02/27/2004
Trading Unit: PJM Swap Options are exercised into the associated underlying futures contract month. For Call Options, exercise results in a long futures, while for Put Options, exercise results in a short position.
Exercise Style: The options will be able to be exercised on the close of business on any business day prior up to Expiration Day.
Option Months to be Traded: Consecutive monthly contracts beginning with the May 2004 Contract through December 2006. Thereafter, there will be consecutive months filling out the rest of the current calendar year plus all months of the succeeding two calendar years.
Strike Price Intervals: Strike Prices will be listed at a narrow $.50 interval at 20 above and below the at-the-money option and a wide interval of $1.00, 10 above the highest narrow interval and 10 below the lowest narrow interval.
Expiration Date: Second to last business day prior to the underlying futures month.