Below NYMEX Division SPAN parameters for WTI Light Sweet Crude Oil and Brent Crude Oil Calendar Spread Options are provided. These parameters are updated monthly upon spot month termination.
Effective Date: Thursday, September 26, 2002 (close of business)
Products: WTI Light Sweet Crude Oil and Brent Calendar Spread Options
Currently the spot month for the above referenced contracts is November 2002. Accordingly, 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAX02 |
|
|
|
CAX02 |
|
|
|
1 |
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAZ02 |
|
|
|
CAZ02 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAF03 |
|
|
|
CAF03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAG03 |
|
|
|
CAG03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAH03 |
|
|
|
CAH03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAJ03 |
|
|
|
CAJ03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAK03 |
|
|
|
CAK03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAM03 |
|
|
|
CAM03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAN03 |
|
|
|
CAN03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAQ03 |
|
|
|
CAQ03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAU03 |
|
|
|
CAU03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WAV03 |
|
|
|
CAV03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBX02 |
|
|
|
CQX02 |
|
|
|
1 |
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WBZ02 |
|
|
|
CQZ02 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WCX02 |
|
|
|
CTX02 |
|
|
|
1 |
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WMM03 |
|
|
|
CVM03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WMZ02 |
|
|
|
CVZ02 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WZZ02 |
|
|
|
CXZ02 |
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAX02 |
|
|
|
BDX02 |
|
|
|
1 |
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAZ02 |
|
|
|
BDZ02 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAF03 |
|
|
|
BDF03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAG03 |
|
|
|
BDG03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAH03 |
|
|
|
BDH03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAJ03 |
|
|
|
BDJ03 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAK03 |
|
|
|
BDK03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAM03 |
|
|
|
BDM03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAN03 |
|
|
|
BDN03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAQ03 |
|
|
|
BDQ03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAU03 |
|
|
|
BDU03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAV03 |
|
|
|
BDV03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABX02 |
|
|
|
BFX02 |
|
|
|
1 |
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABZ02 |
|
|
|
BFZ02 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ACX02 |
|
|
|
BJX02 |
|
|
|
1 |
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMM03 |
|
|
|
BMM03 |
|
|
|
3 |
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMZ02 |
|
|
|
BMZ02 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AZZ02 |
|
|
|
BQZ02 |
|
|
|
2 |
|
|
|
250 |
|
|
|
|
|
|
|
|
|
|
|
|
This notice supercedes all previous notices regarding NYMEX Division SPAN parameters
for WTI Light Sweet Crude Oil and Brent Crude Oil Calendar Spread Option contracts.
|