12/06/2002
Effective Date: Friday, December 6, 2002 (close of business)
Products: Heating Oil and Unleaded Gasoline Calendar Spread Options
Currently the spot month for the above referenced contracts is January 2003. Accordingly, 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 |
FAF03 |
GHF03 |
1 |
400 |
FAG03 |
GHG03 |
2 |
250 |
FAH03 |
GHH03 |
2 |
250 |
FAJ03 |
GHJ03 |
2 |
250 |
FAK03 |
GHK03 |
2 |
250 |
FAM03 |
GHM03 |
2 |
250 |
FAN03 |
GHN03 |
3 |
150 |
FAQ03 |
GHQ03 |
3 |
150 |
FAU03 |
GHU03 |
3 |
150 |
FAV03 |
GHV03 |
3 |
150 |
FAX03 |
GHX03 |
3 |
150 |
FAZ03 |
GHZ03 |
3 |
150 |
FBF03 |
GKF03 |
1 |
400 |
FBG03 |
GKG03 |
2 |
250 |
FCF03 |
GMF03 |
1 |
400 |
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 |
YAF03 |
EBF03 |
1 |
500 |
YAG03 |
EBG03 |
2 |
300 |
YAH03 |
EBH03 |
2 |
300 |
YAJ03 |
EBJ03 |
2 |
300 |
YAK03 |
EBK03 |
2 |
300 |
YAM03 |
EBM03 |
2 |
300 |
YAN03 |
EBN03 |
3 |
200 |
YAQ03 |
EBQ03 |
3 |
200 |
YAU03 |
EBU03 |
3 |
200 |
YAV03 |
EBV03 |
3 |
200 |
YAX03 |
EBX03 |
3 |
200 |
YAZ03 |
EBZ03 |
3 |
200 |
YBF03 |
EGF03 |
1 |
500 |
YBG03 |
EGG03 |
2 |
300 |
YCF03 |
EKF03 |
1 |
500 |