The New York Board of Trade will launch trading in sugar and cotton options on futures calendar spreads on Thursday March 24th.  Product codes will be CT1 through CT5 for the cotton options, and SB1 through SB4 for the sugar options.  For details about these products, please see the NYBOT web site at  www.nybot.com– in the "In The News" section on the main page, you'll see a link to the announcement.

Full details about options on spreads and super-intercommodity spreading were published on November 5, 2004, in SPAN Advisory #04-12 (see  www.cme.com/clearing/rmspan/spanadv/10536.html). 

These new options on spreads will use a feature of SPAN® called super-intercommodity spreading.  A super-intercommodity spread is just a regular intercommodity spread which is evaluated first, before any normal calendar (intracommodity) or intercommodity spreads are evaluated.  By using super-intercommodity spreads, NYBOT will be able to offer especially low margin rates for portfolios where option positions are offsetting positions in the underlying futures spreads. 

Although super-intercommodity spreading is not a new feature of the SPAN methodology, this will be the first time it has ever been used.  NYBOT will also make use of a new feature which allows the specification of different credit rates for the different legs of an intercommodity spread.

In the NYBOT SPAN file beginning March 24th, in the type "6" records, the super-intercommodity spreads can be identified with a value of "S" in byte 110, the new Spread Group Flag.  You will also see a value of "Y" in byte 122, meaning that credit rates are provided for each leg in the following bytes going out as far as position 150.  For the type "6" record layout, please see  www.cme-ch.com/span/spanl316.htm.

To correctly process these SPAN files and these new NYBOT products in PC-SPAN, please make sure you have the latest version 4.05.  Registered users can download the latest version at the PC-SPAN software distribution website at  www.cme-ch.com/pcspan, and new copies can be purchased at  www.cme-ch.com/span/span-pcspan-orderform.htm.

For more information, please contact Larry Scheinberg at NYBOT (212-201-8847) or the CME SPAN Hotline at 312-648-3888.