Release Notes - Interactive Data information contained in this document shall not be deemed as financial advice, ... Energy Market Insight, ... FutureSource Release Notes Page 14 of

Release Notes

FutureSource Release 3.5

Date: January 28, 2013

Interactive Data Desktop Solutions – FutureSource Release Notes Page 2 of 31

1 Preface

This document outlines the key new features, functionality and content included in FutureSource release 3.5.

All screenshots are examples for illustration purposes only. The exact layout and display may vary depending on a firm’s specific workspace.

The information contained in this document shall not be deemed as financial advice, consultancy or express warranty or warranty of fitness for a special purpose. Interactive Data Desktop Solutions will not be liable for any inaccuracy or incompleteness of the information or data supplied with this document.

This document contains confidential information and is provided exclusively for the information of the recipients. It may not be copied or distributed to any third party.

Release Notes Style Convention:

Bolded phrases with pipe signs (|) denote a menu command, either from the main FutureSource drop-down navigation menu or through a contextual right-click menu in a certain window.

Terms in quotation marks refer to a specific feature of the system.


2 Summary of New and Enhanced Features

The top enhancements of the new version of FutureSource include the following. Specific details on each one of these items are included in Section 3 of these Release Notes.

Content

New Fixed Pages (WSN 101) for display Platts PGA Master Index Pages ICE Futures Market Depth (TTP 22759) Argus US & European Product Sets EIA Petroleum & Natural Gas Inventory Statistics USDA Agricultural Prices Dow Jones European & Asian Agricultural Prices – Soon to be coming

Functionality

New tree structure symbol search Integration of topical news and trending from First Rain (TTP 21228) Ability to view all months of an option in tabs in Option Board (TTP 21459) Right Click Functionality in Option Board (TTP 19382) Ability to chart Expired Strip Functions (TTP 21438) New Tick Bar Charts (TTP 22038) Server Side Tick Filtering (TTP 22898) Fixed Chart Forward Curve Display of EOX Forward Curve Data (TTP 21640) OptionSource enhancements including the ability to chart historical implied options

volatilities (TTP 21620) New OptionsWork module in OptionSource (TTP 21226 & 21620) RTD support of 64-bit Excel User Defined Auto-tracking Default New Previous Net Change Field

3 Details of New & Enhanced Content/Functionality

3.1 Content

3.1.1 New Fixed Pages (WSN 101) for display Platts PGA Master Index Pages

A new master Platts Index page has been added to Workstation News. In Fixed Pages, Select the “WSN Workstation News” service and enter page “101” to get to the Platts PGA Master Index Page. This page provides a master index with links to easily navigate the Platts Global Alerts (PGA) content. Clicking on the desired link will take you to a Platts page denoted with “PGA Page Number” or another Index for PGA content denoted with “WSN Page Number”.

To return from a Platts page to an Index Page, use the “Return Arrow” on the tool bar. To return from an Index Page to the Master Index Page, click on the “Click to Return to 101” link found on the Index Page.


3.1.2 Market Depth for ICE Futures

Market Depth is now available for ICE Futures Europe (IPE) and ICE Futures US (NYBOT). Depth of Market is displayed by clicking on Market Depth button on the main tool bar and entering the appropriate symbol (BRN 3F-ICE). From the Quote Board you can also access market depth by selecting a symbol and then “Right Click”. The aggregated volume at each price is displayed in the window.


3.1.3 Argus US & European Products Sets (Fee Liable)

Argus US Products set represents assessments that reflect real trading in the US energy markets. The data represents transactions throughout the trading day shown as low and high and as volume weighted averages of deals done. Markets covered include Gasoline, Jet, Naptha, Diesel, Fuel Oil, VGO and Ethanol.

The Argus European Products set is the source of the Argus Rotterdam Eurobob gasoline assessment, which is the standard index for the Northwest European physical and swap markets. Price assessments include intraday bids and offers covering Gasoline, Jet, Naptha, Gasoil, Fuel Oil and VGO.

This data requires customers to have a subscription with Argus in order to be viewed in FutureSource.


