July 10, 2009

Topics include:

New Crack Spread APOs to Launch
Six New Physical Natural Gas Liquid Contracts
Update: Launch of New SO2 Emission 25 Allowance Futures and Options Contracts on Three Venues
Margin Parameters in the New Combined SPAN Files
CME ClearPort Enhancements
CME Magazine
Energy Update - Archive


New Crack Spread APOs to Launch

Beginning on Sunday, July 19, 2009, for trade date Monday, July 20, the Exchange will dually list on the New York trading floor and through CME ClearPort, financially settled “Crack Spread” Average Price Options contracts on the differentials between RBOB Gasoline/Crude Oil, Gasoil/Brent Crude Oil - Last Day, and New York Harbor Heating Oil/Crude Oil contracts.

These contracts are listed by and subject to the rules and regulations of NYMEX.

Commodity Codes, Rule Chapters and Underlying Futures:

Contract

Chapter

Code

Underlying Futures

Heating Oil Crack Spread Average Price Options

523a

3W

HK

RBOB Crack Spread Average Price Options

559a

3Y

RM

Gasoil Crack Spread Average Price Options

710a

3U

GZ


Options Classification
Average Price Options (Financially settled only on expiration day)

Financial Settlement
A long call options will be financially settled on expiration day by the final settlement price for the underlying futures less the strike price, or zero, whichever is greater. A long put will be financially settled on expiration day by the strike price less the final settlement price for the underlying futures contract, or zero, whichever is greater.

Strike Price Intervals
Ten strike prices in increments of $0.25 per barrel above and below the at-the-money strike price, for a total of at least 21 strike prices. Strike price boundaries are adjusted according to futures price movements.

Expiration Dates
The expiration date is the last business day of the underlying month of the futures contract.

Minimum Price Fluctuation
$0.01 (1¢) per Barrel

Contract Size
1,000 Barrels

Trading Months
For all three options contracts, the first contract months to be listed will be the August 2009 delivery months.

  • Heating Oil Crack Spread Average Price Options: 36 consecutive monthly contracts through June 2012
  • RBOB Crack Spread Average Price Options: Consecutive months for the balance of the current year plus 3 additional years through December 2012
  • Gasoil Crack Spread Average Price Options: 60 consecutive monthly contracts through June 2014

Fee Schedule

(½ Turn)

Member

Cross Division (Blended)

Non-Member

CME ClearPort

$2.20

 

 

Block Trading Surcharges

N/A

N/A

N/A

Open Outcry

 

 

 

Day Trade

N/A

 

 

O/N Trade

$2.20

$2.70

$2.70

EOO

$2.20

$2.70

$2.70

Cash Settlement

$.90

N/A

$1.15

EFS, EFP, Spreads, Strips and ex Pit trades are available at standard member and nonmember rates – no surcharges apply.


For additional information, please contact the Energy and Metals marketing hotline at (212) 299-2301, or email exchangeinformation@cmegroup.

Six New Physical Natural Gas Liquid Contracts

On Sunday, July 19, 2009, for trade date Monday, July 20, the Exchange will list six new physically delivered natural gas liquid (NGL) futures contracts for trading and clearing through CME ClearPort.

These contracts are listed by and subject to the rules and regulations of NYMEX.

Contract

Code

Chapter

Mont Belvieu Physical LDH Propane (OPIS) Futures

3N

365

Mont Belvieu Physical Non-LDH Propane (OPIS) Futures

3P

364

Mont Belvieu Physical Normal Butane (OPIS) Futures

3M

366

Mont Belvieu Physical Natural Gasoline (OPIS) Futures

3R

367

Mont Belvieu Physical Iso-Butane (OPIS) Futures

3L

368

Mont Belvieu Physical Ethane (OPIS) Futures

3Q

369


The LDH propane (3N) contract will be physically delivered at the LDH facility in Mont Belvieu, Texas. The Non-LDH propane contract as well as the other four (4) physical NGL contracts will be delivered at the Enterprise facility in Mont Belvieu, Texas.

