03/05/2003
Effective Date: Thursday, March 6, 2003 (close of business)
Products: WTI Light Sweet Crude Oil and Brent Calendar Spread Options
Currently the spot month for the above referenced contracts is April 2003. Accordingly, the futures scan ranges that establish maximum short option margin for WTI Crude Oil Calendar Spread options are:
|
Regular Option Symbol
|
Synthetic Futures Symbol
|
Intra-Commodity Spread Tier
|
Scan Range
|
|
WAJ03
|
CAJ03
|
1
|
400
|
|
WAK03
|
CAK03
|
2
|
250
|
|
WAM03
|
CAM03
|
2
|
250
|
|
WAN03
|
CAN03
|
2
|
250
|
|
WAQ03
|
CAQ03
|
2
|
250
|
|
WAU03
|
CAU03
|
2
|
250
|
|
WAV03
|
CAV03
|
3
|
150
|
|
WAX03
|
CAX03
|
3
|
150
|
|
WAZ03
|
CAZ03
|
3
|
150
|
|
WAF04
|
CAF04
|
3
|
150
|
|
WAG04
|
CAG04
|
3
|
150
|
|
WAH04
|
CAH04
|
3
|
150
|
|
WBJ03
|
CQJ03
|
1
|
400
|
|
WBK03
|
CQK03
|
2
|
250
|
|
WCJ03
|
CTJ03
|
1
|
400
|
|
WMM03
|
CVM03
|
2
|
250
|
|
WMZ03
|
CVZ03
|
3
|
150
|
|
WZZ03
|
CXZ03
|
3
|
150
|
Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or Joe Sanguedolce at (212) 299-2855. This notice supercedes all previous notices regarding NYMEX Division SPAN parameters for WTI Light Sweet Crude Oil Calendar Spread Option contracts.