12/13/2007
Effective Date: Monday, December 17, 2007 (close of business)
Products: Options on Natural Gas Delivery Points (“Pipe Option”)
Currently NYMEX does not list for trading the underlying futures associated with the Natural Gas “Pipe” Options which will commence trading on December 17, 2007. Accordingly, the Exchange will create non tradable synthetic underlying futures contracts which will only be used to establish the scan range requirement and spread credits within the SPAN parameter file for the respective Natural Gas “Pipe” Options.
Please find below the non tradable synthetic underlying futures symbols and the corresponding options trading codes:
Option Name |
Option Trading Symbol |
Non Tradable Synthetic Underlying Futures Symbol |
PG& E Citygate "Pipe" Option |
CW |
|
Alberta "Pipe" Option |
PI |
XI |
Northern Rockies "Pipe" Option |
ZR |
XR |
Transco Zone 6 "Pipe" Option |
TZ |
XZ |
Chicago Citygate "Pipe" Option |
PY |
XO |
Houston Ship Channel "Pipe" Option |
PK |
XJ |
San Juan "Pipe" Option |
PJ |
XX |
SOCAL "Pipe" Option |
ZN |
XN |
Panhandle "Pipe" Option |
PU |
XH |
Margin rates for non tradable synthetic underlying futures (Used Only for Performance Bond) are:
NYMEX Division Margin Rates for Non Tradable Synthetic Underlying Futures of Natural Gas "Pipe" Options |
|||
Non Tradable Synthetic Underlying Futures |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
|
New |
New |
New |
XQ |
1200 |
1320 |
1620 |
XI |
1100 |
1210 |
1485 |
XR |
1100 |
1210 |
1485 |
XZ |
1700 |
1870 |
2295 |
XO |
1100 |
1210 |
1485 |
XJ |
1100 |
1210 |
1485 |
XX |
1100 |
1210 |
1485 |
XN |
1100 |
1210 |
1485 |
XH |
1100 |
1210 |
1485 |
Spread credits list for non tradable synthetic underlying futures (Used Only for Performance Bond):
Spread |
Priority |
Ratio |
% Credit |
NG:PC:XQ |
129 |
1:4:4 |
95 |
NG:NA:XI |
130 |
1:4:4 |
95 |
NG:NR:XR |
131 |
1:4:4 |
95 |
NG:NZ:XZ |
132 |
1:4:4 |
95 |
NG:NB:XO |
133 |
1:4:4 |
95 |
NG:NH:XJ |
134 |
1:4:4 |
95 |
NG:NJ:XX |
135 |
1:4:4 |
95 |
NG:NS:XN |
136 |
1:4:4 |
95 |
NG:PH:XH |
137 |
1:4:4 |
95 |
The SPAN parameters for Options on Natural Gas Delivery Points (“Pipe Option”) are:
Option Name |
Option Trading Symbol |
Volatility Scan Range |
Volatility Weight Factor |
Extreme Move Value |
Extreme Move Coverage |
Short Option Minimum |
PG& E Citygate "Pipe" Option |
CW |
3.5 |
0 |
3 |
0.33 |
$10.00 |
Alberta "Pipe" Option |
PI |
3.5 |
0 |
3 |
0.33 |
$10.00 |
Northern Rockies "Pipe" Option |
ZR |
3.5 |
0 |
3 |
0.33 |
$10.00 |
Transco Zone 6 "Pipe" Option |
TZ |
3.5 |
0 |
3 |
0.33 |
$10.00 |
Chicago Citygate "Pipe" Option |
PY |
3.5 |
0 |
3 |
0.33 |
$10.00 |
Houston Ship Channel "Pipe" Option |
PK |
3.5 |
0 |
3 |
0.33 |
$10.00 |
San Juan "Pipe" Option |
PJ |
3.5 |
0 |
3 |
0.33 |
$10.00 |
SOCAL "Pipe" Option |
ZN |
3.5 |
0 |
3 |
0.33 |
$10.00 |
Panhandle "Pipe" Option |
PU |
3.5 |
0 |
3 |
0.33 |
$10.00 |