3.1.4 EIA Petroleum & Natural Gas Inventory Statistics

The EIA provide weekly estimates of Crude Oil and refined product inventory statistics as well as weekly estimates for Natural Gas storage in the United States. These statistics are released weekly on Wednesday’s at 10:30am for the Crude and Refined Products and on Thursday’s at 10:30am for Natural Gas storage, unless there is a holiday. The weekly release is for statistics as of the Friday from the previous week. Unexpected movement in these statistics can have an immediate impact on the price of Crude Oil and Natural Gas.

3.1.5 Daily USDA Agricultural Cash Prices

The USDA release daily prices for regionally delivered agricultural markets including Soybeans, Red Wheat and Corn. These USDA cash prices are now available in FutureSource.

3.1.6 Dow Jones European & Asian Cash Prices

As part of the Dow Jones Commodities services, there are a number of cash market prices which appear in Fixed Pages. The prices are for a number of European and Asian cash Agricultural prices. We have now elementized the following so that they can be viewed as quotes as well as in charts.

Coconut oil, Phil/Indo origin, 3-4% FFA, Rotterdam,USD/t,CIF – ODJ 2651 (Morning Price) & 2680 (Afternoon Price)

Palm oil, Mal/Sumatran origin Palm oil, Mal/Sumatran origin, Crude (max. 5% FFA) refined, Rotterdam,USD/t CIF – ODJ 2651 & 2680

Palm oil, Mal/Sumatran origin Palm oil, Mal/Sumatran origin, Crude (max. 5% FFA) refined, Malaysian,USD/t,FOB – ODJ 2651 & 2680

Sunflower oil, E.U. origin, 2-3% FFA, North european Ports,USD/t,FOB, Rotterdam,CIF – ODJ 2651 & 2680

Palm olein, Mal origin, RBD Stearin, Poram, RBD, (max. 0,1% FFA) Malaysian,USD/t,FOB – ODJ 2652 (Morning Price) & 2690 (Afternoon Price)

Rapeseed oil, Dutch Origin, max. 2% FFA, Mill Eur/t, FOB – ODJ 2651 & 2680 Palm kernel oil, Mal/Indo origin, max. 5% FFA, Rotterdam USD/T, CIF – ODJ

2652 & 2690 Soyoil, Dutch origin 0.75% FFA, Mill, Eur/t, FOB – ODJ 2651 & 2680 RBD palm olein, Local Price, Jakarta/Java Island, Indonesia - ODJ 3067 (Once

per day) Crude palm oil, Delivered Basis, Medan, Indonesia – ODJ 3067 Palm Fatty Acid Distillate, FOB Malaysian ports – ODJ 3067 RBD palm stearin, FOB, Malaysian ports – ODJ 3067

3.2 Functionality

3.2.1 Tree Structure Symbol Searching


FutureSource 3.5 introduces new symbol look-up capabilities. This new symbol look-up gives users the ability to select “Symbol Look-up” from the Symbol Search dialogue box available from the Quote Board, Quote Grid, Chart and Data Table displays.

Within Symbol Look-up, users can narrow their search by Exchange, Instrument Type, Symbol Root, Type of Market or Classification. For example, an unfiltered search for “CORN” returns 625 symbols. A filtered search by Root “C” narrows the results to 16 symbols.


3.2.2 Integration of First Rain Topical News Search & Trending (TTP 21228)

From the News Menu, there are three new selections: Energy Market Insight, Agriculture Market Insight and Metals Market Insight. When selected, each will open a widget in a browser that will contain a topical “Heat Map”, top news for the market and an event timeline.

Within the heat map, the user can see what is currently generating the most news coverage in the market. The darker the shade of green represents a topic generating more interest. The “Percentage” on the visualizations shows the intensity of the color of each cell and represents the trending ratio of recent content volume in the last 24 hours versus the average content volume for that particular topic over the last 30 days. Darker colors indicate an increase in the flow of content, while lighter colors indicates a decrease. If you click on the topical box, and select “Go”, the widget will take you to the relevant news for the topic, including what’s trending in social media. Clicking on a story link will open the story in a browser window.


3.2.3 Option Board – Display Multiple Months as Tabs

FutureSource 3.5 now allows a user to display all months or a range of months for a selected futures option. Tabs can be created by entering “*ROOT” into the Option Board to list all months of a futures option. If you are interested in only a specific range of options months, enter “*ROOT Month Number-Month Number”.


