ChAdv09-339 - CME Group

PB Requirement Changes – Effective August 5th, 2009 – CME Energy Futures

- To
- Clearing Member Firms and Back Office Managers
- From
- CME Clearing
- #
- 09-339
- Notice Date
- 05 August 2009
- Effective Date
- 05 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.

CME Energy Futures Short Option Minimum Rates

Product	Clearing Code	Change	SOM Charge
Michigan Consolidated Gas Co. (MichCon) Basis (Platts IFERC) Option	4W	New	$70.00
Columbia Gas Transmission Corp. Appalachia (TCO) Basis (Platts IFERC) Option	5D	New	$70.00
Henry Hub Basis (Platts IFERC) Option	5E	New	$70.00
Houston Ship Channel Basis (Platts IFERC) Option	5F	New	$70.00
Natural Gas Pipeline Co. of America (NGPL) MidCon Basis Option	5G	New	$70.00
Natural Gas Pipeline Co. of America (NGPL) TexOk Basis Option	5H	New	$70.00
Northwest Pipeline, Rockies Basis Option	5I	New	$70.00
Panhandle Basis Option	5K	New	$70.00
SoCal Basis Option	5M	New	$70.00
Texas Eastern Zone M-3 Basis Option	5N	New	$70.00
Waha Basis Option	5O	New	$70.00

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