Monday, June 6.

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

      Back to Top

      Bursa Malaysia Derivatives (BMD) Crude Palm Oil vs East Malaysia Crude Palm Oil Inter-Commodity Futures Spreads - July 24

      Effective Sunday, July 24 (trade date Monday, July 25), and pending final regulatory approval, inter-commodity spreads between Bursa Malaysia Derivatives (BMD)’s Crude Palm Oil vs BMD East Malaysia Crude Palm Oil futures will be made available for trading on CME Globex.

      BURSA MALAYSIA DERIVATIVES (BMD) CRUDE PALM OIL VS EAST MALAYSIA CRUDE PALM OIL INTER-COMMODITY FUTURES SPREADS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 TAG 762-SECURITYSUBTYPE Market Data Channel
      Crude Palm Oil vs East Malaysia Crude Palm Oil Futures FCPO-FEPO BC IS 430

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

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

      Back to Top

      Event-Based Contracts

      At a launch date to be announced, event-based options contracts will be listed for trading on CME Globex, pending completion of all regulatory review periods. Event-based contracts are daily-expiring, cash settled, European Style, options on futures contracts. Event-based contracts will provide access to some of our most recognized global products, including metals, energy, equities, and foreign currencies. Additionally, non-tradable underlying futures will be listed to support the new event-based options. Event-based contracts will be listed on a new MDP 3.0 channel (329 - Event-Based Contracts).

      Please review the Client Impact Assessment for additional details.

      The event-based contracts are currently available for customer testing in New Release.

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

      Back to Top

      Product Changes

      NewNew - Amendment to Dynamic Circuit Breakers Functionality for CME, CBOT, NYMEX and COMEX Contracts - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), dynamic circuit breaker functionality will be amended for CME, CBOT, NYMEX and COMEX contracts.

      With this amendment, the temporary trading halt will be updated from the current window of two (2) minutes to five (5) seconds, in an expiring contract month should there be a triggering event during such contract’s final settlement determination period. The market data Security Status (tag 35-MsgType=f) message will be disseminated with tag 327-HaltReason=2 (Market Event) and 326-SecurityTradingStatus=21 (Reserve).

      For additional information, please refer to Special Executive Report SER-8991.

      The dynamic circuit breaker settings for all CME Globex products are defined in the CME Globex Product Reference.

      Back to Top

      Changes to Japan Crude Cocktail (Detailed) Futures and Spreads: Resting Order Eliminations - June 5

      Effective Sunday, June 5 (trade date Monday, June 6), Japan Crude Cocktail (Detailed) futures will be migrated from their MDP 3.0 current security group and market data channel to a new MDP 3.0 security group and market data channel.

      To facilitate the change, customers are asked to cancel all Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders after the close on Friday, June 3. After 16:00 CT on Friday, June 3, all remaining GT orders for these futures and spreads will be cancelled or deleted by the CME Global Command Center (GCC).
      CHANGES TO JAPAN CRUDE COCKTAIL (DETAILED) FUTURES AND SPREADS: RESTING ORDER ELIMINATIONS
      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      		 CURRENT MARKET DATA CHANNEL NEW MARKET DATA CHANNEL
      Japan Crude Cocktail (Detailed) Futures JCC GU CC 386 382

      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

      Sunsetting Eurodollar Options  - June 12

      Effective Sunday, June 12 (trade date Monday, June 13), Eurodollar and Mid Curve option quarterlies will be sunset, and no additional contracts expiring after June 16, 2023 will be listed.

      Additionally, serial and weekly Eurodollar options expiring prior to the June 2023 expiration will continue to be listed per product listing rules.

      Please Note: All currently listed expirations will remain listed and continue to trade. 

