11/21/2006
RBOB European "Look-Alike" Options:
Trading Unit: On expiration of a call option, the value will be the cash difference between the settlement price of the underlying NYMEX New York Harbor Gasoline Blendstock Futures Contract and the strike price multiplied by 42,000 Gallons, or zero, whichever is greater. On exercise of a put option, the value will be the difference between the strike price and the settlement price of the underlying NYMEX New York Harbor Gasoline Blendstock Futures Contract multiplied by 42,000 Gallons, or zero, whichever is greater.
Venue: ClearPort® Clearing and NYMEX Trading Floor, where open outcry trading is conducted from 10:05AM to 2:30PM, New York time.
Exercise Style: The option is European style and will be able to be exercised on Expiration Day
Option Months to be Traded: There will be an option for each month that an underlying futures is listed. First month is January 2007.
Strike Price Intervals:
Twenty strike prices in $0.01 per gallon increments above and below the at-the-money strike price, and the next 10 strike prices in $0.05 increments above the highest and below the lowest existing strike prices for a total of at least 51 strike prices. The at-the-money strike price is the nearest to the previous day’s close of the underlying futures contract (RB).
Expiration Date: Three business days before expiration of underlying (RB) contract.
Ticker Symbol: RF
Margins: Margins are required for open short options positions. The margins will be based on SPAN® system.
RBOB Average Price Options:
Trading Unit: On expiration of a call option, the value will be the difference between the average daily settlement price during the calendar month of the first nearby NYMEX New York Harbor Gasoline Blendstock Futures Contract (RB) and the strike price multiplied by 42,000 gallons, or zero, whichever is greater. On expiration of a put option, the value will be the difference between the strike price and the average daily settlement price during the calendar month of the first nearby NYMEX New York Harbor Gasoline Blendstock Futures Contract multiplied by 42,000 gallons, or zero, whichever is greater.
Venue: ClearPort® Clearing and NYMEX Trading Floor, where open outcry trading is conducted from 10:05AM to 2:30PM, New York time.
Exercise Style: The option is European style and will be able to be financially settled on the close of business day on Expiration Day.
Option Months to be Traded: There will be an option for each month that an underlying RBOB Calendar Swap futures is listed.
Strike Price Intervals:
Twenty strike prices in $0.01 per gallon increments above and below the at-the-money strike price, and the next 10 strike prices in $0.05 increments above the highest and below the lowest existing strike prices for a total of at least 51 strike prices. The at-the-money strike price is the nearest to the previous day’s close of the underlying futures contract (RB).
Expiration Date: Last business day of the Calendar Month.
Ticker Symbol: RA
Margins: Margins are required for open short options positions. The margins will be based on SPAN® system.
RBOB Calendar Spread Options:
Trading Unit: A New York Harbor Gasoline Blendstock Calendar Spread Put Option contract traded on the Exchange represents an option to assume a short position in the first expiring New York Harbor Gasoline Blendstock Futures contract in the spread and a long position in the second expiring New York Harbor Gasoline Blendstock Futures contract in the spread traded on the Exchange. A Call Option represents an option to assume a long position in the first expiring New York Harbor Gasoline Blendstock Futures contract in the spread and a short position in the second expiring New York Harbor Gasoline Blendstock contract in the spread traded on the Exchange.
Venue: NYMEX Trading Floor, where open outcry trading is conducted from 10:05AM to 2:30PM, New York time.
Exercise Style: The option is American style and will be able to be exercised on the close of business day on or before Expiration Day.
Option Months to be Traded:
- 11 consecutive one month spreads beginning with the December 2006 – January 2007 spread through the October 2007 – November 2007 spread (Ticker Symbol ZA)
- 2 two month spreads including the December 2006 – February 2007 spread and the January 2007 – March 2007 spread (Ticker Symbol ZB)
- 1 three month spread between December 2006 and March 2007 (Ticker Symbol ZC)
- 6 six month spreads including December 2006 – June 2007, January 2007 – July 2007, February 2007 – August 2007, March 2007 – September 2007, April 2007 – October 2007, and May 2007 – November 2007 (Ticker Symbol ZM)
Expiration Date: The business day prior to the expiration day of first expiring the underlying crude (RB) contract.
Margins: Margins are required for open short options positions. The margins will be based on SPAN® system.
RBOB Crack Spread Options:
Trading Unit: A New York Harbor Blendstock (RBOB) Gasoline-Crude Oil spread put option contract traded on the Exchange represents an option to assume a short position in the underlying New York Harbor Gasoline Blendstock (RBOB) futures contract and a long position in the underlying light "sweet" crude oil futures contract traded on the Exchange. A call option represents an option to assume a long position in the underlying New York Harbor Gasoline Blendstock (RBOB) futures contract and a short position in the underlying light "sweet" Crude Oil futures contract traded on the Exchange.
Venue: NYMEX Trading Floor, where open outcry trading is conducted from 10:05AM to 2:30PM, New York time.
Exercise Style: The option is European style and will be able to be exercised on the close of business day on Expiration Day.
Option Months to be Traded: Initially January 2007 through November 2007.
Strike Price Intervals: An at-the-money strike price is determined by rounding the differential between the product leg and the crude oil leg to the nearest $0.25 interval. Five additional strikes are offered both above and below the established “at-the-money” strike price at $0.25 increments. Three additional out-of-the-money strike prices are added above and below those strikes at $1.00 intervals, and two additional strikes will be added above and below at $2.00 intervals.
Expiration Date: The business day prior to the expiration day of the underlying crude (CL) contract.
Margins: Margins are required for open short options positions. The margins will be based on SPAN® system.
The fees schedules for RBOB European “Look-Alike” Options and RBOB Average Price Options are as follows:
Floor Trade:
Member: $0.40
Non-Member $1.35
Blended $0.75
EOO:
Member: $0.40
Non-Member $1.35
Cash Settlement:
Member: $0.90
Non-Member $1.15
ClearPort® Clearing:
Member: $1.75
Non-Member $2.50
The fees schedules for RBOB Crack Spread Options and RBOB Calendar Spread Options are as follows:
Floor Trade:
Member: $0.40
Non-Member $1.35
Blended $0.75
EOO:
Member: $0.40
Non-Member $1.35
Exercise Fee:
Member: $0.40
Non-Member $0.85
Futures from Exercise/Assignment:
Member: $0.40
Non-Member $1.35