2
OVERVIEW
SECTION PAG E
1 I NTRODUCTION 1
2 BACKG ROU N D 2
3 TH E ADVANTAG ES OF CM E® G LOB EX® MAR KETS 3
4 CM E G LOB EX PRODUCTS 4
5 CM E G LOB EX PLATFOR M ARCH ITECTU R E 6
6 ACCESSI NG CM E G LOB EX 6
7 CM E G LOB EX OR DE R E NTRY AN D MANAG E M E NT 10
8 CM E G LOB EX MATCH I NG ALG OR ITH MS 13
9 TRADI NG SESSIONS ON CM E G LOB EX 18
10 CM E G LOB EX CONTROL CE NTE R 23
11 TH E CM E CLEAR I NG PROCESS AN D FI NANCIAL 23
1.
I NTRODUCTION
This brochure provides an overview of the CME Globex
electronic trading platform. It contains information pertaining
to a wide range of topics, including products traded, access
options, order entry, matching and clearing. For additional
information, please visit our Web site at www.cme.com/globex.
2.
BACKG ROU N D
In September 1987, CME announced plans to
develop the first global electronic trading platform
for the trading of futures and options on futures
products. After five years of planning, negotiation
and development, we revolutionized derivatives
markets by launching the CME Globex platform
in June 1992.
This first-generation CME Globex system began modestly, offering after-hours trading on a handful of foreign exchange products. CME Eurodollar futures and options were listed on the platform in August 1992, and our benchmark CME S&P 500®futures and options on futures became available
electronically in September 1993.
Volume on CME’s electronic markets began to grow exponentially as we expanded our electronic trading hours and introduced products solely for electronic trading. For example, we launched CME E-miniTMS&P 500 futures in
September 1997—and for the first time, offered electronic trading during open outcry trading hours. This contract, which trades only on CME Globex and is one-fifth the size of our standard S&P 500 contract, quickly became the fastest-growing product in CME’s history. The CME E-mini NASDAQ-100®futures contract, launched in 1999, became
the second fastest.
Today, trading on CME Globex is available virtually around the clock, five days a week, to customers all over the world. With average daily volume of approximately two million contracts, it is one of the largest electronic derivatives markets in existence, enabling more than half of all trades done at CME.
1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 1/04 – 9/04 1,041.7 747.2 324.9 136.9 38.7 17.4 8.0 5.3 4.1 2.3 0.9
CME GLOBEX AVERAGE DAILY VOLUME (thousands)
1600 1500 1400 1300 1200 1100 1000 900 800 700 600 500 400 300 200 100 0 64.0 1,687.5
Today’s platform offers far greater capabilities than the system introduced in 1992. We use a modified version of the NSC matching technology, developed by Paris-Bourse (now Euronext). We’ve customized that technology to meet the needs of our customers, making frequent upgrades to the system’s speed, capacity, reliability, functionality and accessibility.
CME Globex is highly scalable, allowing us to accommodate growing volume and add new products. The platform’s open architecture enables customers to access it using their own proprietary trading applications or the systems provided by futures brokers and Independent Software Vendors (ISVs). Alternatively, customers may choose to use CME Globex TraderSM, a CME-provided front-end trading application. As technology continues to be upgraded on the platform, customers have gained access to new product trading strategies. For example, we introduced functionality to enable implied calendar and butterfly spread trading for CME Eurodollar futures on the platform, significantly enhancing liquidity in this sophisticated product. We also have implemented enhancements in response to the specific needs of customers outside the United States. In 2002, we established a telecommunications hub in London to bring down the cost of trading for our growing number of European customers. The hub houses the direct electronic connections between Europe and CME Globex. Customers using the London hub have the option to select a CME-approved local telecommunications provider. All necessary telecommunications hardware and network equipment are stored at the hub facility. In 2004, we built upon this successful initiative by implementing six additional European hubs in Amsterdam, Dublin, Frankfurt, Gibraltar, Milan and Paris.
At CME, we are not satisfied with today’s state of the art. We continually seek ways to make CME Globex better, faster and more responsive to customers. The proof is in our increasing number of customers, and the growing number of trades they execute every year.
3.
TH E ADVANTAG ES OF CM E
G LOB EX MAR KETS
Why trade on CME Globex? The answers can be
as varied as our customers, which include pension
funds and investment advisors, portfolio managers,
corporate treasurers, commercial and investment
banks, broker/dealers and individuals who trade at
CME as a part of their financial management strategy.
To these customers around the globe, CME Globex offers access to around-the-clock trading of a diverse range of futures and options contracts and the security of CME’s Clearing House guarantee. In addition, CME’s electronic markets offer speed of execution, transparency, anonymity and market integrity.A Diverse Range of Products
CME Globex offers access to all four of the Exchange’s major product categories—equities, interest rates, foreign exchange and commodities, as well as our innovative weather futures contracts. In addition, CME Globex also offers certain trading products in collaboration with other exchanges, including the e-miNYSMcrude oil and natural
gas futures offered in partnership with the New York Mercantile Exchange®(NYMEX®) and security futures
traded on OneChicago®.
Some products are offered only on CME Globex, some trade side-by-side on the CME trading floor and CME Globex during the trading day, and a few trade only after open outcry trading hours. A complete list of products offered on CME Globex can be found on our Web site at www.cme.com/globexproducts.
Open Access
The Open Access policy on CME Globex, implemented in 2000, eliminated membership requirements for trading on our electronic platform. All customers can view our book of prices and directly execute transactions in our electronically traded products. Anyone can trade on CME Globex who has an account with a Futures Commission Merchant (FCM) or Introducing Broker (IB) who in turn has a CME Clearing House guarantee.
CME’s Clearing Guarantee
We operate the largest clearing house for futures contracts in the world, clearing approximately 85% of U.S. futures and options on futures. The CME Clearing House clears, settles and guarantees the performance of all transactions matched through our execution facilities, including CME Globex. The Clearing House's primary function is to protect all clearing members and their customers from the failure of a counter-party to “make good” on the contract. We guarantee the performance of our contracts with a financial safeguards package of approximately $3.4 billion—but just as importantly, we have developed analytical and statistical risk management techniques to quickly detect unsound financial and opera-tional practices. In particular, CME developed the Standard Portfolio Analysis of Risk (SPAN®) system, which has been
adopted by dozens of exchanges and clearing organizations worldwide since its introduction in 1988.
Around-the-Clock Trading
CME Globex offers access to nearly all of CME’s futures and options on futures contracts 23 hours a day, five days a week. With the exception of a brief product maintenance cycle each day, CME Globex trading begins on Sunday evening and continues through Friday evening.
