06/08/2007
Currently the spot month for the above referenced contract is July 2007. Accordingly, the futures scan ranges that establish maximum short option margin for Brent Crude Oil Calendar Spread options are:
Regular Option Symbol |
Synthetic Futures Symbol |
Intra-Commodity Spread Tier |
Scan Range |
AAN07 |
BDN07 |
1 |
400 |
AAQ07 |
BDQ07 |
2 |
250 |
AAU07 |
BDU07 |
2 |
250 |
AAV07 |
BDV07 |
2 |
250 |
AAX07 |
BDX07 |
2 |
250 |
AAZ07 |
BDZ07 |
3 |
150 |
AAF08 |
BDF08 |
3 |
150 |
AAG08 |
BDG08 |
3 |
150 |
AAH08 |
BDH08 |
3 |
150 |
AAJ08 |
BDJ08 |
3 |
150 |
AAK08 |
BDK08 |
3 |
150 |
AAM08 |
BDM08 |
3 |
150 |
ABN07 |
BFN07 |
1 |
400 |
ABQ07 |
BFQ07 |
2 |
250 |
ACN07 |
BJN07 |
1 |
400 |
AMZ07 |
BMZ07 |
3 |
150 |
AMM08 |
BMM08 |
3 |
150 |
AZZ07 |
BQZ07 |
3 |
150 |
The scan parameters for NYMEX Division Brent Crude Oil calendar spread options are:
Scan Parameters |
|||||
Commodity |
Volatility Scan Range |
Volatility Weight Factor |
Extreme Move Value |
Extreme Move Coverage |
Short Option Minimum |
Brent |
$0.70 |
0 |
3 |
0.33 |
$25.00 |