• Strike Price Interval Reduction – Henry Hub Natural Gas Last Day Financial Option (E7)

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6368
      • Notice Date
      • 22 August 2012
      • Effective Date
      • 09 September 2012
    • Please be advised that effective Sunday, September 9, 2012, for trade date Monday, September 10, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will reduce the strike price interval of Henry Hub Natural Gas Last Day Financial Option (chapter 375, commodity code E7) contract. Specifically, the strike price interval will be reduced from the current five-cent ($0.05) increment to one-cent ($0.01) increment.
      Rule 375.05 (“Strike Prices for Henry Hub Natural Gas Last Day Financial Option”) is being amended in order to effectuate the reduction of the strike price interval. The rule amendment is presented below in black-line format.
      (UNDERSCORE denotes addition; Strikethrough denotes deletion)
      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 difference between the previous day's settlement price for the underlying Natural Gas futures contract rounded off to the nearest five-cent one-centincrement, unless such settlement price is precisely midway between two five-cent one-centincrements in which case it shall be rounded off to the lower five-cent one-centincrement; and (ii) the ten strike prices which are ten five-cent one-cent increments higher than the strike price described in section (i) of this Rule 375.05.
      (B) Thereafter, on any business day prior to the expiration of the option, new strike prices for both puts and calls will be added such that at all times there will be at least ten five-cent one-cent 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 375.05.
      The Commodity Futures Trading Commission (CFTC) will be notified of the amendment to Rule 375.05 during the week of September 17, 2012, via the weekly notification procedures set forth in Part 40 of the CFTC Regulations.
      Please refer questions on this subject to:
      Research and Product Development
      Robert Biolsi                             Bob.Biolsi@cmegroup.com                               (212) 299-2610
      Cameron Liao                            KengHui.Liao@cmegroup.com                           (212) 299-2613
      Products & Services:
      Jack Maydick                            Jack.Maydick@cmegroup.com                          (212) 299-2347