5/13/2002
The amendments change the strike price increments per troy ounce of silver during the first six nearby trading months as follows:
(A) for strike prices of less than or equal to eight dollars, strike price increments of $0.10 would be added to the current $0.25 strike price increments;
(B) for strike prices greater than eight dollars, and up to and including fifteen dollars, the strike price increments would be reduced from $0.50 to $0.25; and
(C) for strike prices greater than fifteen dollars, the strike price increments would be reduced from $1.00 to $0.50.
In addition, for newly listed options in the January expiration cycle, when the strike price is less than or equal to eight dollars, the number of listed options above and below the previous days settlement price would be six strike prices which are in increments of $0.10 and six strike prices which are in increments of $0.25.
AMENDMENTS TO COMEX RULE 16.03
(Underlining represents added language, bracketing [ ] represents deleted language.)
Rule 16.03 - Strike Prices for Silver Futures Options
(a) February and January Expiration Cycles
(1) Strike prices for silver futures options shall be in the following increments per troy ounce of silver during the six nearby trading months:
(A) for strike prices of less than or equal to eight dollars, the strike price increments are $0.25 and $0.10;
(B) for strike prices greater than eight dollars, and up to and including fifteen dollars, the strike price increments are [$0.50] $0.25; and
(C) for strike prices greater than fifteen dollars, the strike price increments are [$1.00] $0.50.
(2) Strike prices for silver futures options shall be in the following increments per troy ounce of silver for all other months than the nearest six.
(A) for strike prices of less than or equal to eight dollars, the strike price increments are $0.25;
(B) for strike prices greater than eight dollars, and up to and including fifteen dollars, the strike price increments are $0.50; and
(C) for strike prices greater than fifteen dollars, the strike price increments are $1.00.
[(2)] (3) Trading in puts and calls on the first day of a new option contract month in the February expiration cycle shall be at the following thirteen strike prices: (I) the previous day's settlement price for silver futures contracts in the corresponding delivery month rounded off to the nearest strike price unless such settlement price is precisely midway between two strike prices, in which case it shall be rounded off to the higher price and (II) the six strike prices which are the six increments higher than the strike price described in (I) of this Rule 16.03[(2)] (3) and (III) the six strike prices which are the six increments lower than the strike price described in (I) of this Rule 16.03[(2)] (3).
[(3)] (4) (a) Trading in puts and calls on the first day of a new option contract month in the January expiration cycle shall be at the following strike prices; provided however, that the strike price is less than or equal to eight dollars: (i) the previous day's settlement price for silver futures contracts in the corresponding delivery month rounded off to the nearest strike price unless such settlement price is precisely midway between two strike prices, in which case it shall be rounded off to the higher price and (II) the six strike prices which are in increments of $0.10 and the six strike prices which are in increments of $0.25 higher than the strike price described in (I) of this Rule 16.03(4) and (III) the six strike prices which are in increments of $0.10 and the strike prices which are in increments of $0.25 lower than the strike price described in (I) of this Rule 16.03(4).
(b) In the event that strike prices are greater than eight dollars, trading in puts and calls on the first day of a new option contract month in the January expiration cycle shall be at the following thirteen strike prices with strike price increments determined pursuant to Rule 16.03(1)(B) and (C): (I) the previous day's settlement price for silver futures contracts in the corresponding delivery month rounded off to the nearest strike price unless such settlement price is precisely midway between two strike prices, in which case it shall be rounded off to the higher price and (II) the six strike prices which are the six increments higher than the strike price described in (I) of this Rule 16.03(4)(b) and (III) the six strike prices which are the six increments lower than the strike price described in (I) of this Rule 16.03(4)(b).
[(4)](5) Whenever the settlement price for silver futures contracts in the delivery month corresponding to an option contract month is equal to or greater than (I) the seventh highest strike price for that option contract month plus (II) one-half the increment between the seventh highest strike price and the sixth highest strike price, one or more new strike prices for both puts and calls shall be introduced on the following business day, on the increments set forth in paragraph (a) above, so that at all times there will be at least six strike prices above the at-the-money strike price.
[(5)] (6) Whenever the settlement price for silver futures contracts in the delivery month corresponding to an option contract month is less than (I) the seventh lowest strike price for that option contract month minus (II) one-half the increment between the seventh lowest strike price and the sixth lowest strike price, one or more new strike prices for both puts and calls shall be introduced on the following business day, on the increments set forth in paragraph (a) above, so that at all times there will be at least six strike prices below the at-the-money strike price.
[(6)] (7) No new strike prices shall be introduced in the option contract month of the silver futures options next due to expire after the third business day prior to the Expiration Date for such futures options.
(b) Notwithstanding the provisions of section (a) of this Rule 16.03, if the Board determines that trading in silver futures options will be facilitated thereby, the Board may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the price of the silver futures contract at which a new strike price will be introduced, or the period preceding the expiration of a silver futures option in which no new strike prices may be introduced. (Rule 16.03 Amended 01/01/97).