As an example, to display all futures options months for NYMEX Crude Oil as tabs, enter “*CL” into the Option Board yielding:

To display only the first 5 futures options months as tabs, enter “*CL 1-5” into the Option Board.

To display only the first 5 through 10 futures options months as tabs, enter “*CL 5-10” into the Option Board.


3.2.4 Right Click Functionality on the Option Board (TTP 19382)

“Right Click” functionality is now not limited to the “Symbol” field on the Option Board. It now can be activated from all “Non-Symbol” fields on the Option Board.

3.2.5 Ability to Chart Expired Strips (TTP 21438)

User can now chart expired strips for all strip functions including:

Summer

Winter

Annual

Quarterly’s


Semiannual

The syntax is exactly the same: =Function(Root,Expired Year). For example, to chart the Summer Natural Gas strip from 2010, enter “=SUMMER(NG,2010)” in a Chart window.

3.2.6 New Tick Bar Charts (TTP 22038)

Users can now view tick charts as a series of user defined bar charts. The bars can be defined by the number of ticks per bar (20T = 20 ticks per bar, an interval of price changes per bar (20P = 20 price changes per bar), a volume threshold per bar (20V = ticks with a volume of 20 per bar) or by a time parameter between price changes per bar (20S = 20 seconds of time interval between each bar).

To create a Tick Bar Chart, open the Chart window and enter a symbol and press “Enter” to create a chart. In the interval dialogue box change the interval based on the desired number of ticks (T), price changes (P), volume (V) or time interval (S). For example to create a tick chart with one bar every 20 ticks for the January 2013 Crude Oil futures contract, create a tick chart for “CL F3” and change the interval to “20T”. The same syntax is used for the other user defined intervals.


The data can also be displayed in the Data Table as well.

3.2.7 Fixed Chart Forward Curve Display of EOX Forward Curve Data (TTP 21640)

Natural Gas and Power Forward Curve data from EOX can now be displayed as a Fixed Chart Forward Curve. To create a forward curve, click on the Fixed Chart button on the tool bar. In the Fixed Chart window, “Right Click” and select “Add Forward Curve” from the menu.


From the Dialogue Box, “Click” on the EOX Tab. From this Tab, you will be prompted to select:

Type – Natural Gas or Power

Region (Natural Gas) or ISO (Power)

Basis (Natural Gas) or Market (Power)

Hours (Power)

Term

The remaining attributes are the same as creating any other Forward Curve in the Fixed Chart Window.


As an example, to create a monthly Natural Gas forward curve for the Gulf Coast Region you would select the following from the Dialogue Box:

Type = Natural Gas

Region = Gulf Coast

Basis = ANR-SE

Term = Monthly

Select the “<Week” button four times to compare today’s curve to a curve from each of the last four weeks from today.

To create a first quarter Peak Power forward curve for the California ISO NP_15 market you would select the following from the Dialogue Box:

Type = Power

ISO = CAISO


Market = NP_15

Hours = Peak

Term = Quarter 1

Select the “<Week” button four times to compare today’s curve to a curve from each of the last four weeks from today for the next 7 years.

Forward Curves can also be created in the standard way if you know the symbol from the “Dynamic” Tab. Forward Curve spreads can also be created for the EOX data in the standard way if you know the symbol.


3.2.8 OptionSource Enhancements (TTP 21226 & 21620)

FutureSource Release 3.5 introduces some exciting new enhancements to OptionSource including new skew analysis and the ability to compare the historical volatility of the future versus the at-the-money historical implied volatility of the strike.

OptionSource now lets you calculate and view the implied volatilities of the at-the-money call, put or the combined put and call across a range of strike prices at various futures price levels. The graphical display or “Skew” shows the shape of the Implied Call Volatility, Implied Put Volatility or the Combined Implied Volatility.

To Create a Skew in OptionSource, enter an underlying futures month, in this example we will use spot crude oil (CL G3). Enter the Number of Strikes to analyze of select “Show All Strike Prices” (If using the “Select All” option it is best to turn Snapshot Mode on to avoid any Symbol Count issues).

Once the range of options has been defined, you will need to open the “Analyze” pane. This is done the exact same way as it is today in OptionSource by selecting a strike price and entering a quantity. This will enable the “Analyze” function on the OptionSource tool bar.

