Performance Bond (Margin) Advisory Notices
To | Clearing Membe Firms;Chief Financial Officers;Back Office Managers;Margin Managers
From | CME Clearing
Subject | Performance Bond Requirement Changes - Effective Monday, November 3, 2008
Notice Date | 2008-10-30
Notice Number | 08-303
Effective Date | 2008-11-03
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html and subscribe to the Performance Bond Rates Advisory Notices listserver. 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 performance bond requirements for the following products listed below. The rates are effective at the close of business on Monday, November 3 rd, 2008. SPAN PARAMETERS FOR European Style and Average Price Gasoil Options
SPAN Parameters for New Gasoil Related Options Contracts
Commodity Name | Option Trading Symbol | Volatility Scan Range | Volatility Weight Factor | Extreme Move Value | Extreme Move Coverage | Short Option Minimum
Average Price Gasoil Option | F7 | 3.5 | 0 | 3 | 0.33 | $50.00
European Style Gasoil Option | F8 | 3.5 | 0 | 3 | 0.33 | $50.00
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