12/09/2002
Specifically, the amendments lower the minimum quantity necessary for spread bids and offers to be protected from 200 to 100 lots. The ruIe also generally protects certain bids and offers that have been posted with the Exchange and remained available and unfilled for a specified time period. The amendments reduce the applicable time period for protected bids and offers to the final 20 minutes of trading.
These amendments shall go into effect on Wednesday, December 11, 2002.
(
6.52A Settlement Prices for Natural Gas Futures Contracts
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), 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. 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 100 contracts for outrights or