Speed of Execution
When CME launched the Globex platform in 1992, it was announced that response time for trades would be within three seconds. Improvements over the years to the system’s architecture and capabilities have significantly improved that statistic. Today, average customer response time is just 3/10 of a second—faster than the blink of an eye.
Transparency, Anonymity and Market Integrity
For more than 100 years, CME has proven its ability to offer fair, transparent and liquid markets. Our transparency ensures that all market participants see accurate prices at all hours of the day and night. Our deep, liquid markets support timely and efficient moves into and out of positions. Our state-of-the-art technology provides real-time order execution and reporting. Our reputation for market integrity is due in large part to our high ethical standards in self-regulating and managing CME
markets, our comprehensive market surveillance capabilities, and the strength and reliability of our trading and clearing platforms, including CME Globex. In addition, our markets are subject to the oversight of the U.S. Commodity Futures Trading Commission.
4.
CM E G LOB EX PRODUCTS
Since the launch of CME Globex more than a decade
ago, CME has broadened the number of products
offered electronically to include nearly all CME
contracts. In addition, we have tailored a number of
contracts exclusively for the needs of the online trader.
A brief overview of our electronically traded products
follows. A complete list is posted on our Web site at
www.cme.com/globexproducts.
CME Equity Index Products
CME is the world’s largest exchange for trading stock index futures, with 95 percent of the market share in U.S.-listed stock index futures. Stock index futures are traded for a variety reasons. Financial institutions use index futures to profit from or protect themselves from changes in the price of the underlying indexes. Pension and mutual fund managers typically use CME Equity Index futures for managing risk and hedging portfolios against adverse price movements. CME futures contracts are designed to track the most popular broad-based U.S. and international stock index benchmarks in the financial world, including the Standard & Poor’s 500 (large-capitalization stocks), NASDAQ-100 (technology, telecom and biotechnology stocks), Russell 2000 (small-capitalization stocks) and the Standard & Poor’s MidCap 400 (mid-size stocks). The standard-size futures contracts tracking these key benchmarks trade on CME Globex after open outcry trading hours, while the innovative E-mini versions of these contracts trade exclusively on CME Globex throughout the day and evening. In addition, both yen-based and dollar-based futures on the Nikkei 225, Japan’s most widely watched index of stock market performance, can now be traded on CME Globex.
CME Interest Rate Products
As a global benchmark for valuing and pricing interest rate risk, the CME Eurodollar futures contract is the world’s most actively traded futures product. When it was introduced in 1981, it was the first futures product to be settled in cash, rather than by physical delivery of the underlying item. CME Eurodollar futures are used as a benchmark for measuring the relative value of U.S. dollar-denominated short-term fixed-income securities. Eurodollars are bank deposits in U.S. dollars outside the United States, which are significant to the international capital markets because the U.S. dollar is the principal reserve currency for financial institutions throughout the world. CME has enhanced CME Globex by providing implied spread functionality to accommodate a broader range of Eurodollar trading strategies, significantly improving market liquidity. Other CME interest rate products offered on the platform include LIBOR futures/options and swap rate futures.
CME Foreign Exchange Products
CME was the first exchange to introduce financial futures— contracts not based on a physical commodity—when we launched foreign exchange futures in 1972. These products are used by banks, hedge funds, commodity trading advisors, corporations and individuals to manage the risks associated with fluctuating foreign exchange rates, or to speculate on changes in those rates. On CME Globex, CME offers futures and options on futures on major currencies, including the European Union euro, Japanese yen, British pound, Swiss franc, Canadian dollar and Mexican peso. These products trade side-by-side on CME Globex and the open outcry trading floor during the day and continue to trade on CME Globex after the trading floor closes.
CME Commodity Products
Livestock, dairy and forest products are the basis of CME commodity futures and options on futures. These contracts enable numerous companies, ranging from small family farms to large commercial firms, to better manage their price risks. Trading commodities also can be challenging for those who accept the risk these producers and businesses seek to reduce. In 2002, CME introduced side-by-side electronic and open outcry trading of live cattle, feeder cattle and lean hog futures.
CME Environmental Products
CME has also introduced a number of products that are risk management tools designed to serve markets and industries that traditionally have not had access to futures. In some cases, our contracts are based on new definitions of tradable commodities. For example, we introduced the first exchange-traded weather contracts in 1999 to allow hedging and speculation on fluctuations in the weather. These contracts have become crucial business tools for participants in the energy industry, retail, agriculture, construction, transportation and managed funds—industries in which weather has significant effects. In other cases, we have introduced products based on innovative partnerships. These contracts include the NYMEX e-miNY energy product suite. Launched in 2002, these smaller-sized versions of the world’s most actively traded physical commodity futures contracts are based on CME’s successful E-mini concept; they trade on CME Globex and are cleared at the NYMEX Clearing House. In 2004, CME introduced a suite of futures and options on futures based on three of the most commonly used varieties of fertilizer, as well as CME X-Fund Index futures, short-term contracts created by designated fund designers. All of these new electronically-traded products demonstrate CME’s commitment to recognizing evolving market needs and developing products to meet them.
OneChicago Security Futures
Security futures is the term used to collectively describe futures on individual stocks, narrow-based indexes and Exchange Traded Funds (ETFs). These products represent an important new tool for professional traders. Security futures enable money managers, proprietary trading operations and other investors to efficiently execute a variety of trading strategies for U.S. listed equities. Securities futures are listed and traded on OneChicago, a joint venture exchange formed in 2002 by CME in partnership with the Chicago Board of Trade®(CBOT®) and the Chicago Board Options Exchange®
(CBOE®). CME provides seamless access to all OneChicago
5.
CM E G LOB EX PLATFOR M
ARCH ITECTU R E
CME Globex has an “open architecture” which,
through software application programming interfaces,
enables customers to connect to the platform with
their own proprietary system or a system provided
by a vendor or broker.
In 1998, CME introduced the second generation of CME Globex using a modified version of the NSC trading system developed by Paris-Bourse for the MATIF (now Euronext). CME manages its own development, testing and upgrades of the trading system.
There are two interfaces to CME Globex: CME iLink®and
the CME Market Data Application Programming Interface (MD API). CME iLink is a FIX protocol compliant interface to CME Globex for order entry and management. CME MD API is the interface for real-time CME Globex market prices. To learn about the development process for these interfaces, please see Access for Developers at
www.cme.com/globex.
6.
ACCESSI NG CM E G LOB EX
CME Globex can be accessed electronically from
around the world, using a variety of trading software
and network connectivity options.
