08/14/2002
Crude Oil and the Products
TAS Volume
The amendments make clear that trading at settlement (TAS) volume in a contract month will be included in the closing range volume in order to calculate whether that month will be settled based upon weighted average. TAS volume will not be used to calculate the settlement price for that contract month.
Protecting Unfilled Executable Bids and Offers in Settlement
For crude, the amendments provide for a minimum order size of 100 contracts for outrights and 200 contracts for spreads. The quantities for the products stay the same (50 contracts for outrights or spreads).
Natural Gas
TAS Volume
(same as above.)
Protecting Unfilled Executable Bids and Offers in Settlement
The minimum order size is increased from 30 to 100 contracts for outrights and to 200 contracts for spreads.
Consideration of Strips and Strip Spreads
Strips and strip spreads may be considered in the settlement process for Natural Gas, but only if there is no data for outright or spread transactions.
Other Amendments
The settlement rules for crude oil, the products, natural gas and propane are also being amended to clarify the handling of price spikes during the closing range. Finally, the electricity futures settlement rule is being deleted because these contracts are no longer listed for trading on the Exchange.
(Bold indicates additions and strikeouts indicate deletions).
Rule 6.52 SETTLEMENT PRICES FOR CRUDE OIL, HEATING OIL AND GASOLINE FUTURES CONTRACTS
(A) For crude oil, heating oil or gasoline futures contracts, except for Brent crude oil futures, the settlement price for each delivery month that: (1) as of the opening of business for that day has more than ten percent (10%) of the total open interest for all delivery months of the futures contract and (2) for which 10% of the closing range volume in that commodity is done in that delivery month (excluding, for the purposes of this calculation volume done during the closing range on the last day of trading in an expiring contract), shall be the weighted average price (rounded to the nearest minimum fluctuation) of all outright transactions in that delivery month which occur in the closing range. (3) Additionally, TAS volume, if applicable, shall be included as closing range volume for the purpose of item (2) above, to determine percentage of closing range volume in a delivery month. TAS volume shall not be used to calculate settlement.
(B) In all other delivery months for such futures contracts that do not satisfy the open interest and volume criteria set forth in paragraph (A), the settlement price shall be determined based upon spread relationships between and among contract months, which relationships shall be determined in the judgement of the Settlement Price Committee with: (a) greatest weight given to spreads executed late in the trading day in large volumes, and (b) lesser weight given to (i) spreads traded in lesser volumes, (ii) spread bids and offers actively represented late in the trading day, and (iii) spread transactions, bids and offers from earlier in the trading day, provided that, in any circumstance where the Committee is considering bids and offers for spreads, it shall consider the mid-point of the best bid and best offer and not the individual best bid or best offer;
[The balance of Rule 6.52 remains the same.]
Rule 6.52A SETTLEMENT PRICES FOR NATURAL GAS FUTURES CONTRACTS
(A) For each natural gas futures contract, the settlement price for each delivery month that: (1) as of the opening of business for that day has more than ten percent (10%) of the total open interest for all delivery months of the futures contract and (2) for which 10% of the closing range volume in that commodity is done in that delivery month (excluding, for the purposes of this calculation volume done during the closing range on the last day of trading in an expiring contract), shall be the weighted average price (rounded to the nearest minimum fluctuation) of all outright transactions in that delivery month which occur in the closing range. (3) Additionally, TAS volume, if applicable, shall be included as closing range volume for the purpose of item (2) above, to determine percentage of closing range volume in a delivery month. TAS volume shall not be used to calculate settlement.
(B) In all other delivery months for such futures contracts that do not satisfy the open interest and volume criteria set forth in paragraph (A) above, the settlement price shall be determined based upon spread relationships between and among contract months, which relationships shall be determined in the judgement of the Settlement Price Committee with: (a) greatest weight given to spreads executed late in the trading day in large volumes, and (b) lesser weight given to (i) spreads traded in lesser volumes, (ii) spread bids and offers actively represented late in the trading day, and (iii) spread transactions, bids and offers from earlier in the trading day. In the absence of any outright or spread data for a particular contract month, the Settlement Price Committee also may consider intracommodity strip transactions, bids and offers with greater weight given to intracommodity strip transactions and lesser weight given to intracommodity strip spread transactions. Notwithstanding the foregoing, no settlement price shall be established that would be lower than the best bid, or higher than the best offer that: (a) was for at least
[The balance of Rule 6.52A remains the same.]
