Slide 1: Rule 539.C. Crossing Protocols on CME Globex
Rule 539.C. Crossing Protocols on CME Globex Introduction of the Committed Cross (C-Cross) for Financial Options (Equity, FX, & Interest Rate) © 2016 CME Group. All rights reserved.
Slide 2: Crossing Protocols on CME Globex
Crossing Protocols on CME Globex Bob Sniegowski Executive Director, Market Regulation, Rules & Regulatory Outreach David Reif Executive Director Interest Rate Business Line Management © 2016 CME Group. All rights reserved. 2
Slide 3: Pre-Execution Communications – General Information
Pre-Execution Communications – General Information Overview • Pre-execution communications (“Pre-Ex”) are discussions between market participants for the purpose of discerning interest in the execution of a transaction on CME Globex prior to the exposure of the order to the market. Rule 539.C. gover
Slide 4: Pre-Execution Communications – Upcoming Changes
Pre-Execution Communications – Upcoming Changes • Effective Sunday April 10, 2016, (for trade date April 11) a new crossing method – the “Committed Cross” (“C-Cross”) will be introduced for financial options, replacing the current RFQ+RFC process for these products. • As of that time, there will be
Slide 5: Crossing Types and Eligibility as of April 11th, 2016
Crossing Types and Eligibility as of April 11th, 2016 NEW Other Crossing Protocols Currently Available C-Cross G-Cross A-Cross R-Cross (Committed Cross) (Globex Cross) (Agency Cross) (RFQ + RFC Cross) • In a C-Cross, subsequent to • In a G-Cross, the order of the • A cross sequence (CS) is • In an R
Slide 6: Committed Cross (C-Cross) Overview
Committed Cross (C-Cross) Overview • The submission of an RFC in a C-Cross market immediately triggers a Pre-Cross state and related messages, including an RFQ. - The pre-cross period will be 5 seconds for all financial options. This waiting period is enforced by CME Globex upon submission, meaning
Slide 7: Committed Cross Examples – with BPM configured to 20%
Committed Cross Examples – with BPM configured to 20% Each example assumes cross is 500 contracts @ price = 7 Market Before Market After Matching on Cross Notes C-Cross Pre-Cross Submitted Period Cross Bid entirely filled, Cross offer not filled . RFC didn’t better the market price, so it doesn’t Ex
Slide 8: Using CME Direct “Smart” Cross Ticket for C-Cross
Using CME Direct “Smart” Cross Ticket for C-Cross • Ensures observance of the proper C-Cross protocol when eligible products are selected • For example, CME Direct Smart Ticket enforces C-Cross when an IR option is selected This is auto Select selected whether when to leave cross unfilled ticket is
Slide 9: CME Direct Shows Current Status of Both Orders
CME Direct Shows Current Status of Both Orders Single message indicates cross is complete, but one side did not receive a fill Two separate messages indicate fill confirmations on both the buy-side and sell- side Sell-side of trade (17 offer) does not get a Buy side of trade (17 bid) is completely f
Slide 10: Resources and Contacts
Resources and Contacts www.cmegroup.com/committedcross Equity Options FX Options Interest Rate Options Tom Boggs Craig LeVeille Dave Reif +1.312.930.3038 +1.312.454.5301 +1.312.648.3839 Thomas.Boggs@cmegroup.com Craig.LeVeille@cmegroup.com David.Reif@cmegroup.com Market Regulation Market Regulation
Slide 11: Disclaimer
Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, 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 a futures position. Therefore,