Trading Applications and Software
The following trading software options are available to customers for accessing our electronic markets: • CME-certified proprietary software developed by
Futures Commission Merchants (FCMs) and Introducing Brokers (IBs)
• Software licensed from CME-certified Independent Software Vendors (ISVs)
• CME Globex Trader, a trading application
In addition, users can develop custom trading applications using the CME iLink and CME MD API interfaces to the platform provided by CME, as described above.
Direct Line CME Globex Interfaces FCM Back Office Systems CME Clearing Market Data Vendors OneChicago, LLC CME Globex Trade Processing Confirmation Allocation Corrections Direct Line
CME
Globex
Matching EngineMarket Data
CME Globex provides users real-time market prices, including aggregate order volumes available to buy or sell in the market at the various price levels (the “CME Globex Book”). CME disseminates this real-time electronic market data via four distribution mechanisms:
• Quote vendors distributing CME product quotes via the CME Market Data Network (MDN)
• Third-party trading applications accessing CME Globex market data via the CME MD API
• The CME Globex Trader front-end trading application • CME E-quotesTM, CME’s real-time market data application
over the Internet
Network Connectivity
CME provides customers a set of network access alterna-tives to enable reliable, robust and cost-efficient connectivity to CME Globex. Customers may select to connect via a CME-managed network solution, manage their own direct network connections or access CME Globex via the Internet. Customers can also choose the desired bandwidth to suit their needs. Through relationships with a variety of tier-one network service providers as well as automatic failover capabilities, CME ensures high availability of the network, significantly reducing the risk of network outages. With a range of choices, customers can truly customize their CME Globex network connectivity to best fit their trading and business requirements.
1. CME DIRECTLink is CME’s managed AT&T network, where CME provides the circuits, back-up line and hardware required.
• Bandwidth available from 128K to 6mb
• Second back-up circuit provided through Sprint or MCI. (If less than a T1, an AT&T ISDN is provided as backup.) • Router(s) provided
• 24x7 monitoring and support provided by CME and AT&T
2. Client DIRECTLinkallows clients to manage their own network connection and equipment, connecting to CME within a telecommunications vendor “cloud.”
• Choice of AT&T, MCI and Sprint telecommunication vendors
• Bandwidth available in increments of .5 mb, up to 6 mb • Dual circuits, one to each of CME’s datacenters • Network monitoring and support provided by client
3. Client INTERNETLinkallows clients to connect to CME using a secure VPN tunnel over the Internet.
• Choice of tier-one Internet providers • Bandwidth available in increments of .5 mb • Network monitoring and support provided by client
4. CME Globex European Hubsallow for customer-provided connections to CME datacenters located in Amsterdam, Dublin, Frankfurt, Gibraltar, London, Milan and Paris.
• Choice of CME-approved telecommunication carriers • Bandwidth available in increments of .5 mb
• Connection to European hub managed by client • Connection between European hub and Chicago
managed by CME
Clients may connect directly to CME using any of the above options. Alternatively, clients may also connect indirectly via their clearing firm, an IB or a third party data center, with clearing firm approval.
Tibco bus CME iLink CME iLink Client CME iLink Client CME iLink Client CME iLink CME iLink CME iLink CME’s Back-Up Data Center CME’s Primary Data Center
CME
Globex
Matching Engine1
CM E DI R ECTLink,
2CLI E NT DI R ECTLink,
3CLI E NT I NTE R N ETLink
ATM or Frame PVC Internet
Connection
Primary Router Secondary Router Encrypted Tunnel iLink Gateways Redundant Fiber Paths Single Router AT&T AT&T Sprint or M CI Sprint or M CI
CME Globex
NETWORK
AT&T SPR I NT MCIInternet Local AccessCustomer’s
CLIENT RESPONSIBILITY CLIENT RESPONSIBILITY
CLIENT RESPONSIBILITY CLIENT RESPONSIBILITY
3 Client INTERNETLink 2 Client DIRECTLink
1 CME DIRECTLink 1a T1 Back-up Connection 1b
IMA (High Bandwidth) Connection
CME iLink Client
CLIENT RESPONSIBILITY
CUSTOMER INSTALLED LINES CUSTOMER INSTALLED LINES
CME Routers
CM E G LOB EX E U ROPEAN H U B
Tibco bus CME iLink CME iLink CME iLink CME iLinkCME
Globex
Matching EngineCME iLink Gateways
CME’s Back-Up Data Center CME’s Primary Data Center Redundant Fiber Paths
CME Globex
EUROPEAN
HUB
CME Globex
NETWORK
7.
CM E G LOB EX OR DE R E NTRY
AN D MANAG E M E NT
Users enter orders via their front-end trading software,
which routes the orders to the CME Globex matching
engine. Orders may be entered for any contract,
month or strategy listed on the platform, and at any
time from the start of the pre-opening period until the
market closes. When an order is submitted to CME
Globex, it is considered “accepted” once the engine
has confirmed it as valid, time-stamped it and sent an
electronic acknowledgement to the customer. The
order then enters a centralized order book by market,
and is matched based on the appropriate matching
algorithm and contract specifications (i.e., tick size,
price band variation range). For orders that are not
completely executed, the order time stamp value is
used for subsequent order prioritization in contracts
where time priority is a factor in the matching algorithm.
A user has the ability to modify or cancel orders at any time until the order is executed (filled). After a trade has been executed, the user receives the fill information from CME Globex through his or her trading application. At the same time, the trade information is sent in real-time to the CLEARING 21®system at the CME Clearing House forpost-execution processing. Post execution processing is handled through real-time messaging to clearing firm back office systems.
Orders on CME Globex should include price, quantity, commodity, contract month, account designation and Customer Type Indicator (CTI code). The CTI Code may be assigned one of four values:
CTI 1: Applies to orders entered by users for their own accounts or accounts in which they have a finan-cial interest
CTI 2: Applies to orders entered for the proprietary account owned by a CME clearing firm CTI 3: Applies to orders entered by a CME member
or by an employee of a CME member, for the account of another CME member
CTI 4: Applies to all other orders that do not fit the above three categories
In addition, each individual user must use a unique identifi-cation code in accessing and transacting on CME Globex. This unique code is required regardless of the means of access or trading application used. Clearing firms must ensure that each of their customers on CME Globex has been assigned a unique code, and that a historical record of the identity of each user is kept for a five year period*.
