The Event Contracts Master File is a new, simple CSV-format datafile intended to facilitate loading of next-day-eligible event contracts into systems of clearing firms and other market participants.
Files are published every day from both the CME Group production environment and the CME Group “New Release” testing environment, between 3:30 p.m. and 4:00 p.m. CT, prior to the opening of trading for the new day on CME Globex at 5:00 p.m. CT.
A typical production filename is CME.EventContracts.20220919.csv, and the analogous New Release filename is CME.EventContracts.nr.20220919.csv. These are the files generated on the afternoon of Monday, September 19, 2022, containing contracts eligible for trading on the next exchange business day, namely Tuesday, September 20, 2022. In other words, the date in the filename is the date the contracts are generated – not the date they are tradeable.
Files are available from either the CME Group public FTP site at ftp.cmegroup.com, or from the Firm FTP Server.
On the public FTP site, the production directory is ftp.cmegroup.com/pub/fprf/csv and the corresponding New Release directory is ftp.cmegroup.com/pub/fprf/csv/nr.
On the Firm FTP Server, the production directory is /pub/FPRF and the New Release directory is /pub/FPRF/nr.
As a typical CSV-format datafile, it consists of a header record with the column names and then data records. The column names and descriptions are shown in the table below.
| Field | Description |
|---|---|
| TradeDate | Trade date on which these event contracts will be eligible - will be the immediately next exchange business date. Format: mm/dd/yyyy |
| GenDate | Clearing business date on which the file was generated - will be the current business date. Format: mm/dd/yyyy |
| Exch | Exchange acronym as provided in SPAN files: CME, CBT, CMX, NYM. Event contracts may be listed on any CME-cleared DCM. |
| MICCode | Acronym for the exchange as provided on CME Globex: XCME, XCBT, XCEC, XNYM. |
| PFCode | Product Code (e.g. ECES). The convention for product codes is EC ("event contract") followed by the product code of the true underlying. |
| UndCode | Product code of the event contract's synthetic underlying future - will match the product code of the event contract itself. |
| TrueUnd | Product code of the true underlying future, from which it is determined whether the contract finished in or out of the money (e.g. ES). |
| PFType | Product type – will be OOF for option on future. |
| ProdSubTyp | Product subtype – will be EVENT, identifying these as event contracts. |
| ValueMeth | Valuation Method – will be EQTY, indicating that these are normal premium-style ("equity-style") options, in which the premium obligation is incurred when the trade is executed. |
| SettleMeth | Settlement Method – will be CASH. All event contracts are cash-settled. |
| ATMFlag | At-The-Money Flag – will be ITMP, meaning that if the option finishes exactly at-the-money, the call is deemed to be out-of-the-money and the put is deemed to be in-the-money. |
| FixedPayout | Fixed Payout – will be 20.00 for all event contracts at launch. |
| Ccy | Currency – will be USD for all event contracts at launch. |
| CVF | Contract Value Factor – will be 1.0 for all event contracts at launch. Price = money. |
| Period | Period code (e.g. 20220810 for the August 10, 2022 event contracts). Format: ccyymmdd |
| UndPeriod | Period code of the underlying future (e.g. 202209) - will be the contract month which is the lead month for pricing relationships for the true underlying future on the trade date. Format: ccyymm |
| FDT | First day of trading. Format: mm/dd/yyyy |
| LDT | Last day of trading. Format: mm/dd/yyyy |
| SDT | Settlement (expiration, maturity) date. Trade date, first day of trading, last day of trading, and settlement date will all contain the same value and, except for the format, will match the period code. Format: mm/dd/yyyy |
| Strike | Strike (exercise) price. |
| Strike_DL | Strike price decimal locator for positional-format SPAN ("PA2") and settlement price files. |
| SPAN_Strike | Strike price as formatted in the seven-digit string in the positional-format SPAN and settlement price files. |
| GBX_Strike | Strike price as formatted for CME Globex. |
| CallPut | Call or Put indicator (C or P), indicating the "Yes" contract or the "No" contract. The Yes contract pays if the underlying ends above the specified value, the No contract pays if the underlying ends at or below the specified value. |
| Tick | Minimum price fluctuation – will be 0.25 for all event contracts at launch. |
| LowLimit | Lowest price at which an order can be submitted – will be 0.25 for all event contracts at launch. |
| HighLimit | Highest price at which an order can be submitted – will be 20.00 for all event contracts at launch. |
| GBX_ID | Globex ID – the six-digit value used to identify the contract on CME Globex. |
| ITCCode | ITC Code – the literal used to describe the contract on CME Globex – for example, ECYMQ210 C3100. ECYM is the product code, Q2 identifies the contract as for August 2022, and 10 indicates it's the August 10 contract. C3100 is the call or put code followed by the formatted strike. |