Due to the proximity of Hurricane Katrina to the Henry Hub natural gas delivery point in Louisiana, the Exchange wishes to remind market participants of its price fluctuation limit rules for energy contracts. All rules referenced below can be found in their entirety on the Exchange's online rulebook located at http://www.nymex.com/rule_main.aspx.
Henry Hub natural gas contract
As per Exchange rule 220.08A, section E, paragraph 1, there are no limits on price fluctuations on any contract months today, August 29, 2005, for the open outcry and NYMEX ACCESS® sessions, as today is the September 2005 natural gas futures termination day:
RTH and NYMEX ACCESS® Sessions on Last Three Trading Days. Notwithstanding the preceding sections of this rule, there shall be no limitations on price fluctuations for any Natural Gas futures contract month during RTH or NYMEX ACCESS® sessions of the final three trading days in the current delivery month.
Gasoline contract
As per Exchange rule 190.07A, section A, there is a price fluctuation limit of $0.25 per gallon above or below the previous day's settlement price for such contract month. Should trading be halted and price fluctuation limits expanded, price fluctuation limits also shall be expanded at that time for all other floor-traded NYMEX Division energy futures (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for New York Harbor gasoline futures contracts.
(B)(1) Triggering Event and Temporary Trading Halt. If a market for any contract month is traded or, is bid in the case of upward price moves or is offered in the case of downward price moves, for five (5) minutes consecutively at the upper or lower price limit, as applicable, then a Triggering Event will be deemed to have occurred.
(2) Except as otherwise provided in this rule, as a result of such Triggering Event, the market will be given notice immediately that the market will be halted immediately for a five (5) minute temporary trading halt in all contract months of that futures contract, the associated option contract and related futures contracts listed for trading on the NYMEX ClearPort(sm) Trading platform ("Temporary Trading Halt").
3) Expansion of Limits Following Temporary Trading Halt. Following the end of the 5-minute Temporary Trading Halt, the market shall reopen simultaneously in all contract months of this futures contract. When trading resumes, price fluctuation limits for each contract month, shall be expanded to $.50 per gallon above and below the previous day's settlement price for such contract month. In addition, price fluctuation limits also shall be expanded at that time for all other floor-traded NYMEX Division energy futures (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for New York Harbor Unleaded and/or Leaded Gasoline futures contracts.
(4) With the exception of the final fifteen minutes of the Regular Trading Hours session, in each instance in which a Triggering Event occurs a Temporary Trading Halt will commence as provided by subsections (1)-(3) above, and following each such Temporary Trading Halt, price fluctuation limits for each contract month shall be expanded by an additional $.25 per gallon above and below the previous day's settlement price for such contract month
NYMEX ACCESS®
(D) Application of Price Fluctuation Limits to NYMEX ACCESS®
(1) The limits described in this rule shall apply to trading on NYMEX ACCESS® except as provided by NYMEX Rule 6.56 (attached) provided however that a Triggering Event generating an immediate trading halt will occur whenever a limit price is merely touched in this futures contract and the trading halt will only be for such brief period of time as is necessary for staff to expand the limits in this futures contract.
(2) In addition, when trading resumes after such a brief trading halt occurs in this futures contract, price fluctuation limits also shall be expanded at that time for all other NYMEX Division energy futures listed on NYMEX ACCESS® (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for this futures contract.
(3) Accordingly, in the event that price fluctuation limits are expanded during a NYMEX ACCESS® trading session, the Regular Trading Hours session shall commence with the expanded price fluctuation limits in effect at the close of such NYMEX ACCESS® trading session.
Light sweet crude oil contract
As per Exchange rule 200.06A, section A, there is a price fluctuation limit of $10.00 per barrel above or below the previous day’s settlement price for such contract month. Should trading be halted and price fluctuation limits expanded, price fluctuation limits also shall be expanded at that time for all other floor-traded NYMEX Division energy futures (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for the light sweet crude oil futures contracts.
