UDS Expiration and Extension
This section provides the conventions for UDS instrument expiration and extension given the possible leg configurations and order types.
Weekly with Extension Lifecycle
CME Globex assigns the expiration date and time as either the earliest leg expiration OR the end of the current trading week, whichever occurs first.
If the client system disconnects over the weekend, upon reconnection, the client system must monitor the appropriate channel for UDS instruments that have had their expiration extended.
Midweek Tag 48-SecurityID Re-Use
UDS instruments can be deleted midweek. When this occurs, CME Globex sends a Security Definition message (tag 35=d) with the instruction to delete the instrument with tag 980-SecurityUpdateAction=D (delete).
A tag 48-SecurityID value from a deleted instrument can be reassigned to a newly listed instrument within the same week; therefore, CME Group strongly recommends the client system process the Security Definition message (tag 35=d) with the tag 980=D as received.
Daily with Extension Lifecycle
UDS Combos using the Daily with Extension lifecycle will be initially created with the last trade datetime (LTD) equal 1600 CT on the day the instrument is created.
CME Globex will scan all in-scope UDS Combo instruments on an hourly basis. Any UDS Combo with a resting GTC/GTD order at the time of the scan will be immediately modified to extend the LTD to 1659 CT on Friday. CME Globex will publish an MDP 3.0 - Market Data Security Definition - Spreads message with tag 980-SecurityUpdateAction=M with the new Friday LTD in repeating group 864, 865=7 and 1145 equal to the new LTD.
GTC/GTD orders that are not observed during a scan, due to being entered, filled and/or cancelled within a single scan cycle, will not trigger the lifecycle extension.
The last scan will occur about 30 minutes before the market closes. Any GTC/GTD orders entered during this time will not trigger the lifecycle extension.
If no GTC/GTD orders are resting during the scan, the UDS Combo will be removed CME Globex at that day’s market close.
Any resting GTC/GTD orders will be Eliminated when the UDS Combo is removed from CME Globex.
After the close on Friday, CME Globex will again scan all UDS Combo instruments. Any UDS Combo with a resting GTC/GTD order will be modified to extend the LTD to 1659 CT on the following Friday.
This pattern can continue up until the earliest LTD of any leg. In no case will a UDS persist after the LTD of any leg.
Scenarios
All times are presented in Central time (CT).
Scenario | Market Activity - GTC/GTD Orders | Last Trade Date |
|---|---|---|
UDS created on Monday at 0745 with LTD equal to Monday at 1600. | No GTC/GTD order is entered. | UDS is eliminated at 1600 on the current day. |
UDS created on Monday at 0745 with LTD equal to Monday at 1600. | GTC/GTD order is entered and is resting in the book during an hourly CME Globex scan. | UDS is immediately modified with LTD set to Friday at 1659, after the market close. |
UDS created on Monday at 0745 with LTD equal to Monday at 1600. | GTC/GTD order is entered but is cancelled or filled before the hourly CME Globex scan occurs. | UDS is eliminated at 1600 on the current day. |
UDS created on Monday at 0745 with LTD equal to Monday at 1600. LTD for Leg 1 is 1600 on Wednesday. | GTC/GTD order is entered and is resting in the book during an hourly CME Globex scan. | UDS is immediately modified with LTD equal to Wednesday at 1600. |
UDS created on Monday at 0745 with LTD equal to Monday at 1600. LTD for Leg 1 is 1600 on Wednesday. | GTD order with Thursday expiration is entered. | GTD order will be rejected because the ExpireDate of the order exceeds the LTD of Leg 1. Fix tag 58=Tag ExpireDate (432) beyond UDS COMBO earliest leg expiration. 'Order's GTD ExpireDate: 'YYYYMMDD'' |
UDS created on Friday at 0745 with LTD equal to Friday at 1600. | GTC/GTD order is entered and is resting in the book during an hourly CME Globex scan. | UDS is immediately modified with LTD set to Friday at 1659, after the market close. If GTC/GTD order is still resting after the market closes on Friday, the UDS Combo will be updated again over the weekend with LTD set to the following Friday at 1659, after the market close. |
UDS 1 created on Monday at 0745 with LTD equal to Monday at 1600. Recursive UDS created on Monday at 0800 with LTD equal to Monday at 1600. UDS 1 is a leg of Recursive UDS. | GTC/GTD order is entered for UDS 1 and is resting in the book during an hourly CME Globex scan. No GTC/GTD order is scanned in the Recursive UDS. | UDS 1 is immediately modified with LTD set to Friday at 1659, after the market close. Recursive UDS is eliminated at the current day market close. |
UDS 1 created on Monday at 0745 with LTD equal to Monday at 1600. Recursive UDS created on Monday at 0800 with LTD equal to Monday at 1600. UDS 1 is a leg of Recursive UDS. | GTC/GTD order is entered for Recursive UDS and is resting in the book during an hourly CME Globex scan. No GTC/GTD order is scanned in UDS 1. | Both UDS are immediately modified with LTD set to Friday at 1659, after the markets close. If GTC/GTD order is still resting after the market closes on Friday, both UDS will be updated again over the weekend with LTD set to the following Friday at 1659, after the market close. |
UDS created on Monday at 0745 with LTD equal to Monday at 1600. Friday is a trading holiday. | GTC/GTD order is entered and is resting in the book during an hourly CME Globex scan. | UDS is immediately modified with LTD set to Friday at 1659. |
Product Scope
The Daily with Extension lifecycle type only applies to UDS Combos in the following product groups.
UDS Destination Group | Product | Phase |
|---|---|---|
2V | E-mini Nasdaq-100 Options | 1 |
NF | Micro E-mini Nasdaq-100 Options | 1 |
1V | E-mini S&P 500 Options | 2 |
3S | S&P 500 Annual Dividend Options | 2 |
EN | Micro E-mini S&P 500 Options | 2 |
7P | E-mini S&P 600 SmallCap Options | 2 |
R5 | E-mini Russell 2000 Options | 2 |
3U | Dow Jones U.S. Real Estate Index Options | 2 |
M5 | E-mini Dow Jones Industrial Average Index Options | 2 |
3B | E-mini Financial Select Sector Options | 2 |
3D | E-mini Industrial Select Sector Options | 2 |
3H | E-mini Energy Select Sector Options | 2 |
3K | E-mini Technology Select Sector Options | 2 |
3M | E-mini Health Care Select Sector Options | 2 |
3Q | E-mini Utilities Select Sector Options | 2 |
8V | E-mini S&P MidCap 400 Options | 2 |
Daily Expiration
Covered and CBOT Treasury Futures Tail Spreads UDS Expiration
Covered and CBOT Treasury Tail instruments expire at the end of the trading session in which they are created.
GTC and GTD orders are not permitted on Covereds or Tail spreads.
For additional information on UDS expiration, see the following: