• Rule Amendments — Midwest ISO Cinergy Hub Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5992
      • Notice Date
      • 07 November 2011
      • Effective Date
      • 07 November 2011
    • The New York Mercantile Exchange, Inc. (NYMEX or Exchange) currently offers nine (9) electricity futures and option contracts, identified below, that settle against the Cinergy Hub day-ahead and real-time LMP posted by Midwest ISO (MISO). These contracts are listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.

      As most recently reported in the Exchange’s Special Executive Report (SER) 5935, dated September 14, 2011, Duke Ohio and Duke Kentucky will withdraw from MISO and become a part of PJM Interconnection (PJM) effective January 1, 2012.  At such date or other effective MISO withdrawal date of the Duke Ohio and Duke Kentucky subsidiaries, MISO will cease the calculation and posting of Cinergy Hub real-time and day-ahead prices.  Since March 1, 2011, MISO has been calculating and posting day-ahead and real-time prices for the Indiana Hub, the replacement for Cinergy Hub, on their website.

      In order to reflect the new settlement against Indiana Hub, effective January 1, 2012 or other effective MISO withdrawal date of the Duke Ohio and Duke Kentucky subsidiaries, NYMEX will amend the contracts below to delete references to the Cinergy Hub final settlement and replace with the Indiana Hub as the final settlement reference for real-time and day-ahead prices. As stated in SER-5977 (http://www.cmegroup.com/tools-information/lookups/advisories/market-regulation/SER-5977.html), the contract listing schedule for these products was expanded effective October 24, 2011.

      The affected contracts, rule chapters, and commodity codes, are listed below for your convenience. The title and rule amendments are provided below in blackline format.

      Product

      Rule Chapter

      Code

      Midwest ISO Cinergy Hub 5MW Off-Peak Calendar-Month Day-Ahead Swap Futures

      893

      K2

      Midwest ISO Cinergy Hub 5 MW Off-Peak Calendar Month Real-Time Swap Futures

      803

      H4

      Midwest ISO Cinergy Hub 5 MW Peak Calendar-Month Day-Ahead Swap Futures

      859

      H5

      Midwest ISO Cinergy Hub Peak Calendar-Month LMP Swap Futures

      774

      EM

      Midwest ISO Cinergy Hub 5 MW Peak Calendar-Month Real-Time Swap Futures

      802

      H3

      Midwest ISO Cinergy Hub Off-Peak LMP Swap Futures

      774A

      EJ

      Midwest ISO Cinergy Hub Calendar-Day Peak LMP Swap Futures

      774B

      CC

      Midwest ISO Cinergy Hub Peak Calendar-Month LMP Swap Options

      383

      OY

      Midwest ISO Cinergy Hub Peak Option on Calendar Futures Strip Options

      921

      OEM

      Should you have any questions or require any further information, please contact Brad Leach (212) 299-2609 or Adila Mchich at (212-) 299-2270.

      (UNDERSCORE denotes addition; Strikethrough denotes deletion)

       

      Chapter 893

      Midwest ISO (MISO) CinergyIndiana Hub 5MW Off Peak Calendar-Month Day Ahead Swap

      Futures

       

      893.02 FLOATING PRICE

      The Floating Price will be determined for each contract month. The Floating Price will be equal to the

      arithmetic average of the Midwest Independent Transmission System Operator CinergyIndiana Hub Day-Ahead

      LMP provided by Midwest Independent Transmission System Operator, Inc. (MISO) for all off-peak hours in

      the contract month. For settlement of this contract, the prices provided by MISO will be considered final on

      the payment day stated in Rule 893.09 and will not be subject to any further adjustment.

       

      Chapter 803

      Midwest ISO (MISO) CinergyIndiana Hub 5 MW Off-Peak Calendar-Month Real-Time

      Swap Futures

       

      803.02 FLOATING PRICE

      The Floating Price will be determined for each contract month. The Floating Price will be equal to the

      arithmetic average of the Midwest Independent Transmission System Operator CinergyIndiana Hub Real-Time LMP

      provided by Midwest Independent Transmission System Operator, Inc. (MISO) for all off-peak hours in the

      contract month. For settlement of this contract, the prices provided by MISO will be considered final on the

      payment day stated in Rule 803.09 and will not be subject to any further adjustment.

       

      803.08 FINAL SETTLEMENT

      Delivery under the Midwest ISO (MISO) CinergyIndiana Hub 5 MW Off-Peak Calendar-Month Real-Time Swap Futures

      contract shall be by cash settlement. Final settlement, following termination of trading for a contract month,

      will be based on the Floating Price. The final settlement price will be the Floating Price calculated for each

      contract month.

       

      Chapter 859

      Midwest ISO (MISO) CinergyIndiana Hub 5 MW Peak Calendar-Month Day-Ahead Swap Futures

       

      859.02 FLOATING PRICE

      The Floating Price for each contract month will be equal to the arithmetic average of the Midwest

      Independent Transmission System Operator CinergyIndiana Hub Day-Ahead LMP for peak hours provided

      by Midwest Independent Transmission System Operator, Inc. (MISO), for the contract month. For

      settlement of this contract, the prices provided by MISO will be considered final on the payment

      date stated in Rule 859.10 and will not be subject to any further adjustment.

       

      Chapter 774

      Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures

       

      774.02. FLOATING PRICE

      The Floating Price will be determined for each contract month. The Floating Price will be equal to

      the arithmetic average of the CinergyIndiana Hub Real Time LMP for all peak hours provided by Midwest

      Independent Transmission System Operator, Inc. (MISO), for the contract month. For settlement of

      this contract, the prices provided by MISO will be considered final on the payment day stated in

      Rule 774.10 and will not be subject to any further adjustment.

       

       

       

       

       

       

       

      Chapter 802

      Midwest ISO (MISO) CinergyIndiana Hub 5 Month Peak Calendar-Month Real-Time

      Swap Futures

       

      802.02. FLOATING PRICE

      The Floating Price for each contract month will be equal to the arithmetic average of the Midwest

      Independent Transmission System Operator CinergyIndiana Hub Real-Time LMP for peak hours provided

      by Midwest Independent Transmission System Operator, Inc. (MISO), for the contract month. For

      settlement of this contract, the prices provided by MISO will be considered final on the payment

      date stated in Rule 802.10. and will not be subject to any further adjustment.

       

      802.09. FINAL SETTLEMENT

      Delivery under the Midwes t ISO (MISO) CinergyIndiana Hub 5 MW Peak Calendar-Month Real-Time Swap

      Futures contract shall be by cash settlement. Final settlement, following termination of trading for a

      contract month, will be based on the Floating Price. The final settlement price will be the Floating

      Price calculated for each contract month.

       

      Chapter 774A

      Midwest ISO CinergyIndiana Hub Off-Peak LMP Swap Futures

      774A.02. FLOATING PRICE

      The Floating Price will be determined for each contract month. The Floating Price will be equal to

      the arithmetic average of the CinergyIndiana Hub Real Time LMP for off-peak hours provided by Midwest

      Independent Transmission System Operator, Inc. (MISO), for all off-peak hours in the contract

      month.

       

      Chapter 774B

      Midwest ISO CinergyIndiana Hub Calendar-Day Peak LMP Swap Futures

       

      774B.02. FLOATING PRICE

      A Daily Floating Price will be determined for the peak day. The Daily Floating Price will be equal to

      the arithmetic average of the hourly real time Locational Marginal Prices (LMP) for the CinergyIndiana Hub

      provided by Midwest Independent Transmission System Operator, Inc. (MISO) for the peak day.

      For settlement of this contract, the prices provided by MISO will be considered final on the payment

      day stated in Rule 774B.08. and will not be subject to any further adjustment.

       

      774B.03. CONTRACT QUANTITY AND VALUE

      The contract quantity shall be 40 MWH (Megawatt Hours).

      Midwest ISO CinergyIndiana Hub Calendar-Day Peak LMP Swap Futures contract shall be valued as the

      contract quantity (40 MWH) multiplied by the settlement price.

       

      774B.07. FINAL SETTLEMENT

      Delivery under the Midwest ISO Cinergy Indiana Hub Calendar-Day Peak LMP Swap Futures contract shall

      be by cash settlement. The cash-settlement price will be based on the Daily Floating Price which is

      determined for the peak day.

       

       

      Chapter 383

      Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Option

       

      383.01 EXPIRATION

      A Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Option contract shall expire two

      business days prior to the start of contract month.

       

      383.02 TYPE OPTION

      The put option represents an option to assume a short position in the underlying Midwest ISO

      CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures contract traded on the Exchange at the

      strike price. The call option represents an option to assume a long position in the underlying

      Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures contract traded on the

      Exchange at the strike price.

       

      383.04 HOURS OF TRADING

      The hours of trading in the option contract on the Exchange shall be the same as the hours of

      trading for the underlying Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures

      contract. All such trading shall take place on the trading floor of the Exchange within the hours

      prescribed by the Exchange.

       

      383.05 STRIKE PRICES

      (A) Trading shall be conducted for options with strike prices in increments as set forth below.

