• 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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