• Performance Bond Requirement Changes - Effective Monday, November 3, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-303
      • Notice Date
      • 30 October 2008
      • Effective Date
      • 03 November 2008
    • 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 3rd, 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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