03/05/2003
Effective Date: Thursday, March 6, 2003 (close of business)
Products: Natural Gas Calendar Spread Options
Currently the spot month for the above referenced contract is April 2003. Accordingly, the futures scan ranges that establish maximum short option margin for Natural Gas Calendar Spread options are:
|
Regular OptionSymbol
|
Synthetic Futures Symbol
|
Intra-Commodity Spread Tier
|
Scan Range
|
|
IAJ03
|
DGJ03
|
1
|
2,000
|
|
IAK03
|
DGK03
|
2
|
2,000
|
|
IAM03
|
DGM03
|
3
|
500
|
|
IAN03
|
DGN03
|
3
|
500
|
|
IAQ03
|
DGQ03
|
3
|
500
|
|
IAU03
|
DGU03
|
3
|
500
|
|
IAV03
|
DGV03
|
4
|
250
|
|
IAX03
|
DGX03
|
4
|
250
|
|
IAZ03
|
DGZ03
|
4
|
250
|
|
IAF04
|
DGF04
|
4
|
250
|
|
IAG04
|
DGG04
|
4
|
250
|
|
IAH04
|
DGH04
|
4
|
250
|
|
IBJ03
|
DJJ03
|
1
|
2,000
|
|
IBK03
|
DJK03
|
2
|
2,000
|
|
ICJ03
|
DSJ03
|
1
|
2,000
|
|
IMM03
|
DMM03
|
3
|
500
|
|
IMZ03
|
DMZ03
|
4
|
250
|
|
IZZ03
|
DZZ03
|
4
|
250
|
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 Natural Gas Calendar Spread Option contracts.