03/19/2004
Monday, March 22, 2004 (close of business)
Option Contracts:
Crude Oil, New York Harbor Heating Oil, New York Harbor Unleaded Gasoline, Natural Gas “Look-Alike” Contracts
Contract Months:
All Months
Please be advised that the Exchange will be establishing margin requirements and SPAN Parameters for its Clearport “Look-Alike” Crude Oil, Heating Oil, Unleaded Gasoline, and Natural Gas Option Contracts identically to their floor-based counterparts. Below are the SPAN parameters that will be used:
| Volatility Scan Range | Volatility Weight Factor | Extreme Move Value | Extreme Move Coverage | Short Option Minimum | |
| Crude Oil Option (LC) | 2.50% | 0% | 3 | 33% | $10 |
| Heating Oil Option (LB) | 2.50% | 0% | 3 | 33% | $10 |
| Unleaded Gasoline (LG) | 2.50% | 0% | 3 | 33% | $10 |
| Natural Gas (LN) | 2.50% | 0% | 3 | 33% | $10 |
This notice supersedes all previous notices regarding margin rates and SPAN parameters for Crude Oil, Heating Oil, Unleaded Gasoline, and Natural Gas “Look-Alike” Option Contracts.