The first listed month for these contracts will be the August 2009 contract month. The physical LDH propane (3N) and Non-LDH propane (3P) contracts will be listed for 48 consecutive months. The physical Normal Butane (3M), Natural Gasoline (3R), Iso-Butane (3L) and Ethane (3Q) contracts will be listed for 36 consecutive months.

Fee Schedule

CPT Billing rates:

CPC Billing rates:

Delivery Notice fee:

Member   $0.85

Member   $0.85

House   $1.00

Non-Member   $1.35

Non-Member   $1.35

Customer   $1.00


Block fees do not apply.

Trading Hours

6:00 p.m. Sunday until 5:15 p.m. Friday (New York prevailing time). There is a 45-minute halt in trading each day between 5:15 p.m. (current trade date) and 6:00 p.m. (next trade date).

The Exchange will allow exchange of futures for physical (EFP) and exchange of futures for swap (EFS) transactions to be submitted through CME ClearPort clearing. The EFP and EFS transactions in this futures contract will be governed by the provisions of Exchange Rules 6.21 and 6.21A, respectively.

For further information, please contact Daniel Brusstar at (212) 299-2604.

Update: Launch of New SO2 Emission 25 Allowance Futures and Options Contracts on Three Venues

Please note CME ClearPort codes correction below.

Futures will launch on CME Globex and through CME ClearPort on Sunday, July 12, 2009, for trade date Monday, July 13. Options will be available through CME ClearPort and on the New York trading floor, on XX for trade date July 27. All transactions benefit from the safety and security of CME Clearing.

Please be advised that this futures contract will be listed for the current year through Vintage year 2014 instead of through Vintage year 2020 as reported in SER-4917.

The commodity codes are listed below for your convenience.

Contract Vintage

CME Globex
Commodity Code

CME ClearPort
Commodity Code

Current Vintage or earlier

SNV

09

Vintage 2010

V10

10

Vintage 2011

V11

11

Vintage 2012

V12

12

Vintage 2013

V13

13

Vintage 2014

V14

14


Additionally, on Tuesday, July 14, 2009, the Exchange will launch a new SO2 Emission 25 Allowance Options contract for trading on the NYMEX trading floor and for clearing on CME ClearPort.

Fee Schedule
SO2 Emission 25 Allowance Futures and Options contracts.

Full Name

Member

Non Member

SO2 Emission 25 Allowances Futures

$1.50

$1.50

SO2 Emission 25 Allowances Options

$1.50

$1.50

Additional Fees

Member

Non Member

Delivery Notice

$1.00

$1.00

Exercise and Assignment

$0.85

$0.85

Additional Fees from Exercise and Assignment

$1.50

$1.50


 For a complete list of contract specifications, please click here.

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

Margin Parameters in the New Combined SPAN Files

As previously announced, firms may begin using the new combined SPAN files today, July 10. The separate SPAN files being replaced – the "ccl" files containing data for CME and CBOT, and the files for COMEX and NYMEX – will be published through Friday, July 31, but will be eliminated thereafter.

 For the full text of the advisory on this topic, please click here.

Please direct any questions to the CME Group Risk Hotline at (312) 648-3888.

CME ClearPort Enhancements

The following enhancement to CME ClearPort will be effective July 13, 2009:

Brokers and Traders
Users will be able to sort all columns in the CME ClearPort® Trade Blotter by selecting the sort icon. Clicking the icon next to the column name will activate the top arrow, , which will sort the column alphabetically, numerically or by date in ascending order. If you wish to sort in descending order, please select the sort icon again to activate the bottom arrow.

Traders
Automatic email notification informing customers of being a party to CME ClearPort submissions will now be sent from custcare@cmegroup.com instead of NYMEX clearport@nymex.com. Please be sure to add this email to your company’s "safe sender" list to avoid any interruption in receiving these emails, or to modify any email rules you may have in place accordingly.

CME Magazine
 The latest issue of CME Group Magazine is now available

Articles in this issue include:

  • The potential role of central counterparty clearing in restoring participant confidence in over-the-counter markets
  • Independent software vendor perspectives on the latest technology trends
  • The impact of weather, technology and rising standards of living on agricultural commodity markets.
 To subscribe to either the print or online version of CME Group Magazine, please visit the CME Group Subscription Center