Price Limits and Price Banding
A price limit in CME Globex refers to a high or low price limit assigned to a given contract, and is a precautionary parameter set by CME to prevent abnormal market move-ment. Price limits exist on all futures products except the currencies and are set based on product specifications. Price limits are scheduled to change three times per day from Sunday start-up to Friday market close. After each session, the price limits are adjusted based on the prior session’s settlement price.
*With CME Globex Trader, this unique identification is the CME Globex Trader User ID. For applications accessing CME Globex via the CME iLink inter-face, FIX Tag 50 must be populated with this unique identifier.
To ensure a fair and orderly market, CME has also instituted a price banding mechanism for CME Globex, whereby all incoming orders are subject to price verification and all orders with clearly erroneous prices are rejected. Based on the market state and trading activity, a Price Band Variation (PBV) will be applied both above and below the contract's reported reference price to establish the Price Band Variation Range (PBVR). The PBV is a static value that varies by product, and is symmetrically applied at both the upside (for bids) and downside (for offers) levels with each price change and enforced during the trading session. For a complete list of banding information for each product on CME Globex, please see the CME Web site at www.cme.com/globexpricebanding.
The reference price to which the PBV is applied to calculate the PBVR is dependent on the market state and trading activity as follows:
• The contract's Settlement Price will serve as the PBVR reference price during the Pre-Open and the Pre-Open/ No-Cancel period, until the first Indicative Opening Price (IOP) is calculated.
• Once an IOP is calculated, the IOP becomes the PBVR reference price.
• During continuous trading, the CME Last Price serves as the reference price for the PBVR.
• If a contract has transitioned to continuous trading with no IOP or CME Last Price being established, then the Settlement Price will continue to serve as the PBVR reference price until a CME Last Price is established. • In the event of a market emergency where a market is
placed in a non-trading mode after continuous trading has commenced, then the IOP will serve as the PBVR reference price during the non-regular Pre-Open and the Pre-Open / No-Cancel Period. If no IOP is available, then the CME Last Price will serve as the PBVR reference price.
The PBVR adjusts dynamically as the CME Last Price changes for a given product. For example, if the PBV for an index product is 100.00 index points and the CME Last Price for the product is 3000.00, then the PBVR would span from 2900.00 to 3100.00. All bids above 3100 and offers below 2900 would be rejected by CME Globex. If subsequently a CME Last Price of 3010 is established, the PBVR is adjusted to span from 2910 to 3110. It is important to note that Daily Trading Limits always take precedence over PBVR in rejecting orders with erroneous prices. Price bands are monitored throughout the day by the CME Globex Control Center (GCC) and may be adjusted if necessary.
Order Types
The following order types are supported by CME Globex:
Market Order:Market orders at CME are implemented using a “Market with protection” approach. Unlike a conven-tional Market order, where customers are at risk of having their order filled at extreme prices, Market with protection allows the order to be filled within a pre-defined range of prices (protected range). The protected range is typically the current best bid or offer, plus/minus one half the No Bust range (a range of prices used to determine if a trade made in error should be removed from the CME record) for that instrument. If the entire order cannot be filled within the protected range, the unfilled quantity becomes a Limit order at the limit of the protected range.
Market-Limit Order:A Market-Limit order immediately executes as much as possible at the best available price. If the entire quantity cannot be filled at the best opposite price, the unfilled quantity remains in the market as a Limit order at that opposite price.
Limit Order:A Limit order allows the buyer to define the maximum price to pay and the seller the minimal price to sell (the limit price). A Limit order remains on the book until the order is either executed, cancelled or expires. Any portion of the order that can immediately be matched is executed as soon as the order is entered.
Stop Order:Stop orders at CME are implemented using a “Stop with protection” approach. Unlike a conventional Stop order, where customers are at risk of having their order filled at extreme prices, Stop with protection allows the order to be filled within a pre-defined range of prices (protected range). A Stop with protection order is triggered when the order's trigger price is traded on the market. The order then enters the order book as a Limit order with the limit price equal to the trigger price plus/minus the pre-defined protected range. The protected range is typically the trigger price, plus/minus one half the No Bust range for that instrument. The order will be executed at all price levels between the trigger price and the limit price. If the order is not fully executed, the remaining quantity of the order is left in the system at the limit price. A Buy Stop order must have a trigger price greater than the last traded price for the instrument. A Sell Stop order must have trigger price lower than the last traded price.
Stop Limit Order:A Stop Limit order is triggered when the order’s trigger price is traded on the market. The order then enters the order book as a Limit order with the specified limit price. The order will be executed at all price levels between the trigger price and the limit price. If the order is not fully executed, the remaining quantity of the order is left in the system at the limit price. A Buy Stop Limit order must have a trigger price greater than the last traded price for the instrument. A Sell Stop Limit order must have trigger price lower than the last traded price.
The order types defined here are applicable to products listed and traded on CME Globex, and are supported by the CME iLink interface. Other electronic platforms accessible via CME Globex as well as third-party front-end applications to CME Globex may provide additional order types. For a comprehensive list of order types supported by your front-end trading application, please contact your broker or software vendor.
Order Qualifiers
The following order qualifiers or modifiers may be used on orders sent to the CME Globex host:
Day (Session):Orders specified as Day (Session) will remain in the central order book for the duration of the current trading session, unless traded or canceled by the customer. All resting orders are eliminated at the end of the session.
Good ‘Til Canceled (GTC): Orders specified as GTC will remain in the central order book until the contract’s expiration, unless traded or canceled by the customer.
Good ‘Til Date (GTD):Orders specified as GTD will remain in the central order book until the date specified by the customer, unless traded or canceled by the customer.
Fill Or Kill (FOK): Orders specified as FOK will either be fully executed at opposite best price or will be canceled.*
Fill And Kill (FAK): Orders specified as FAK will have as much quantity executed possible at opposite best price and the remaining quantity will be canceled.
Executing Instructions
The following instructions may be added to an order to manage the manner in which the order executes in the market:
Display (“Maximum Show”) Quantity:CME Globex offers users the capability to specify whether or not the entire quantity of an order is exposed to the market by optionally defining a maximum show quantity. By using this qualifier, a user can expose the order to the market gradually. For example, a user may place an order with a quantity of 1000. If a maximum show quantity of 100 is also specified, no more than 100 lots are exposed to the market at any time. Each time a 100 lot is filled, the next 100 lot is entered into the market as a new order.
Minimum Quantity:CME Globex offers users the capability to specify a minimum quantity which must be executed for the order, although the entire order quantity is displayed in the market.
* This qualifier is currently only valid for orders submitted via CME Globex Trader.
