Notice to Members
Notice No. 403 08/02/2006
Launch a Five Month Calendar Spread Option on November 06-April 07 Natural Gas Inter-Month Spread (IE)
Please be advised that beginning Thursday, August 3rd, 2006 the Exchange will list for the first time a five month Calendar Spread Option on Natural Gas Futures. This will be on option on the spread between the November 2006 and April 2007 Natural Gas Futures. Below are the characteristics of the option: Trading Symbol: IEX6 Trading Unit: Buying a call on the five months Natural Gas Calendar Spread option contract will represent a long position in November 06 Natural Gas Futures contract month and a short position in April 07 Natural Gas Futures contract month. Buying a put will represent a short position in the November 06 Natural Gas Futures contract and a long position in the April 07 Natural Gas Futures contract month The Underlying Symbol: DE; this is a notional symbol for margin levels and not a tradable contract; it refers to the Synthetic Spread between November 2006 and April 2007 Natural Gas Futures. Underlying Margin Level: $4,250 Strike Price Intervals: Ten strike prices in increments of $0.01 (1¢) per mmBtu above and below the at-the-money strike price, and the next five strike prices in increments of $0.02 (2¢) per mmBtu above the highest and below the lowest existing strike prices for a total of at least 31 strike prices. Expiration Date: One Business Day prior to the Termination of November 2006 Natural Gas Futures Minimum Price Fluctuation: $0.001 (0.1¢) per mmBtu ($10.00 per contract). Fee Schedule: Day Trade: $.15 for members Overnight Trade: Member: $.40 Non-Member: $.85 EOO: Member: $.40 Non-Member: $.85 Option Exercise/Assignment: Member: $.40 Non-Member: $.85
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com