Notice to Members
Notice No. 158
03/28/2008
Interest Rate Policy for NYMEX/COMEX Option Settlements
Beginning on Tuesday, April 1, 2008, the New York Mercantile Exchange, Inc. will modify its option settlement procedures in terms of the interest rates used in determining fair value. Beginning that day, each expiration month will utilize an interest rate derived from the London InterBank Offer Rate (LIBOR) from the close of the previous day. Therefore beginning that day, the settlement procedure will combine volatility inputs from the Exchange Settlement Committees along with the new interest curve ,which will be updated daily, to establish settlement prices from standard option pricing models.

For example, for settlements on March 28, 2008, LIBOR interest rates from March 27th would be used as follows:

Date
Libor
8-Apr
2.71%
8-May
2.70%
8-Jun
2.70%
8-Jul
2.67%
8-Aug
2.65%
8-Sep
2.63%
8-Oct
2.60%
8-Nov
2.57%
8-Dec
2.55%
9-Jan
2.54%
9-Feb
2.53%
9-Mar
2.52%
9-Apr
2.34%
9-May
2.35%
9-Jun
2.37%
9-Jul
2.37%
9-Aug
2.39%
9-Sep
2.42%
9-Oct
2.42%
9-Nov
2.45%
9-Dec
2.49%
10-Jan
2.49%
10-Feb
2.52%
10-Mar
2.57%
10-Apr
2.57%
10-May
2.60%
10-Jun
2.66%
10-Jul
2.66%
10-Aug
2.69%
10-Sep
2.75%
10-Oct
2.75%
10-Nov
2.77%
10-Dec
2.82%
11-Jan
2.82%
11-Feb
2.84%
11-Mar
2.89%
11-Apr
2.89%
11-May
2.92%
11-Jun
2.97%
11-Jul
2.97%
11-Aug
3.00%
11-Sep
3.08%
11-Oct
3.08%
11-Nov
3.10%
11-Dec
3.15%
12-Jan
3.15%
12-Feb
3.17%
12-Mar
3.22%
12-Apr
3.22%
12-May
3.24%
12-Jun
3.28%
12-Jul
3.28%
12-Aug
3.30%
12-Sep
3.35%
12-Oct
3.35%
12-Nov
3.37%
12-Dec
3.41%
13-Jan
3.41%
13-Feb
3.43%
13-Mar
3.47%
13-Apr
3.47%
13-May
3.49%
13-Jun
3.53%
13-Jul
3.53%
13-Aug
3.55%
13-Sep
3.59%
13-Oct
3.59%
13-Nov
3.65%
13-Dec
3.65%
14-Jun
3.77%
14-Dec
3.88%
15-Jun
3.99%
15-Dec
4.09%
16-Jun
4.19%
16-Dec
4.27%
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com