Pre-Negotiated Trades
CME customers may participate in pre-execution discussions for CME Globex trading as long as certain procedures are followed. The parties involved in the pre-execution discussion may submit the order to CME Globex in either of two ways: 1. One party can enter the order, and the other party can take the other side after waiting five seconds if it is a futures order or 15 seconds if it is an options order; or 2. The parties can have give-up arrangements stating that
one party (usually the market maker) will execute orders on behalf of the other. When the parties engage in a pre-execution discussion, the market maker will post the customer’s order (as a give-up) and then take the other side after the proper time has elapsed.
It is important to note that the pre-execution provision requires that the customer order be entered prior to any proprietary order involved in the pre-execution discussion. The only exception to the rule is for Eurodollar options spreads, where it is permissible for proprietary orders to be placed first to ensure that a spread can be properly executed. There are special restrictions for pre-negotiated trades. Please see Rule 539 in the CME Rulebook, available online at www.cme.com/rulebook, for details.
Automated Trading System (ATS) Usage Policy
An Automated Trading System (ATS) is an electronic system or computer software which both determines the requirements for sending orders and generates order messages to CME Globex in an automated fashion. In addition, ISV software or other user-developed software program which allow traders to set parameters to send multiple concurrent orders to CME Globex will be monitored for activity and classified as an ATS if order traffic routinely exceeds published TPS (transactions per second) limits for an ATS. Customers wishing to connect an ATS to CME Globex must register with CME before the ATS can be used for trading in CME markets. Upon registration of the ATS, CME will assign a unique identifier for the system. For more information, please go to the CME Globex Policies section on the CME Web site at www.cme.com/globexpolicies.
8.
CM E G LOB EX MATCH I NG
ALGOR ITH MS
CME has a pre-defined set of matching rules
(algorithms) for the products traded on CME Globex,
which is configured such that one of the following
algorithms is applied to each contract:
• First-In, First-Out (FIFO) Matching • Allocation (Pro-Rata) Matching
• Lead Market Maker (LMM) Allocation Matching In addition, implied spread functionality can optionally be enabled for use in conjunction with either the FIFO or allocation matching algorithms.
First-In, First-Out (FIFO) Matching
FIFO uses price and time as the only criteria for filling an order. In this matching method, all orders at the same price level will be filled according to time priority.
Example: FIFO Matching
Given the following orders:
Trader A CME Bids 9330 for 3 lots @14:47 E-mini S&P
Mar05
Trader B CME Bids 9330 for 5 lots @15:05 E-mini S&P
Mar05
Trader C CME Bids 9330 for 2 lots @15:06 E-mini S&P
Mar05
A new offer for 9 at a price of 9330 would be allocated in the following way:
Trader A buys 3 at 9330 Trader B buys 5 at 9330
Trader C buys 1 at 9330, with remaining quantity of 1 in the market at 9330
Under the FIFO algorithm, a user will lose order priority when one of the following actions is taken:
• An increase in quantity • A change in price
• A change in account number
Allocation (Pro-Rata) Matching
In this matching method, only the first order with price priority will be given matching priority. Subsequently, all orders at that price will be at least partially filled, depending upon the quantity available.
Rules for allocation matching are as follows:
• Orders placed during the Pre-Opening or at the Indicative Opening Price (IOP) will be matched on a price and time priority basis.
• Time priority is assigned to an order that betters the market. Only one order per side of the market can have time priority.
• Time priority orders are matched first, regardless of size. • After a time priority order is filled, the allocation
algorithm is applied to the remainder of the resting orders at that price level.
• The algorithm allocates fills based upon each resting order’s percentage representation of total remaining volume at a given price level.
• After percentage allocation, all remaining contracts not previously allocated due to rounding considerations are allocated to the largest order remaining at the traded price. If two or more orders have identical quantities and are the largest orders in size, then the trading engine will first split the remaining lots equally between the number of largest orders. For example, if there are two orders that tie for a 3-lot remaining allocation, then each of the orders will be allocated a 1-lot, with this remaining 1-lot being allocated according to a rules based system, which applies as follows: – Outright orders will have priority over implied orders
and will be allocated the remaining quantity according to their timestamps.
– Implied orders will be then allocated by maturity, with the earliest expiration receiving the allocation before the later expiring contracts. If spread contracts have the same expiration (i.e., V1-V2 and V1-V3), then the quantity will be allocated to the earliest maturing contracts making up that spread (i.e., the V1-V2 will get the allocation before the V1-V3 because the V2 expires before the V3).
Example: Allocation Algorithm
Given the following orders:
Trader A CME Eurodollar Offers 200 at 9711 @10:01 Mar05
Trader B CME Eurodollar Offers 25 at 9711 @10:02 Mar05
Trader C CME Eurodollar Offers 50 at 9711 @10:03 Mar05
Trader D CME Eurodollar Offers 10 at 9711 @10:04 Mar05
A new bid of 9711 for 250 is entered. The top order will be completely filled. Matching allocation is then performed for the remaining orders. The algorithm allocates fills based upon each resting order’s percentage representation of total remaining volume at a given price level (resting order quantity/total quantity offered x remaining quantity available = allocation quantity).
Trader A sells 200 (top order)
Trader C sells 29 (50/85) x total bid quantity remaining of 50)
Trader B sells 14 (25/85 x total bid quantity remaining of 50)
Trader D sells 5 (10/85 x total bid quantity remaining of 50)
A second allocation pass is executed for the remaining quantity to the order with the highest quantity:
Trader Csells an additional 2 and remains in the market with a 19 lot at 9711
Trader Bremains in the market with an 11 lot at 9711 Trader Dremains in the market with a 5 lot at 9711
Lead Market Maker (LMM) Allocation Matching
CME has implemented a Lead Market Maker (LMM) program for certain products to enhance liquidity. The LMM designation is given to those individuals or firms that have been chosen by CME to make a two-sided market in an assigned contract. The LMM will enjoy LMM matching privileges (a guaranteed allocation percentage of incoming orders, as specified below) and other benefits in return for meeting exchange-determined LMM market obligations. There are two variations to the LMM algorithm. The first variation includes “Top” order functionality. The second vari-ation has no Top order functionality. LMM allocvari-ation will not apply until after the market opening sequence is com-plete, with opening matching occurring on a FIFO basis. The opening price is calculated by maximizing match quan-tities in relation to buy/sell pressure.
The following assumptions underlie both variations of the LMM matching algorithm:
• There can be multiple LMMs assigned to a given contract. • Different LMMs may have different allocation percentages
for an assigned contract.
• An LMM may have multiple orders on the same side of the market for an assigned contract.
• Total LMM matching privileges per contract can never exceed 100%.