(A) Initial Price Fluctuation Limits for All Contract Months. At the commencement of each trading day, there shall be price fluctuation limits in effect for each contract month of this futures contract of $10.00 per barrel above or below the previous day’s settlement price for such contract month.
(B)(1) Triggering Event and Temporary Trading Halt. If a market for any contract month is traded or, is bid in the case of upward price moves or is offered in the case of downward price moves, for five (5) minutes consecutively at the upper or lower price limit, as applicable, then a Triggering Event will be deemed to have occurred.
(2) Except as otherwise provided in this rule, as a result of such Triggering Event, the market will be given notice immediately that the market will be halted immediately for a five (5) minute temporary trading halt in all contract months of that futures contract, the associated option contract and related futures contracts listed for trading on the NYMEX ClearPort(sm) Trading platform ("Temporary Trading Halt").
(3) Expansion of Limits Following Temporary Trading Halt. Following the end of the 5-minute Temporary Trading Halt, the market shall reopen simultaneously in all contract months of this futures contract. When trading resumes, price fluctuation limits for each contract month, shall be expanded to $20.00 per barrel above and below the previous day's settlement price for such contract month. In addition, price fluctuation limits also shall be expanded at that time for all other floor-traded NYMEX Division energy futures (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for Light Sweet Crude Oil futures contracts.
(4) With the exception of the final fifteen minutes of the Regular Trading Hours session, in each instance in which a Triggering Event occurs a Temporary Trading Halt will commence as provided by subsections (1)-(3) above, and following each such Temporary Trading Halt, price fluctuation limits for each contract month shall be expanded by an additional $10.00 per barrel above and below the previous day's settlement price for such contract month.
NYMEX ACCESS®
(D) Application of Price Fluctuation Limits to NYMEX ACCESS®
(1) The limits described in this rule shall apply to trading on NYMEX ACCESS®
except as provided by NYMEX Rule 6.56 provided however that a Triggering Event generating an immediate trading halt will occur whenever a limit price is merely touched in this futures contract and the trading halt will only be for such brief period of time as is necessary for staff to expand the limits in this futures contract.
(2) In addition, when trading resumes after such a brief trading halt occurs in this futures contract, price fluctuation limits also shall be expanded at that time for all other NYMEX Division energy futures listed on NYMEX ACCESS® (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for this futures contract.
(3) Accordingly, in the event that price fluctuation limits are expanded during a NYMEX ACCESS® trading session, the Regular Trading Hours session shall commence with the expanded price fluctuation limits in effect at the close of such NYMEX ACCESS® trading session.
Heating oil contract
As per Exchange rule 150.07A, section A, there is a price fluctuation limit of $0.25 per gallon above or below the previous day’s settlement price for such contract month. Should trading be halted and price fluctuation limits expanded, price fluctuation limits also shall be expanded at that time for all other floor-traded NYMEX Division energy futures (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for New York Harbor heating oil futures contracts.
(A) Initial Price Fluctuation Limits for All Contract Months. At the commencement of each trading day, there shall be price fluctuation limits in effect for each contract month of this futures contract of $.25 per gallon above or below the previous day’s settlement price for such contract month.
(B)(1) Triggering Event and Temporary Trading Halt. If a market for any contract month is traded or, is bid in the case of upward price moves or is offered in the case of downward price moves, for five (5) minutes consecutively at the upper or lower price limit, as applicable, then a Triggering Event will be deemed to have occurred.
(2) As a result of such Triggering Event, the market will be given notice immediately that the market will be halted immediately for a five (5) minute temporary trading halt in all contract months of that futures contract, the associated option contract and related futures contracts listed for trading on the NYMEX ClearPort(sm) Trading platform ("Temporary Trading Halt").