Select “Analyze” to open the pane. From the “X-Axis” drop down select the new “Strike” option and notice the “Contour” defaults to “Futures”. Contour of the skew can be “Futures” based or “Time” based.


To view the Implied Call Volatility Skew, select the new “CallImpVol” option in the “Y-Axis” drop down box. To view the Implied Put Volatility Skew, select the new “PutImpVol” option in the “Y-Axis” drop down box. To view the Combined Put-Call Implied Volatility Skew, select the new “ImpVol” option in the “Y-Axis” drop down box.

Call implied volatility skew:

Put implied volatility skew:


Combined Implied Volatility Skew:

Another new feature in OptionSource as part of the FutureSource 3.5 release is the addition of Historical Implied Volatility of the at-the-money options. This historical implied volatility can then be compared with the current implied volatility to understand how today’s implied volatility differs from its implied volatility over time.

The methodology used to calculate the historical implied volatility is based off the Black-Scholes model (for futures options it is known as Black76), which is the basis for all options calculation in FutureSource.

To calculate the historical implied volatility, for every date in the past, the underlying futures price used for that day is the closing price. Based on that price, the two nearest option strike prices are selected:

The Put just below the underlying closing price for the day

The Call just above the underlying closing price for the day

The implied volatility for that trading day is calculated for each of the put (PutImpVol) and call (CallImpVol) based on the underlying futures closing price, the strike price for the option, the closing price of the option (“Premium”) and the interest rate.


The interest rate used in the calculation is the default interest rate from the Black Scholes options model in FutureSource and in can be changed in OptionSource by selecting the Calculation Settings option.

The resulting implied volatility (ImpVol) is the arithmetic mean of the implied volatilities of the put and call or (PutImpVol + CallImpVol)/2. If for any reason either the put implied volatility or call implied volatility are not defined, the one that is defined is used.

To perform a historical implied option volatility study based on an underlying futures month in OptionSource and compare it to the historical volatility, select the “History” option from the “X-Axis” and enter the desired date range:

The data can be viewed in both a chart as well as in a table. Both the Display Settings as well as Calculation Settings can be changes by pressing the “Right Click” on the mouse while on the table or chart and selecting the appropriate option.

The default settings for th Historical Volatility Study (HV) are:

Trading Days for Historical Volatility Calculation = 20

Sample, not all Data Points Used in Calculation of the standard deviation = Centered

Interest Rate = Black Scholes Model Default


Trading day’s used to calculate an average historical volatility can range from short term (5, 10 & 20) days to 1 year (252) in the drop down or any user defined number of days from 3 to 999.

If the “Centered” is un-checked, then all data points within for the appropriate puts and calls in the selected range are used as opposed to a random sample of puts and calls for the range. These are the data points used to calculate standard deviation or volatility.

There is also an option to show a partial graph of the historical volatility.

OTC Option Support:

OptionSource now lets you support customized options with both the Strike and days to expiration (DTE) now being user defined.

From the “Position Pane”, select an option strike and “Right Click”, and choose the “User Defined Strike” option from the drop down menu.


Press “Set”, and enter the “User Defined Strike”. “Right Click” on the option strike again and select “User Defined DTE” option to enter the days to expiration. Choose “Set” and change the days to expiration field.

The customized strike will appear in the “Symbol” column, and the customized days to expiration will appear in the “DTE” column.

To enter the customized value of the option, “Right Click” on the “Update” column, select “Update Mode” and select “User Defined” and then change the “Value” to the user defined value or from “Update Mode” select “Market” and change the ImpVol field to the Implied Volatility of your option position.

You have now created a user defined option that can be analyzed as part of your options portfolio.


Import/Export Positions:

You can now Import & Export positions to Excel. From the “Position Pane”, “Right Click” and select “Export”. You will be promted to chose a file location as well as save the file as a CSV file, “.csv”, a TAB file “.txt” or an XML file “.xml”. To import a file, “Right Click” from the “Position Pane” and select “Import”. You will be promted to chose a file location. Import formats supported include a CSV file, “.csv”, a TAB file “.txt” or an XML file “.xml”.


3.2.9 OptionWorks (TTP 21226 & 21620)

Included in the new release of OptionSource is a new widget called OptionWorks. OptionWorks is added to your OptionSource display as a new tab. To add the OptionWorks tab, “Right Click” on the tabs bar at the bottom of the OptionSource display and select “Add OptionWorks”.