      (B) On the first business day of trading in an option contract month, trading shall be at the following

      strike prices: (i) the previous day's settlement price for Midwest ISO CinergyIndiana Hub Peak Calendar-

      Month LMP Swap Futures contracts in the corresponding delivery month rounded off to the nearest

      fifty-cent strike price unless such settlement price is precisely midway between two strike prices in

      which case it shall be rounded off to the lower strike price and (ii) the twenty fifty-cent increment

      strike prices which are twenty increments higher than the strike price described in (i) of this Rule

      383.05(B) and (iii) the twenty fifty cent increment strike prices which are twenty increments lower

      than the strike price described in (i) of this Rule 383.05(B) and (iv) an additional ten strike prices for

      both call and put options will be listed at one dollar increments above the highest fifty cent

      increment as described in (ii) of this Rule 383.05(B), beginning with the first available such strike

      that is evenly divisible by $0.50 and (v) an additional ten strike prices for both call and put options

      will be listed at one dollar increments below the lowest fifty cent increment as described in (iii) of

      this Rule 383.05(B).

      (C) Thereafter, on any business day prior to the expiration of the option, (i) new consecutive strike

      prices for both puts and calls will be added such that at all times there will be at least twenty fifty

      cent strike prices above and below the at-the-money strike price available for trading in all options

      contract months and (ii) new one dollar increment strike prices will be added such that at all times

      there shall be ten fifty cent strike prices above the highest fifty cent strike, (iii) new one dollar

      increment strike prices will be added such that at all times there shall be up to ten five-cent strike

      prices below the lowest fifty cent strike and each such strike price shall be above zero. The at-the money

      strike price will be determined in accordance with the procedures s

      et forth in Subsection (B)

      of this Rule 383.05.

      (D) Notwithstanding the provisions of subsections (A) through (C) of this Rule, if the Exchange

      determines that trading in option contracts will be facilitated thereby, the Exchange may, by

      resolution, change the increments between strike prices, the number of strike prices which shall be

      traded on the first day in any new option contract month, the number of new strike prices which will

      be introduced on each business day or the period preceding the expiration of the option contract in

      which no new strike prices may be introduced.

       

      Chapter 921

      Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip

       

      921.01 EXPIRATION

      A Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip contract shall expire on

      the second to last Friday of the month prior to the first underlying Midwest ISO CinergyIndiana Hub

      Peak Calendar-Month LMP Swap Futures contract. If the second to last Friday is an Exchange

      holiday, expiration will occur on the business day immediately preceding that day.

       

      921.02 TYPE OF OPTION

      A Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip is a European-style

      option.

       

      921.03 TRADING UNIT

      On expiration of a call option, the long position will be assigned twelve consecutive months

      beginning with the underlying January month of long Midwest ISO CinergyIndiana Hub Peak

      Calendar-Month LMP Swap Futures at the strike price. On exercise of a put option, the long

      position will be assigned twelve consecutive months beginning with the underlying January

      month of short Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures at the

      strike price.

       

      921.05 STRIKE PRICES

      Trading shall be conducted for options with strike prices in increments as set forth below.

      (A) On the first business day of trading in an option contract month, trading shall be at the following

      strike prices: (i) the previous day's settlement price for the underlying Midwest ISO CinergyIndiana Hub

      Peak Calendar-Month LMP Swap Futures contract rounded off to the nearest fifty-cent

      increment, unless such settlement price is precisely midway between two fifty-cent increments in

      which case it shall be rounded off to the lower fifty-cent increment; (ii) the ten strike prices which

      are ten fifty-cent increments higher than the strike price described in section (i) of this Rule

      921.05(A); and (iii) the ten strike prices which are ten fifty-cent increments lower than the strike

      price described in section (i) of this Rule 921.05(A).

      (B) Thereafter, on any business day prior to the expiration of the option, new consecutive strike

      prices for both puts and calls will be added, such that at all times there will be at least ten fiftycent

      increment strike prices above and below the at-the-money strike price available for trading in

      all option contract months. The at-the-money strike price will be determined in accordance with

      the procedures set forth in Subsection (A) of this Rule 921.05.

      (C) Notwithstanding the provisions of subsections (A) and (B) of this Rule, if the Exchange

      determines that trading in Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip

      contract will be facilitated thereby, the Exchange may, by resolution, change the increments

      between strike prices, the number of strike prices which shall be traded on the first day in any

      new option contract month, the number of new strike prices which will be introduced on each

      business day or the period preceding the expiration of a Midwest ISO CinergyIndiana Hub Peak Option

      on Calendar Futures Strip contract in which no new strike prices may be introduced.

       

      921.08 ABSENCE OF PRICE FLUCTUATION LIMITATIONS

      Trading in Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip shall not be subject

      to price fluctuation limitations.