Below NYMEX Division SPAN parameters for Heating Oil and Unleaded Gasoline Calendar Spread Options are provided. These parameters are updated monthly upon spot month termination.
Effective Date: Thursday, December 7, 2002 (close of business)
Products: Heating Oil and Unleaded Gasoline Calendar Spread Options
Currently the spot month for the above referenced contracts is December 2002. Accordingly, the futures scan ranges that establish maximum short option margin for Heating Oil Calendar Spread options are:
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Regular Option Symbol |
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Synthetic Futures Symbol |
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Intra-Commodity Spread Tier |
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Scan Range |
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FAZ02 |
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GHZ02 |
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1 |
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400 |
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FAF03 |
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GHF03 |
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2 |
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250 |
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FAG03 |
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GHG03 |
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2 |
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250 |
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FAH03 |
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GHH03 |
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2 |
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250 |
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FAJ03 |
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GHJ03 |
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2 |
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250 |
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FAK03 |
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GHK03 |
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2 |
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250 |
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FAM03 |
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GHM03 |
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3 |
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150 |
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FAN03 |
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GHN03 |
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3 |
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150 |
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FAQ03 |
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GHQ03 |
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3 |
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150 |
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FAU03 |
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GHU03 |
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3 |
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150 |
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FAV03 |
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GHV03 |
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3 |
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150 |
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FAZ03 |
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GHZ03 |
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3 |
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150 |
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FBZ02 |
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GKZ02 |
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1 |
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400 |
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FBF03 |
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GKF03 |
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2 |
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250 |
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FCZ02 |
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GMZ02 |
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1 |
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400 |
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The futures scan ranges that establish maximum short option margin for Unleaded Gasoline Calendar Spread options are:
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Regular Option Symbol |
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Synthetic Futures Symbol |
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Intra-Commodity Spread Tier |
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Scan Range |
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YAZ02 |
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EBZ02 |
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1 |
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500 |
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YAF03 |
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EBF03 |
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2 |
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300 |
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YAG03 |
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EBG03 |
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2 |
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300 |
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YAH03 |
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EBH03 |
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2 |
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300 |
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YAJ03 |
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EBJ03 |
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2 |
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300 |
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YAK03 |
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YAK03 |
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3 |
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300 |
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YAM03 |
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EBM03 |
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2 |
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200 |
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YAN03 |
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EBN03 |
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3 |
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200 |
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YAQ03 |
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EBQ03 |
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3 |
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200 |
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YAU03 |
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EBU03 |
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3 |
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200 |
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YAV03 |
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EBV03 |
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3 |
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200 |
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YAZ03 |
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EBZ03 |
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3 |
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200 |
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YBZ02 |
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EGZ02 |
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1 |
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500 |
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YBF03 |
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EGF03 |
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2 |
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300 |
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YCZ02 |
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EKZ02 |
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1 |
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500 |
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This notice supercedes all previous notices regarding NYMEX Division SPAN parameters for Heating Oil and Unleaded Gasoline Calendar Spread Option contracts.
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