The OptionWorks Volatility Dashboard is a cloud-based collection of research on futures options. OptionWorks provides option analytics of 42 different markets at the CME and ICE Futures.

OptionWorks supports the indicators listed below. All calculations are based on underlying end-of-day futures pricing from CME and ICE. In addition to each individual contract month, each of these results are also available for OTC tenors of 1 Week, 1 Month, 2 Months, 3 Months, 6 Months, 9 Months and 1 Year. The OTC tenor values are also calculated based on the underlying end-of-day future prices from CME and ICE.

At-the-Money Implied Volatility with daily net change – “Current” View 10‐delta and 25‐delta Risk Reversals with daily net change – “Current” View

10-delta and 25-delta Butterflies with daily net change – “Current” View


Historical charts of Implied Volatility vs. Historical Volatility – “History” View

Historical charts of Risk Reversals and Butterflies – “History” View

Use the drop down menus to change markets as well a contract months or OTC tenors. Use the radial buttons on the left to change the view from Historical Implied Volatility to Risk Reversals or Butterflies. “Mouse over” the graph to display the values of the data.


Historical charts of Implied Volatility Skew – “Skew” View

Use the drop down menus to change markets as well a contract months or OTC tenors. Use the radial buttons with the dates to view the historical Skews for any period within the chart range or click on the Bar Chart to select the dates. “Mouse over” the graph to display the Implied Volatility values for each date.

Terms Structure Charts of Implied Volatility, Risk Reversals, and Butterflies – “Term” View

Use the drop down menus to change markets as well a contract months or OTC tenors. Use the radial buttons with the dates to view the historical Skews for any period within the chart range or click on the Bar Chart to select the dates. Use the radial buttons on the left to change the view from Historical Implied Volatility to Risk Reversals or Butterflies. “Mouse over” the graph to display the Implied Volatility term structure values for each date.


1 to 12 Month Percentile Charts of Implied Volatility, Risk Reversals, and Butterflies – “Percentile” View

3.2.10 User Defined Chart Tracking Default Parameter

The user now has the ability to set system level tracking default for tracking in a chart. Tracking can always be turned on or it can always be turned off. To set the tracking default, select “Preferences” from the main tool bar and from the drop down menu, click on “Initial Chart Tracking” and select the desired default tracking parameter for your charts.

3.2.11 New Previous Net Settlement Change Field

A new display field is now available in FutureSource 3.5 which enables the display of the net change of the previous trading day settlement and the one from the session prior to the previous (Previous Settlement – 1). To Display the new field,


right click on the column headings in a Quote Window and select “Columns”. From the drop down box, select “Customize”.

From the “Quote Column Selection” Window, scroll down the left pane and select “Previous Net Change”, the click on “Add” to add the field to the :Select Field” pane.


Click on “”OK” to Add the Field to the Quote Window display.

4 Fixes & Performance Enhancements

The following fixes and performance enhancements are included in FutureSource 3.5:

TTP 22980: Inconsistencies within Symbol Search

TTP 22975: Crash on opening of "Modify Forward Curve" wizard for static forward curves

TTP 22963: Crash - Entering symbol into Chart in a Workspace

TTP 22939: Depth - ICE depth window delays other price updates


TTP 22898: Use server-side tick filtering for Time & Sales

TTP 22747: DJ News Plus fix for Macquaire

5 System Requirements

5.1 Minimum Operating System and Browser Requirements

Operating System Requirements

XP, Vista or Windows 7

Windows NT4, ME, 95, 98 and 2000 are not supported

Recommended Hardware Requirements

Intel® Core™ 2 Duo, 2.0 GHz or faster

2GB of RAM or higher

100MB of hard drive space

1024x768 or higher screen resolution

Preferred Requirements (Power User)

Intel® Core™ 2 Q6600 Quad-Core, 2.4 GHz or faster

3GB of RAM or higher

100MB of hard drive space

1024x768 or higher screen resolution

5.2 Other Requirements

Required Ports for FutureSource Trader: 2823 and 443

Documents

Release Notes - Interactive Data information contained in this document shall not be deemed as financial advice, ... Energy Market Insight, ... FutureSource Release Notes Page 14 of