Rule 6.52B. SETTLEMENT PRICES FOR PROPANE GAS CONTRACTS
(B) In all other delivery months for such futures contracts that do not satisfy the open interest and volume criteria set forth in paragraph (A) above, the settlement price shall be determined based upon spread relationships between and among contract months, which relationships shall be determined in the judgment of the Settlement Price Committee with: (a) greatest weight given to spreads executed late in the trading day in large volumes, and (b) lesser weight given to (i) spreads traded in lesser volumes, (ii) spread bids and offers actively represented late in the trading day, and (iii) spread transactions, bids and offers from earlier in the trading day.
[The balance of Rule 6.52B remains the same.]
(A) For each electricity futures contract, the settlement price for each delivery month that: (1) as of the opening of business for that day has more than ten percent (10%) of the total open interest for all delivery months of the futures contracts, and (2) for which ten percent (10%) of the closing range volume in that commodity is done in that delivery month (excluding, for the purposes of this calculation, volume done during the closing range on the last day of trading in an expiring contract), shall be the weighted average price (rounded to the nearest minimum fluctuation) of all outright transactions in that delivery month which occur in the closing range.
(B) In all other delivery months for such futures contracts, the settlement price shall be determined based upon spread relationships between and among contract months, which relationships shall be determined in the judgement of the Settlement Price Committee with: (a) greatest weight given to spreads executed late in the trading day in large volumes, and (b) lesser weight given to (i) spreads traded in lesser volumes, (ii) spread bids and offers actively represented late in the trading day, and (iii) spread transactions, bids and offers from earlier in the trading day. Additionally, types of spread transactions shall be weighted as follows in descending order of importance: (i) intracommodity spreads, bids and offers between adjacent months; (ii) intracommodity spreads, bids and offers between non-adjacent months; (iii) intercommodity spreads, bids and offers; and (iv) intracommodity strip transactions, bids and offers. In any circumstance where the Committee is considering bids and offers for spreads, it shall consider the mid-point of the best bid and best offer and not the individual best bid or best offer; provided, however, that in the event of a "price spike in the closing range" in any contract month satisfying the open interest and volume criteria set forth in paragraph (A), the Settlement Price Committee may disregard the settlement price for such contract month in considering spread relationships pursuant to this paragraph. For the purpose of this rule, a "price spike in the closing range" shall have occurred if, in the sole discretion of the Settlement Price Committee, a significant change in the spread relationships between the potentially "spiked month" and the contract months immediately preceding and following such month occurred during the closing range. Notwithstanding the foregoing, no settlement price shall be established that would be lower than the best bid or higher than the best offer that: (a) was for at least five (5) contracts, and (b) had been posted with the Exchange and remained available for execution and unfilled for the final 30 minutes of trading.
(C) If any settlement price, determined pursuant to paragraphs (A) or (B), is inconsistent with transactions that occurred during the closing range in other delivery months of the same futures contract or with market information known to the Settlement Price Committee (including, but not limited to, (i) bids or offers for outright transactions and spreads that were unfilled during the closing range, (ii) bids, offers or transactions in strips, and (iii) outright transactions executed prior to the closing range), the Committee may establish a settlement price at a level consistent with such other transactions or market information, provided that, in any circumstances where the Committee is considering bids and offers for spreads, it shall consider the mid-point of the best bid and best offer and not the individual best bid or best offer. In such event, the Committee shall prepare a written record of the basis for any settlement price so established.
(D)In the event that the Settlement Price Committee establishes a settlement price in accordance with paragraph (C) of this Rule, determines that a "price spike in the closing range" occurred, in accordance with paragraph (B) of this Rule, or fails to determine a settlement price by unanimous agreement of the Members designated by the Chairman to establish settlement prices pursuant to Rule 6.51. The Committee shall prepare a written record of the basis upon which it established such settlement price.