02/28/2008
Products: Brent American Style Option (OS), Brent "Look Alike" Option (BE), Brent Average Price Option (BA), WTI-Brent Crude Oil Spread Option (BV)
SPAN Parameters for New Brent
Option Contracts |
||||||
| Commodity Name | Option Trading Symbol |
Volatility Scan Range |
Volatility Weight Factor |
Extreme Move Value |
Extreme Move Coverage |
Short Option Minimum |
| Brent American Style Option | OS |
3.5 |
0 |
3 |
0.33 |
$25.00 |
| Brent "Look-Alike" Option | BE |
3.5 |
0 |
3 |
0.33 |
$25.00 |
| Brent Average Price Option | BA |
2.5 |
0 |
3 |
0.33 |
$25.00 |
| WTI-Brent Crude Oil Spread Option | BV |
2.5 |
0 |
3 |
0.33 |
$25.00 |