• Any fractional order quantity is excluded; there is no rounding.
A. LMM Algorithm With Top Order Functionality
• A Top order is an order that betters that side of the market (also referred to as “market turner”). Only one order per side of the market (buy side or sell side) can be a Top order. There can be scenarios where a Top order does not exist for one or both sides of the market (e.g., an order is a market turner, but is subsequently canceled). • If a Top order is present and its price level elected, the
order is matched first, regardless of whether or not the order belongs to a designated LMM.
• If a Top order belongs to an LMM, the order will be matched first and will not be included in the following calculations, used to match any residual order quantity: - If the LMM has a single order at an elected price level,
then it will match a portion of the remaining incoming order quantity equal to the LMM’s assigned percentage. However, the allocated match quantity will naturally not exceed the LMM’s order size quantity.
- If a given LMM has multiple orders at an elected price level, then the quantities for all these orders are aggregated and will match a portion of the remaining incoming order quantity equal to the LMMs’ assigned percentages. (These multiple orders are filled on a time priority basis.) However, the LMMs’ allocated match quantity will not exceed the LMMs’ aggregated order size quantity.
- All remaining resting orders at an elected price level (LMM as well) are matched according to time priority. In the LMM algorithm that includes top order functionality, an order will lose its priority when one of the following actions is taken:
• An increase in quantity • A change in price
Example: LMMs with a total of 40% pre-defined percentage with a Top order
Given the following orders: Trader A CME
10-Yr Swap Bids 9100 for 10 @11:01 Sep05 (top order)
Trader B CME
10-Yr Swap Bids 9100 for 30 @11:02 Sep05
Trader C CME
(LMM 20%) 10-Yr Swap Bids 9100 for 20 @11:03 Sep05
Trader D CME
(LMM 10%) 10-Yr Swap Bids 9100 for 10 @11:04 Sep05
Trader E CME
(LMM 10%) 10-Yr Swap Bids 9100 for 30 @11:05 Sep05
Trader F CME
10-Yr Swap Bids 9100 for 100 @11:06 Sep05
A new offer for 110 at 9100 is entered. The incoming order trades with the TOP order first. The remaining 100 of the incoming order is allocated to each LMM according to their individual LMM percentage (20% = qty. 20; 10% = qty. 10; 10% = qty. 10). Thus, the total allocated to LMMs = 40, with a quantity of 60 remaining: Trader Abuys 10 (top order)
Trader Cbuys 20 (20%) Trader Dbuys 10 (10%)
Trader Ebuys 10 (10%), with 20 remaining
The remaining quantity of 60 is then filled according to time priority:
Trader Bbuys 30 Trader Ebuys 20
Trader F buys 10, with 90 remaining in the market
B. LMM Algorithm Without Top Order Functionality
• If the LMM has a single order at an elected price level, then it will match a portion of the incoming order quantity equal to the LMM’s assigned percentage. However, the matched quantity will naturally not exceed the LMM's order quantity.
• If a given LMM has multiple orders at an elected price level, then the quantities for all these orders are aggre-gated and will match a portion of the incoming order quantity equal to the LMMs’ assigned percentages. (These multiple orders are filled on a time priority basis.) However, the LMMs’ allocated match quantity will not exceed the LMMs’ aggregated order size quantity. • All remaining resting orders at an elected price level
(LMM as well) are matched according to time priority.
Example: LMMs with a total of 35% pre-defined Percentage without a Top order
Given the following orders:
Trader A CME 10-Yr Swap Offers 5 at 9500 @1:01 Sep05
Trader B CME 10-Yr Swap Offers 15 at 9500 @1:02 (LMM 20%) Sep05
Trader C CME 10-Yr Swap Offers 7 at 9500 @1:03 (LMM 10%) Sep05
Trader D CME 10-Yr Swap Offers 10 at 9500 @1:04 Sep05
Trader E CME 10-Yr Swap Offers 25 at 9500 @1:05 (LMM 5%) Sep05
Trader F CME 10-Yr Swap Offers 20 at 9500 @1:06 Sep05
A new bid of 9500 for 75 is entered. The incoming order is immediately allocated to each LMM according to their indi-vidual LMM percentage (20% = qty. 15; 10% = qty. 7; 5% = qty. 3). The total allocated to LMMs = 25, with 50 remaining: Trader Bsells 15 (20%)
Trader Csells 7 (10%)
Trader Esells 3 (5%), with 22 remaining
The remaining quantity of 50 is then filled according to time priority.
Trader Asells 5 Trader Dsells 10 Trader Esells 22
Trader Fsells 13, with 7 remaining in the book
Implied Spread Trading
CME Globex is capable of integrating the order books for individual contracts and related spreads into a combined order book for matching of trades. Through implied pricing, which combines the bids and offers in spreads with their underlying legs, CME customers enjoy greater market liquidity and improved prices in both. Calendar spreads will automatically match against other spreads or the combina-tion of individual legs, whichever provides the better price. Currently, implied pricing is available in conjunction with the allocation algorithm in the first 20 quarterly Eurodollar futures and for 60 calendar spreads derived from them. CME has also expanded implied functionality to include butterfly spreads.
Two types of implied spreading are available on CME Globex: implied INspreading and implied OUT spreading.
“Implied IN” Orders
Implied IN orders are derived from existing outright orders in individual contracts (legs).
This means that an outright order in an individual leg for one expiration can be matched with another outright order in an individual leg of a different expiration to create a calendar spread order.
Example: Generation of a CME Eurodollar (GE) implied IN calendar spread on the bid side:
CONTRACT Qty Bid Ask Qty
GE1 15 9505
GE2 9502 10
GE1-GE2 10 03
Using a bid of 9505 for 15 contracts in the first CME Eurodollar expiration and offer on 10 contracts at 9502 in the second expiration, the implied functionality produces a bid in the GE1-GE2 calendar spread of 03 for 10 contracts. The quantity for the implied IN order is the minimum quantity shared between the two outright orders. The price for the implied IN order is the net difference between the two outright orders.
If a participant enters an order to sell ten GE1-GE2 spread contracts at this implied bid price of 03, CME Globex will immediately fill ten of the available 15 GE1 contracts at 9505 and also fill the available 10 GE2 contracts at a price of 9502.
“Implied OUT” Orders
Implied OUT orders are derived from a combination of an existing spread order and an existing outright order in one of the corresponding underlying legs. These two orders are utilized to create a contingent outright order on the other underlying leg of the spread.
