CME Direct 13.3 Release Notes. 24 Sept 2018

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1 13.3 Release Notes 24 Sept 2018

2 Disclaimer Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade. All examples discussed are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. CME Group, the Globe Logo and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade of the City of Chicago, Inc. NYMEX is a trademark of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the property of their respective owners. The information within this manual has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this manual are hypothetical situations, used for explanation purposes only, and should not be considered 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 All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2018 CME Group Inc. All rights reserved.

3 Table of Contents Table of Contents What's New 4 CME Globex 5 Options Auto Hedging 6 Order Book 7 Synthetic Icebergs 8 Order Book 10 Creating Hedged Strategies 10 Active Contracts Grid Menu 13 Issues Release Notes - 3 -

4 What's New The list below illustrates the CME Direct 13.3 enhancements and resolutions detailed herein. CME Direct Date Topic Description 8/24/18 Options Auto Hedging Synthetic Icebergs Creating Hedged Strategies Active Contracts Grid Menu Beta Charts Market Data Permissions Clean- Up Issues CME Direct order entry functionality now allows users to place auto- hedged Options orders, whereby a market order for the underlying Future is submitted automatically when an auto- hedged Option order is entered. CME Direct allows users to enter an Automated Order type that replenishes depleted order quantity and discloses to the market a random number of lots from the total order quantity submitted. CME Direct now allows users to create hedged strategies using volatility for Options displayed in the Options Grid or Quick Options Grid. The Active Contracts Grid now includes additional context menu options that make it easier for users to access order and deal entry windows. As of the September 8, 2018 release Beta Charts will no longer be available in CME Direct. Charting is available via a QuikStrike. In advance of Market Data Billing on CME Direct as of the September 8, 2018 release, CME will remove granted Exchange Market Data permissions for a User ID that has not logged in since February 1, Details fixes Release Notes - 4 -

5 CME Globex New CME Direct CME Globex features include the following: Options Auto Hedging Synthetic Icebergs Creating Hedged Strategies Active Contracts Grid Menu Release Notes

6 Options Auto Hedging CME Direct Auto-Hedged Options are a CME Direct Automated Order type. Automated Orders offer users extended flexibility in executing orders. 1. Automated Order types may have a Parent order that resides on a server and not on Globex. As such this Parent order may not be given the same order protections as a native Globex order. 2. When communicating with the Global Command Center regarding a CME Direct Automated order, users must explicitly state their question or issue is on a CME Direct Automated Order. 3. All users are initially defaulted OFF for CME Direct Automated Orders. Firm Admins can enable Automated Order roles for users at their firms by managing the user login. CME Direct order entry functionality now allows users to place auto-hedged Options orders, whereby a market order for the underlying Future is submitted automatically when an auto-hedged Option order is entered. To Auto Hedge an Option: 1. On the Order Entry form, select the Auto-Hedging tab, and click Activate Auto-Hedging. 2. Optional: Complete the Max disclosed qty and Synthetic Iceberg fields on the Iceberg tab to automatically populate multiple Auto-Hedging fields. Note: The Delta ahead field populates using the Max disclosed quantity. Max disclosed quantity recalculates if Delta or Delta ahead is updated. 3. Complete the following Auto-Hedging fields as needed: Future - List of Futures products available to hedge the Options contract. The Future defaults to the earliest period it can be hedged Release Notes - 6 -

7 Delta - The delta of the Option calculated automatically by Market Implied Volatility (MIV). Users can choose to override this value. Total future quantity - Includes the direction and quantity of the hedge Future. Hedge Future directions include: - Direction hasn't been specified - Hedge filled options by buying the future - Hedge filled options by selling the future Delta ahead xxx futures - The Maximum exposed quantity of option order, which remains un-hedged at any time. The value provided is number of Futures necessary to hedge the exposed quantity. Worst Future price - The price a user is willing to accept for the hedge. If the price becomes worse than the user's specified price, the order will be canceled. The worst price includes the following options: o o Bid price above - Used when selling the Future. The minimum Bid price at which a user is willing to sell. Offer price below - Used when buying the Future. The maximum Offer price at which a user is willing to buy. A summary row displays below the Auto-Hedging tab. 4. Click Bid or Ask. Users receive a notification for orders that cannot be placed on the market. Order Book The Order Book includes three new columns that display relevant information following the placement of the Auto-Hedge order Release Notes

