Below NYMEX Division SPAN parameters for WTI Light Sweet Crude Oil and Brent Crude Oil Calendar Spread Options are provided. These parameters are updated monthly upon spot month termination.
| Regular Option Symbol |
Synthetic Futures Symbol |
Intra-Commodity Spread Tier |
Scan Range |
| WAH03 |
CAH03 |
1 |
400 |
| WAJ03 |
CAJ03 |
2 |
250 |
| WAK03 |
CAK03 |
2 |
250 |
| WAM03 |
CAM03 |
2 |
250 |
| WAN03 |
CAN03 |
2 |
250 |
| WAQ03 |
CAQ03 |
2 |
250 |
| WAU03 |
CAU03 |
3 |
150 |
| WAV03 |
CAV03 |
3 |
150 |
| WAX03 |
CAX03 |
3 |
150 |
| WAZ03 |
CAZ03 |
3 |
150 |
| WAF04 |
CAF04 |
3 |
150 |
| WAG04 |
CAG04 |
3 |
150 |
| WBH03 |
CQH03 |
1 |
400 |
| WBJ03 |
CQJ03 |
2 |
250 |
| WCH03 |
CTH03 |
1 |
400 |
| WMM03 |
CVM03 |
2 |
250 |
| WMZ03 |
CVZ03 |
3 |
150 |
| WZZ03 |
CXZ03 |
3 |
150 |
The futures scan ranges that establish maximum short option margin for Brent Crude Oil Calendar Spread options are:
| Regular Option Symbol |
Synthetic Futures Symbol |
Intra-Commodity Spread Tier |
Scan Range |
| AAH03 |
BDH03 |
1 |
400 |
| AAJ03 |
BDJ03 |
2 |
250 |
| AAK03 |
BDK03 |
2 |
250 |
| AAM03 |
BDM03 |
2 |
250 |
| AAN03 |
BDN03 |
2 |
250 |
| AAQ03 |
BDQ03 |
2 |
250 |
| AAU03 |
BDU03 |
3 |
150 |
| AAV03 |
BDV03 |
3 |
150 |
| AAX03 |
BDX03 |
3 |
150 |
| AAZ03 |
BDZ03 |
3 |
150 |
| AAF04 |
BDF04 |
3 |
150 |
| ABH03 |
BFH03 |
1 |
400 |
| ABJ03 |
BFJ03 |
2 |
250 |
| ACH03 |
BJH03 |
1 |
400 |
| AMM03 |
BMM03 |
2 |
250 |
| AMZ03 |
BMZ03 |
3 |
150 |
| AZZ03 |
BQZ03 |
3 |
150 |
This notice supercedes all previous notices regarding NYMEX Division SPAN parameters for WTI Light Sweet Crude Oil and Brent Crude Oil Calendar Spread Option contracts. |