Example: Generation of an implied OUT GE1 offer from a calendar spread and GE2 offer:
CONTRACT Qty Bid Ask Qty
GE2 9512 03 GE1-GE2 04 10 GE1 9516 03 OUTRIGHT 2 IMPLIED OUT 1-2 OUTRIGHT 1 OUTRIGHT 1 OUTRIGHT 2 IMPLIED IN
Using an outright offer of three contracts at 9512 in the GE2 expiration and an offer of 10 GE1-GE2 calendar spreads at 04, the implied functionality produces an OUT offer of 9516 on three contracts in the GE1 expiration. The OUT represents the implied order that is constructed as a result of the underlying outright in GE2 and spread order in GE1-GE2. The price for the implied OUT order is the net difference between the outright orders.
In this case, CME Globex derives an implied offer of three GE1 contracts at 9516. If a participant enters an order to buy three GE1 contracts at this implied offer price of 9516, CME Globex will immediately fill three GE2 contracts at 9512 and also fill three of the available 10 contracts in the GE1-GE2 spread at a price of 04.
9.
TRADI NG SESSIONS ON CM E
G LOB EX
Electronic trading on CME Globex is available virtually
around the clock, from Sunday evening through late
Friday afternoon. Trading takes place during five daily
sessions, the period of time in which a customer
may enter, view, modify or cancel electronic orders.
During each session, all contracts transition through a variety of pre-defined states, although the timing of these states and the transition between them vary by product,according to contract specifications. During each of these states certain trading functionality is allowed or disallowed, as detailed in the chart below*.
The start of the CME Globex session, which usually occurs in the afternoon, generally marks the beginning of the next trading day. (For example, orders entered during Sunday’s evening session are dated for and cleared on Monday). The trading day includes both the CME Globex session and the trading floor open outcry session (i.e., “Regular Trading Hours”), if the CME Globex and open outcry sessions over-lap for a given product.
Products that trade on CME Globex are classified into three trading groups based on their hours of availability: • “Side-by-Side” contracts trade on CME Globex and, for a
portion of the day, simultaneously via open outcry on the trading floor.
• “Electronic-Only” contracts trade only on CME Globex. • “After-Hours Electronic” contracts trade electronically
on CME Globex only after the product stops trading via open outcry on the trading floor.
The CME Globex session for products in each of the above three categories is outlined below. Trading hours vary by product. For specific product opening and closing times, please see www.cme.com/globexhours.
ORDER ENTRY ORDER MODIFICATION ORDER CANCELLATION
CME GLOBEX SESSION STARTS
Market Enabled/Pre-Opening Pre-Opening/No-Cancel Market Open Continuous Trading Market Close Surveillance Intervention
CME GLOBEX SESSION ENDS
Maintenance Period
Authorized (Action Permissible) Blocked (Action Non-Permissible) * Similar trading
cycles are used to resume trading after regularly scheduled main-tenance or after a system shutdown.
Side-by-Side Trading
Some contracts trade around the clock on CME Globex while also trading side-by-side via open outcry during the day on the CME floor. Examples include:
• CME Foreign Exchange (FX) Futures • CME Interest Rate Futures
For these side-by-side products, the CME Globex session and the open outcry trading hours together compose the trading day. For most contracts, the first CME Globex session of the week starts on Sunday afternoon, with the opening rotation starting at 17:00 CT. This session continues through the open outcry trading period on the CME floor on Monday, ending on Monday afternoon. Similarly, each subsequent trading day begins with the start of the next CME Globex session, at varying times in the afternoon on Monday through Thursday.
CME GLOBEX OPEN OUTCRY 12 AM 12 PM 12 AM Maintenance P eriod 24 HRS. S I DE-BY-S I DE TRADI NG 7:20AM
Open Outcry/Floor Opens
2:00PM
Open Outcry/Floor Closes 5:00PM
CME Globex Market Opens 4:50PM
CME Globex Session Starts/Pre-Open (Next Trading Day)
4:00PM
CME Globex Market Closes 4:03PM
CME Globex Session Ends
Other side-by-side contracts trade on CME Globex only during the product’s corresponding open outcry session. Examples include:
• CME Lean Hog Futures • CME Feeder Cattle Futures
Similarly, the electronic session and the open outcry trading hours together compose the trading day for these products. However, CME Globex trading begins and ends approximately at the same time as the open outcry trading session on the CME floor.
CME GLOBEX OPEN OUTCRY 12 AM 12 PM 12 AM Maintenance P eriod 24 HRS. 1:00PM
Open Outcry/Floor Closes CME Globex Market Closes
1:05PM
CME Globex Session Ends 5:00PM
CME Globex Session Starts/Pre-Open (Next Trading Day)
S I DE-BY-S I DE TRADI NG
9:10AM
Open Outcry/Floor Opens CME Globex Market Opens
Electronic-Only Trading
Some contracts trade only on CME Globex, either “continuously” or only during U.S. day-time hours. These contracts do not trade via open outcry on the CME trading floors. For these products, the CME Globex session and the trading day are synonymous and concurrent. Examples of contracts in this group that trade “continuously” include: • CME E-mini Stock Index Futures
• CME Weather Futures
Contracts that trade electronically only during day-time hours include:
• TRAKRSSMFutures
For most contracts, the first CME Globex session of the week starts on Sunday, with the opening rotation starting at 17:00 CT and trading continuing until Monday afternoon. Similarly, each subsequent trading day begins with the start of the next CME Globex session, at varying times in the afternoon on Monday through Thursday. The CME E-mini futures contracts have unique schedules Monday through Thursday afternoons to accommodate an earlier transition to the next trading day. These expanded schedules enable customers to respond to key equity earnings news in the late afternoon. 12 AM 12 PM 12 AM Maintenance P eriod 24 HRS. 3:30PM
CME Globex Market Opens 3:25PM
CME Globex Session Starts/Pre-Open (Next Trading Day)
4:50PM
CME Globex Pre-Open 5:00PM
CME Globex Session Resumes
3:15PM
CME Globex Market Closes 3:16PM
CME Globex Session Ends
E X A M P L E : C M E E - M I N I S & P 5 0 0 F U T U R E S
NO OPEN OUTCRY
After-Hours Electronic Trading
Some contracts trade both electronically and via open outcry on the CME trading floor, but trade electronically only when there is no trading on the floor. For these products, the trading day begins with the CME Globex session and ends with the close of open outcry trading. Examples in this group include:
• CME S&P 500 Futures and Options on Futures • CME Interest Rate Options on Futures • CME Foreign Exchange Options on Futures
The first trading day begins on Sunday, with the opening rotation starting at 17:00 CT and trading continuing on CME Globex until the next morning. Closing times vary by product, with electronic trading always ceasing prior to the start of trading on the floor. On Monday through Thursday, the pre-opening cycle takes place during the open outcry session to enable customers to begin entering orders for the next trading day.
