PB Requirement Changes -- Effective August 3, 2009 -- CME Energy Futures

FOR THE FULL TEXT OF THIS ADVISORY :
http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/ChAdv09-332.pdf
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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 the link above.