8 Auto-Hedge Filled Quantity - The total quantity of Futures traded. Auto-Hedge Average Trade Price - The average traded price for the Futures entered into the market. Auto-Hedge Actual Delta Ahead - The number of Futures necessary to hedge the quantity. When the number goes to 1.0, a Future is entered into the market. Synthetic Icebergs CME Direct allows users to enter an Automated Order type that replenishes depleted order quantity and discloses to the market a random number of lots from the total order quantity submitted. 1. Automated Order types may have a Parent order that resides on a server and not on Globex. As such this Parent order may not be given the same order protections as a native Globex order. 2. When communicating with the Global Command Center regarding a CME Direct Automated order, users must explicitly state their question or issue is on a CME Direct Automated Order. 3. All users are initially defaulted OFF for CME Direct Automated Orders. Firm Admins can enable Automated Order roles for users at their firms by managing the user login. Note: Displayed Quantity Orders are only available for Limit orders. To enter Synthetic Icebergs: 1. Open an Order Entry ticket and select a Price and Quantity as needed. 2. Click the Iceberg tab and enter a Max disclosed qty. Note: Max Disclosed Qty is the largest quantity visible in the market at one time. 3. Click the Synthetic Iceberg box. The minimum and maximum displayable quantities appear below the Qty variation field. 4. Set the Qty variation (%) to determine the minimum displayable quantity. Example: 13.3 Release Notes - 8 -

9 Limit Order to buy 100 CL at Set maximum disclosed quantity = 10 Set quantity variation percentage as illustrated below Qty shown variation percentage Max Qty Min Qty 10% % % 10 7 Note: A maximum of 10 child orders are allowed. The variation percentage must be set so that the Total Order Quantity is no more than 10 times the minimum disclosed quantity. Automation details appear below the Iceberg tab. Note: Quantities are sent to the market randomly between the minimum and maximum contracts as the orders fill. The following rules apply to the minimum quantity: If the calculated order Min Quantity is lower than the Tradeable Item Minimum Qty, then the order Minimum Qty defaults to the Tradeable Item Minimum Qty. If the remaining total quantity is lower than the order minimum quantity, an order is entered for the remaining quantity. 5. Click the Bid or Offer button, and the Synthetic Iceberg is added to the Order Book. A message confirms the order was submitted Release Notes

10 Note: Any change to the Maximum Disclosed Quantity or Variance is applied to the next order entered. Order Book The Order Book now includes Synthetic Icebergs as an available Automated Order Type. Displayed Quantity Orders display with one row for the Parent and subsequent rows for the Child orders that are entered based on the disclosed quantity and variance. Note: The Disclosed Qty column displays the variance for this order type. Creating Hedged Strategies CME Direct now allows users to create hedged strategies using volatility for Options displayed in the Options Grid or Quick Options Grid. To access the Create hedged strategy context menu option, right-click in a cell displaying volatility. The menu option is available from the following columns: Note: Alternatively, users can double-click in an applicable cell that displays volatility. Vol (Volatility) BidIV (Bid Implied Volatility) OfrIV (Offer Implied Volatility) MIV (Market Implied Volatility) Delta 13.3 Release Notes

11 Note: The context menu option and double-click functionality will be disabled if the Option Delta cannot be calculated as a result of missing market data. Clicking the Create hedged strategy menu option launches the Option Strategy Builder (OSB), which populates with Delta and hedge leg details. The OSB populates as a Call or Put Strategy based on the Option side the user selected (Bid Vol or Offer Vol), and uses the volatility of the selected cell to calculate the Delta. If the user clicks an Option Delta cell, the hedge leg populates using that Delta Release Notes

12 Note: The Option Strategy Builder supports auto-calc of hedge legs from Market Implied Vol only. Entering Orders The New Order button allows users to open an Order Entry window that populates with Delta and hedge leg data from the Strategy. Strategies Grid From the Option Strategy Builder, click Submit to enter a Strategy, which then displays in the Strategies Grid. When applicable, Strategies appear in the Grid in which the Strategy was created. Otherwise, the Strategy appears in all the Strategy Grids in which one of the Strategy's products matches a product displayed in the existing Grid. If no existing Grids include a matching product, a new Strategy Grid opens Release Notes

13 Active Contracts Grid Menu The Active Contracts Grid now includes additional context menu options that make it easier for users to access order and deal entry windows. To enter an order or add a deal for a specific contract row, right-click on that row, and select from the following menu options: New bid New offer New bid & offer Send RFQ Add deal Add cross Release Notes

14 Issues The following details the fixes applied to this CME Direct release: Restore a Workspace Support can now restore a user s workspace going back 30 days Users can request the workspace restore by contacting the GCC Release Notes

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