Notice to Members
Notice No. 157
6/5/2002
NYMEX DIVISION SPAN PARAMETERS FOR CALENDAR SPREAD OPTIONS
Effective Date: Friday, June 7, 2002 (close of business)

The futures scan ranges that establish maximum short option margin for WTI Crude Oil Calendar Spread options are:

Regular Option Symbol
Synthetic Futures Symbol
Intra-Commodity Spread Tier
Scan Range
WAQ02 CAQ02 2 250
WAU02 CAU02 2 250
WAV02 CAV02 2 250
WAX02 CAX02 2 250
WAZ02 CAZ02 2 250
WAF02 CAF03 3 150
WAG02 CAG03 3 150
WAH02 CAH03 3 150
WAJ03 CAJ03 3 150
WAK03 CAK03 3 150
WAM03 CAM03 3 150
WAN03 CAN02 4 150
WBQ02 CBQ02 2 250
WBU02 CBU02 2 250
WCQ02 CCQ02 2 250
WMM03 CMM03 3 150
WMZ02 CMZ02 2 250
WZZ02 CZZ02 2 250


The futures scan ranges that establish maximum short option margin for Brent Crude Oil Calendar Spread options are:

Regular Option Symbol
Synthetic Futures Symbol
Intra-Commodity Spread Tier
Scan Range
AAQ02 BAQ02 2 250
AAU02 BAU02 2 250
AAV02 BAV02 2 250
AAX02 BAX02 2 250
AAZ02 BAZ02 2 250
AAF02 BAF03 3 150
AAG02 BAG03 3 150
AAH02 BAH03 3 150
AAJ03 BAJ03 3 150
AAK03 BAK03 3 150
AAM03 BAM03 3 150
AAN03 BAN02 4 100
ABQ02 BBQ02 2 250
ABU02 BBU02 2 250
ACQ02 BCQ02 2 250
AMM03 BMM03 3 150
AMZ02 BMZ02 2 250
AZZ02 BZZ02 2 250


The futures scan ranges that establish maximum short option margin for Heating Oil Calendar spread options are:

Regular Option Symbol
Synthetic Futures Symbol
Intra-Commodity Spread Tier
Scan Range
FAQ02 GAQ02 2 250
FAU02 GAU02 2 250
FAV02 GAV02 2 250
FAX02 GAX02 2 250
FAZ02 GAZ02 2 250
FAF03 GAF03 3 150
FAG03 GAG03 3 150
FAH03 GAH03 3 150
FAJ03 GAJ03 3 150
FAK03 GAK03 3 150
FAM03 GAM03 3 150
FAN03 GAN03 4 100
FBQ02 GBQ02 2 250
FBU02 GBU02 2 250
FCQ02 GCQ02 2 250


The futures scan ranges that establish maximum short option margin for Unleaded Gasoline Calendar Spread options are:

Regular Option Symbol
Synthetic Futures Symbol
Intra-Commodity Spread Tier
Scan Range
YAQ02 EAQ02 2 300
YAU02 EAU02 2 300
YAV02 EAV02 2 300
YAX02 EAX02 2 300
YAZ02 EAZ02 2 300
YAF03 EAF03 3 200
YAG03 EAG03 3 200
YAH03 EAH03 3 200
YAJ03 EAJ03 3 200
YAK03 EAK03 3 200
YAM03 EAM03 3 200
YAN03 EAN03 4 100
YBQ02 EBQ02 2 300
YBU02 EBU02 2 300
YCQ02 ECQ02 2 300


The futures scan ranges that establish maximum short option margin for Natural Gas Calendar Spread options are:

Regular Option Symbol
Synthetic Futures Symbol
Intra-Commodity Spread Tier
Scan Range
IAQ02 DAQ02 2 250
IAU02 DAU02 3 250
IAV02 DAV02 3 250
IAX02 DAX02 3 250
IAZ02 DAZ02 3 250
IAF03 DAF03 4 250
IAG03 DAG03 4 250
IAH03 DAH03 4 250
IAJ03 DAJ03 4 250
IAK03 DAK03 4 250
IAM03 DAM03 4 250
IAN03 DAN03 5 100
IBQ02 DBQ02 2 250
IBU02 DBU02 3 250
ICQ02 DCQ02 2 250


The scan parameters for NYMEX Division calendar spread options are:

Commodity Volatility Scan Range Volatility Weight Factor Extreme Move Value Extreme Move Coverage Short Option Minimum
WTI $0.70 0 3 0.33 $10
Brent $0.70 0 3 0.33 $10
Natural Gas $0.07 0 3 0.33 $10
Unleaded Gas $0.02 0 3 0.33 $10
Heating Oil $0.02 0 3 0.33 $10


Should you have any questions or require any further information, please contact
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com