Notice to Members
Notice No. 543 12/02/2005
Increased Option Volatility Scan Ranges for Natural Gas, Crude Oil, Unleaded Gasoline, and Heating Oil Option Contract Margins
Please be advised that the Exchange will increase the Option Volatility Scan Ranges for Natural Gas (LN and ON), Crude Oil (LO and LC), Heating Oil (OH and LB), and Unleaded Gasoline (GO and LG) from 2.50% to 3.50% effective Friday, December 2, 2005. The Volatility Scan Range is used by the SPAN margin system to margin option contracts. For most of the 16 scenarios in SPAN, implied option volatility is assumed to change by a certain percentage. This percentage will increase from 2.5% to 3.5%. The effect of this change will be to increase margins on options, but the increase will vary for each option series. This change will not affect futures margins.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com