06/04/2008
Electronic Trading Volume as a Percentage of Contract Volume – 1st Quarter 2008
Member Notice No.217 disclosed Electronic Trading Volume as a Percentage of Contract Volume for each of the fiscal 2007 quarters. Electronic Trading Volume as a Percentage of Contract Volume for the 1st Quarter 2008, is as follows:
Year |
Quarter |
Trading Days |
Light Sweet Crude Oil (CL) |
Heating Oil (HO) |
RBOB Gasoline (RB) |
Natural Gas (NG) |
Platinum (PL) |
Palladium (PA) |
2008 |
Jan - Mar |
61 |
86.57% |
89.02% |
88.47% |
81.33% |
80.60% |
74.83% |
Calculating Contract Volume And Contract Volume Resulting From Electronic Trading For A NYMEX Division Product Pursuant To Exchange Bylaw Section 311(G)
To determine the contract volume for any NYMEX Division product, the Exchange took all contract volume for such product as is used by NYMEX Holdings, Inc. in its quarterly financial reports, including transactions submitted for clearing via NYMEX ClearPort® Clearing and all futures resulting from the exercise and assignment of options.
To determine the contract volume for a NYMEX Division product resulting from electronic trading, the Exchange took the published Globex physically settled volume for such product. In addition, as described in Notice No. 08-217 issued on April 23, 2008, for futures contracts resulting from the exercise or assignment of options, the Exchange does not presently have the means to identify whether a particular options position originated from a transaction on the floor or electronically. Accordingly, the Exchange apportioned such transactions on the basis of the percentage of options transactions executed on the floor versus electronically.
Thus, the quarterly percentage of contract volume for a NYMEX Division product resulting from electronic trading, pursuant to Bylaw Section 311(G), was calculated as follows:
| Numerator: | Add: |
Globex Physically Settled Volume |
and: |
"Allocated Portion of Futures Resulting From Exercise and Assignment From Options" (as calculated below) |
|
| Denominator: | Total Contract Volume | |
| Numerator/Denominator = | Percentage of Contract Volume Resulting From Electronic Trading |
The Allocated Portion of Futures Resulting From Exercise and Assignment From Options (used in the formula above) was determined as follows:
| Numerator: | Globex Physically Settled Options |
| Denominator: | Total Options Contract Volume |
| Numerator/Denominator = | Percentage of Options Electronically Traded |
| Multiply | Percentage of Options Electronically Traded |
| times | Total Futures Resulting From Exercises and Assignment |
| to determine | Allocated Portion of Futures Resulting From Exercise and Assignment From Options |
The above methodology was applied for each product by quarter to the regularly reported volume data for each product as demonstrated in the following tables:
