Notice 598
November 24, 2008

Volatility Scan Range Changes

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As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the volatility scan range changes for the following products listed below. The rates are effective at the close of business on Tuesday, November 25th, 2008..

Volatility Scan Ranges*

Commodity Name	Old Scan Range	New Scan Range
Crude Oil Futures (CL)	3.50%	5%
WTI Calendar Swap Futures (CS)	2.50%	5%
Natural Gas Futures (NG)	3.50%	5%
Heating Oil Futures (HO)	3.50%	5%
NYMEX Heating Oil Calendar Swap Futures (MP)	2.50%	5%
RBOB Gas Futures (RB)	2.50%	5%
RBOB CALENDAR SWAP FUTURES (RL)	2.50%	5%
BRENT LAST DAY FUTURES (BZ)	3.50%	5%
(ICE) CALENDAR SWAP FUTURES (CY)	2.50%	5%
GASOIL BULLET SWAP FUTURES (BG)	3.50%	5%
GASOIL CALENDAR SWAP FUTURES (GX)	3.50%	5%

* The volatility scan range is the change in implied volatility that is used in Span’s scenario calculations of performance bond requirements. Span uses price and implied volatility changes as well as other factors to determine the appropriate performance bond amounts. This does not affect the outright futures margin requirement, but will generally impact portfolios that include options.

Should you have any questions or require any further information, please contact ExchangeInformation@cmegroup.com