      Sunsetting Eurodollar Options
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 LISTING RULE
      Options on Three-Month Eurodollar Futures GE GE 16 quarterlies and 4 serials
      One-Year Mid-Curve Eurodollar Options GE0 E0 5 quarterlies and 4 serials
      Two-Year Mid-Curve Eurodollar Options GE2 E2
      Three-Year Mid-Curve Eurodollar Options GE3 E3
      Four-Year Mid-Curve Eurodollar Options GE4 E4
      Five-Year Mid-Curve Eurodollar Options GE5 E5
      Weekly One-Year Mid-Curve Eurodollar Options - Week 1 E01 E2 2 weeklies
      Weekly One-Year Mid-Curve Eurodollar Options - Week 2 E02 E1
      Weekly One-Year Mid-Curve Eurodollar Options - Week 3 E03 E0
      Weekly One-Year Mid-Curve Eurodollar Options - Week 4 E04
      Weekly One-Year Mid-Curve Eurodollar Options - Week 5 E05
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 1 E21 E2
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 2 E22
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 3 E23
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 4 E24
      Weekly Two-Year Mid-Curve Eurodollar Options - Week 5 E25
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 1 E31 E3
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 2 E32 E4
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 3 E33 E5
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 4 E34 E6
      Weekly Three-Year Mid-Curve Eurodollar Options - Week 5 E35 E7
      Eurodollar Calendar Spread Options SPO 8I 4 1-year calendar spreads
      Three-Month Mid-Curve Eurodollar Options TE2 G3 1 month of Mar, Jun, Sep, Dec.
      2 month of Jan, Feb, Apr, May, Jul, Aug, Oct, Nov
      Six-Month Mid-Curve Eurodollar Options TE3 G6
      Nine-Month Mid-Curve Eurodollar Options TE4 G4

      Back to Top

      Changes to Lead Month Roll Procedure for E-mini S&P 500 and Micro E-mini S&P 500 Futures - June 12

      Effective Sunday, June 12 (trade date Monday, June 13), the lead month roll procedure for E-mini S&P 500 and Micro E-mini S&P 500 futures will be amended on CME Globex as follows:

      Changes to Lead Month Roll Procedure for E-mini S&P 500 and Micro E-mini S&P 500 Futures
      Product Name MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current
      Lead Month Roll Procedure      		 New
      Lead Month Roll Procedure
      E-mini Standard & Poor’s 500 Stock Price Index Futures

      ES

      		 ES Lead month rolls quarterly effective on the Thursday one week prior to expiration Lead month rolls quarterly effective on the Monday of the week of expiration
      Micro E-mini Standard & Poor’s 500 Stock Price Index Futures

      MES

      		 EO

      Please Note: This change will be implemented for the June 2022 roll, making the March 2022 contracts the final roll using the existing procedure.

      For example, the June 2022 quarterly contracts expire on Friday, June 17, 2022. Prior to the June quarterly contract expiration, the lead month will switch from the June contract to the September contract on Sunday, June 12, 2022, for trade date Monday, June 13, 2022, as opposed to Thursday, June 9, 2022, under the existing procedure.

      This change will reflect the current observed trading patterns around roll dates and align the lead month roll for the contracts with the balance of the Exchange’s U.S. Equity Products.

      Back to Top

      UpdateUpdate - Listing Cycle Expansion for Crude Oil TAS and Brent Crude Oil TAS - June 12

      † Denotes update to the article

      Effective Sunday, June 12 (trade date Monday, June 13), the listing cycle for the following Crude Oil TAS and Brent Crude Oil TAS will be expanded on CME Globex.

      Listing Cycle Expansion for Crude Oil TAS and Brent Crude Oil TAS
      Product MDP 3.0: tag 6937-Asset iLink: tag 55-Symbol
      MDP 3.0 tag 1151 - Security Group      		 Current
      Listing Schedule      		 New
      Listing Schedule
      Crude Oil TAS

      CLT

      		 CT TAS spreads, all combinations, for 6 months TAS spreads, all combinations, for 6 months and additional Jun-Dec & Dec-Jun spreads
      Brent Crude Oil TAS

      BZT

      		 CT TAS eligibility for 6 months and the next Dec TAS eligibility for 12 months and the next December

      These products will be available for customer testing in New Release on † Monday, June 6.

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

      Back to Top

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.