CME Equity Index products have unique schedules Monday through Thursday afternoons to accommodate an earlier transition to the next trading day. These expanded schedules enable customers to respond to key equity earnings news in the late afternoon.
E X A M P L E : C M E S & P 5 0 0 F U T U R E S 12 AM 12 PM 12 AM Maintenance P eriod 24 HRS. 8:30AM
Open Outcry/Floor Opens
3:30PM
CME Globex Market Opens 4:30PM
CME Globex Maintenance 5:00PM
CME Globex Session Resumes 4:50PM
CME Globex Pre-Open
3:15PM
Open Outcry/Floor Closes 3:00PM
CME Globex Session Starts/Pre-Open (Next Trading Day)
8:15AM
CME Globex Market Closes 8:16AM
CME Globex Session Ends
OPEN OUTCRY
10.
G LOB EX CONTROL CE NTE R
CME’s Globex Control Center (GCC) is the market
operation and customer service desk for electronic
trading issues. The GCC handles inquiries, issues
and support requests from authorized customer
contacts for all system components of the platform.
This includes the matching engine, order routing and
market data interfaces, CME Globex Trader software
and the network.
GCC also provides customers with CME Globex order status and, in cases of emergency, can cancel customer orders. GCC services requests by CME Globex registered contacts 24 hours a day, from 3:30 p.m. Sunday through 4:30 p.m. Friday. In an effort to keep its customers informed, especially during systems emergencies, GCC also provides CME Globex registered contacts with real-time updates via a variety of communication methods, including telephone, e-mail or pager.
European Trading Support Center (ETSC)
European customers can call a local phone number— +44 (0) 20 7623 2550 — to reach the European Technical support Center (ETSC) for direct access to CME’s London locations or the CME Globex Control Center in the U.S.
11.
TH E CLEAR I NG PROCESS AN D
FI NANCIAL SAFEG UAR DS PACKAG E
Trades executed on CME Globex are cleared through
the most advanced suite of clearing applications in
the industry, and backed by the most comprehensive
clearing guarantee and package of financial
safe-guards available to futures traders.
Each executed trade is immediately transmitted from CME Globex to CME’s CLEARING 21 system, which stores it and in turn immediately transmits a trade confirmation message to the clearing firm responsible for the trade. After trade capture, other aspects of post-execution trade processing are performed—for example, give-up processing, which allows a trade executed by one firm to be cleared by another, or average pricing, which allows an order filled at several different prices to be combined so that the customer receives a single transaction at an average price. Post-execution processing is handled primarily through real-time, interactive messaging between the firms’ bookkeeping systems and the CME’s clearing system. These “straight-through processing” capabilities allow member firms to automate most aspects of the trade management function. As trades are executed, they are immediately reflected in the clearing member’s positions. This process, called “real-time trade posting,” updates not only the position quantity, but also determines the effect of the trade on money amounts associated with positions—for futures trades, the settlement variation associated with marking the trade to market (some-times called variation margin), and for option trades, the premium amount. By tracking position quantities, settlement variation and premium amounts in real time, the process allows risk management to be performed continuously.
Trade capture, post-execution processing, real-time trade posting, and risk management are handled continuously, from the time CME Globex opens on Sunday evenings until the last product closes for trading on Friday afternoons. Financial settlement, however, is inherently a point-in-time rather than a continuous process. CME performs both an intraday settle-ment cycle as well as an end-of-day cycle, and in times of high market volatility may perform additional ad-hoc intraday cycles. Intraday settlement cycles allow immediate removal of debt obligations to the Clearing House.
Performance bond requirements (sometimes called “margin” or “initial margin”) are calculated using CME’s SPAN®
methodology. SPAN uses a risk-based, portfolio approach that accurately targets the performance bond requirement to the risk of losses over the next trading day. In addition, CME publishes daily SPAN risk parameter files which allow member firms to calculate SPAN-based margin requirements for individual customer accounts.
CME’s clearing process also provides member firms with tremendous flexibility in collateral management. Assets accepted as margin collateral include cash (more than ten major currencies), money-market fund shares, U.S. Treasury and government agency securities, Canadian, British, French
and German government securities, equities in the S&P 500 index, and letters of credit. The value provided by collateral assets for meeting performance bond requirements is calculated by determining the asset’s market value and applying a rule-based haircut to that market value. Values are updated continuously, as member firms perform asset deposits and withdrawals. On May 31, 2004, collateral assets on deposit with the CME Clearing House were valued at approximately $41 billion.
The clearing guarantee is provided by the CME Clearing House, the world’s largest clearing organization for futures contracts, which stands between buyer and seller and guarantees financial performance. The guarantee is backed by a comprehensive package of financial safeguards, designed to provide the highest possible level of safety and the early detection of unsound financial practices on the part of any market participant. The package protects all clearing members and their customers from the consequences of a default by any party in the clearing process. The system is constantly updated to reflect the most advanced risk management and financial surveillance techniques available. For a complete overview of the Financial Safeguard System at CME, please see www.cme.com/financialsafeguards.
The Globe Logo, CME®, Globex®, CLEARING 21®, SPAN®, E-mini™, E-quotes™, CME$INDEX™, E-px™, Globex TraderSM, iLink®, and TRAKRSSMare trademarks of CME, registered in the U.S. Patent and Trademark Office. All other trademarks are the property of their respective owners. The information within this brochure has been compiled by CME for general purposes only. CME assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be consid-ered investment advice or the results of actual market experience.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME rules. Current CME rules should be consulted in all cases concerning contract specifications.
Tel: 1 312 930 1000 Fax: 1 312 466 4410 E-mail: [email protected] CME – London Pinnacle House 23-26 St. Dunstan’s Hill London EC3R 8HN, England Tel: +44 (0) 20 7623 2550 Fax: +44 (0) 20 7623 2565 E-mail: [email protected]
CME – Sydney
Level 17, BNP Paribus Centre 60 Castlereagh Street Sydney NSW 2000, Australia Tel: +61 612 9231 7475 Fax: +61 612 9231 7476 E-mail: [email protected] CME –Tokyo
Level 16, Shiroyama JT Trust Tower 4-3-1 Toranomon, Minato-ku Tokyo 105-6016, Japan Tel: +81 3 5403 4828 Fax: +81 3 5403 4646 E-mail: [email protected] Internet www.cme.com
