03/05/2003
Effective Date: Thursday, March 6, 2003 (close of business)
Products: Heating Oil and Unleaded Gasoline 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 Heating Oil Calendar Spread options are:
|
Regular OptionSymbol
|
Synthetic Futures Symbol
|
Intra-Commodity Spread Tier
|
Scan Range
|
|
FAJ03
|
GHJ03
|
1
|
400
|
|
FAK03
|
GHK03
|
2
|
250
|
|
FAM03
|
GHM03
|
2
|
250
|
|
FAN03
|
GHN03
|
2
|
250
|
|
FAQ03
|
GHQ03
|
2
|
250
|
|
FAU03
|
GHU03
|
2
|
250
|
|
FAV03
|
GHV03
|
3
|
150
|
|
FAX03
|
GHX03
|
3
|
150
|
|
FAZ03
|
GHZ03
|
3
|
150
|
|
FAF04
|
GHF04
|
3
|
150
|
|
FAG04
|
GHG04
|
3
|
150
|
|
FAH04
|
GHH04
|
3
|
150
|
|
FBJ03
|
GKJ03
|
1
|
400
|
|
FBK03
|
GKK03
|
2
|
250
|
|
FCJ03
|
GMJ03
|
1
|
400
|
The futures scan ranges that establish maximum short option margin for Unleaded Gasoline Calendar Spread options are:
|
Regular OptionSymbol
|
Synthetic Futures Symbol
|
Intra-Commodity Spread Tier
|
Scan Range
|
|
YAJ03
|
EBJ03
|
1
|
500
|
|
YAK03
|
EBK03
|
2
|
300
|
|
YAM03
|
EBM03
|
2
|
300
|
|
YAN03
|
EBN03
|
2
|
300
|
|
YAQ03
|
EBQ03
|
2
|
300
|
|
YAU03
|
EBU03
|
2
|
300
|
|
YAV03
|
EBV03
|
3
|
200
|
|
YAX03
|
EBX03
|
3
|
200
|
|
YBJ03
|
EGJ03
|
1
|
500
|
|
YBK03
|
EGK03
|
2
|
300
|
|
YCJ03
|
EKJ03
|
1
|
500
|
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 Heating Oil and Unleaded Gasoline Calendar Spread Option contracts.