• PB Requirement Changes—Effective August 3, 2009—CME Energy Futures

      • To
      • Clearing Member Firms, Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-332
      • Notice Date
      • 03 August 2009
      • Effective Date
      • 03 August 2009

    • In this current advisory there are changes to the Short Option Minimum and/or the Volatility Scan Range.  Below are descriptions of what each change affects:

       

      -          The Short Option Minimum (SOM) is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios. The SOM charge per short calls or short puts is a percentage of the outright margin on one underlying futures contract.

       

      -          The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.

       

       

      For the full text of this advisory, please click here.

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