(3) Expansion of Limits Following Temporary Trading Halt. Following the end of the 5-minute Temporary Trading Halt, the market shall reopen simultaneously in all contract months of this futures contract. When trading resumes, price fluctuation limits for each contract month, shall be expanded to $.50 per gallon above and below the previous day’s settlement price for such contract month. In addition, price fluctuation limits also shall be expanded at that time for all other floor-traded NYMEX Division energy futures (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for New York Harbor Heating Oil futures contracts.
(4) With the exception of the final fifteen minutes of the Regular Trading Hours session, in each instance in which a Triggering Event occurs a Temporary Trading Halt will commence as provided by subsections (1)-(3) above, and following each such Temporary Trading Halt, price fluctuation limits for each contract month shall be expanded by an additional $.25 per gallon above and below the previous day’s settlement price for such contract month.
NYMEX ACCESS®
(D) Application of Price Fluctuation Limits to NYMEX ACCESS®
(1) The limits described in this rule shall apply to trading on NYMEX ACCESS®
except as provided by NYMEX Rule 6.56
provided however that a Triggering Event generating an immediate trading halt will occur whenever a limit price is merely touched in this futures contract and the trading halt will only be for such brief period of time as is necessary for staff to expand the limits in this futures contract.
(2) In addition, when trading resumes after such a brief trading halt occurs in this futures contract, price fluctuation limits also shall be expanded at that time for all other NYMEX Division energy futures listed on NYMEX ACCESS® (except for Natural Gas and Liquefied Propane Gas futures) as if a trading halt had occurred in such other contracts, notwithstanding that the Temporary Trading Halt occurred only for this futures contract.
(3) Accordingly, in the event that price fluctuation limits are expanded during a NYMEX ACCESS® trading session, the Regular Trading Hours session shall commence with the expanded price fluctuation limits in effect at the close of such NYMEX ACCESS® trading session.
Rule 6.56: Settlement Prices and Price Fluctuation Limits for NYMEX ACCESS®
(A) For purposes of determining price fluctuation limits during a NYMEX ACCESS® trading session, each delivery month for a futures or option contract that is currently listed for trading on NYMEX ACCESS® shall have a settlement price assigned to it on each day on which it is listed for trading, regardless of whether there has been any trading on that day or there is any open interest in that delivery month.
(B) For purposes of determining the Prices and Fluctuations and Special Price Fluctuation Limits that shall be applicable to transactions executed on NYMEX ACCESS® between 4:00 p.m. and 11:00 p.m. in a delivery month listed on NYMEX ACCESS® where the actual settlement price for a delivery month is not available in sufficient time prior to commencement of the NYMEX ACCESS® trading session, the procedures set forth in Sections (C) and (D) below shall govern in descending order of priority based upon the information that is available in sufficient time prior to commencement of the NYMEX ACCESS® trading session:
(C) NYMEX Division Contracts Traded on NYMEX ACCESS®.
If the actual settlement price for a delivery month of a contract has not been determined in sufficient time prior to commencement of the NYMEX ACCESS® trading session, a Notional Settlement Price shall be used as the basis for determining Prices and Fluctuations and Special Price Fluctuation Limits.
(1) NYMEX ACCESS® Price Limits Based on the Closing Range.
(a) If the closing range for a delivery month has been determined in sufficient time prior to commencement of the NYMEX ACCESS® trading session, the midpoint of the closing range shall serve as the a Notional Settlement Price.
(b) If the closing range for a delivery month has been determined and consists of only one price, that price shall serve as the a Notional Settlement Price.
(c) If the information specified in Subparagraphs (a) and (b) above is not available and a closing range is available for any other delivery month in that contract, then the Notional Settlement Price for that delivery month shall be determined as follows. Using the closing range of the nearest preceding delivery month, the Notional Settlement Price shall be determined by adding to (or subtracting from) the midpoint of such closing range, if available, or single closing price, the difference between the previous day's settlement price for that month and the previous day's settlement price for the delivery month in which no transactions occurred.
(2) NYMEX ACCESS® Price Limits Based on a Weighted Average Price. If the actual settlement price has not been determined and if the closing range is not available, if no transactions were executed during the closing period for a delivery month, and if no closing range is available for any other delivery month in the contract, then the Notional Settlement Price in that delivery month shall be the weighted average price (rounded to the nearest minimum fluctuation) of all outright transactions in such delivery month which occur during the fifty (50) minute period of the preceding Regular Trading Hours trading session from 1:00 p.m. to 1:50 p.m. (or as otherwise established for such purpose by the President or his designee in his sole discretion).
(3) NYMEX ACCESS® Price Limits Based on Spread Differentials. If the information specified in Subsection (2) above is not available, then the Notional Settlement Price in that delivery month shall be determined by adding to (or subtracting from) the average weighted price of the nearest preceding delivery month the difference between the previous day's settlement price for that month and the previous day's settlement price for the delivery month in which no transactions occurred.
(D) COMEX Division Contracts trading on NYMEX ACCESS®
(1) NYMEX ACCESS® Price Limits Based on the Closing Range. If the actual settlement price for a delivery month of a contract has not been determined in sufficient time prior to commencement of the NYMEX ACCESS® trading session, a Notional Settlement Price shall be used as the basis for determining Prices and Fluctuations and Special Price Fluctuation Limits.
(a) If the closing range for a delivery month has been determined in sufficient time prior to commencement of the NYMEX ACCESS® trading session, the midpoint of the closing range shall serve as the a Notional Settlement Price.
(b) If the closing range for a delivery month has been determined and consists of only one price, that price shall serve as the a Notional Settlement Price.
(2) NYMEX ACCESS® Price Limits Based upon the Last Reported Price (Active Month). If the actual settlement price has not been determined and if the closing range is not available or if no transactions were executed during the closing period for a delivery month, then the Notional Settlement Price in the active month shall be the last reported trade price for that contract occurring during the preceding Regular Trading Hours trading session.
(3) NYMEX ACCESS® Price Limits Based upon Spread Differentials (Other Months). If the actual settlement price has not been determined and the closing range is not available or no transactions were executed during the closing period for a delivery month, then the Notional Settlement Price for each delivery month other than the active month shall be determined for each such delivery month (the "other delivery month") by adding to (or subtracting from) the Notional Settlement Price for the active month, the spread differential between the other delivery month and the active month. The spread differential to be applied shall be based upon the previous day's settlement prices in outright transactions for those delivery months.
(E) Where an actual settlement price has not been determined in sufficient time prior to commencement of an NYMEX ACCESS® trading session and a Notional Settlement Price as set forth in subparagraph (C) or (D), as applicable, has been determined, the basic maximum price fluctuation limits and Special Price Fluctuation Limits for the period between 4:00 p.m. and 11:00 p.m. shall be established by using the Notional Settlement Price established pursuant to this rule in lieu of a settlement price and the applicable basic maximum and special price fluctuation limits shall be reduced by ten percent (10%) for price limits based upon a Notional Settlement Price determined pursuant to Subsections (C)(1) and (D)(1) and by one-third for price limits based upon a Notional Settlement Price determined pursuant to Subsections (C)(2), (C)(3), (D)(2) and (D)(3). These reduced price fluctuation limits shall be known as "Interim Price Fluctuation Limits".
(F) For those futures and options contracts for which a Notional Settlement Price has been established pursuant to this rule, the basic maximum price fluctuation limits and Special Price Fluctuation Limits based upon settlement prices determined in accordance with the procedures set forth in Rules 6.52, 6.53 and 6.55 as applicable shall be put in place automatically by the system when such settlement prices and Special Price Fluctuation Limits are available, and such Special Price Fluctuation Limits shall be applicable to the remainder of the trading session.
(G) Any transaction executed within the Interim Price Fluctuation Limits during the period that such limits are in effect shall be a valid trade, regardless of whether the trade price falls outside the price fluctuation limits based upon the actual settlement prices.
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