• Performance Bond Requirement - NYMEX Short Option Minimum (SOM) Methodology Modification - Effective Monday, November 22, 2010

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 10-470
      • Notice Date
      • 19 November 2010
      • Effective Date
      • 22 November 2010
    •  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.
       
      Effective with the close of business on Monday, November 22, 2010, the following changes will apply.
       
      The method for calculating SOM charge for the following Nymex products will change based on the following:
       

       

      Current

      New

      SOM Charge Calculation

      Max (Short Calls, Short Puts) * SOM Rate

      (Short Calls + Short Puts) * SOM Rate

       

      This change will apply to the following Nymex products. Additionally, the following SOM rates will apply:

      Product Code
      Name
      Current SOM Rate
      New SOM Rate
      AO
      LIGHT SWEET CRUDE APO
      $60
      $30
      CD
      DAILY CRUDE OIL OPTIONS
      $60
      $30
      LC
      WTI LOOK-ALIKE OPTIONS
      $60
      $30
      LO
      LIGHT, SWEET CRUDE OIL OPTION
      $60
      $30
      WA
      WEST TEXAS INTERMEDIATE 1 MONTH CSO
      $ 80
      $40
      WB
      WEST TEXAS INTERMEDIATE 2 MONTH CSO
      $ 80
      $ 40
      WC
      WEST TEXAS INTERMEDIATE 3 MONTH CSO
      $ 80
      $ 40
      WM
      WEST TEXAS INTERMEDIATE 6 MONTH CSO
      $ 80
      $ 40
      WZ
      WEST TEXAS INTERMEDIATE 12 MONTH CSO
      $ 80
      $ 40
      7A
      WTI CRUDE OIL 1 MONTH CSO FINANCIAL
      $ 100
      $40
      7B
      WTI CRUDE OIL 2 MONTH CSO FINANCIAL
      $20
      $40
      7C
      WTI CRUDE OIL 3 MONTH CSO FINANCIAL
      $ 20
      $ 40
      7M
      WTI CRUDE OIL 6 MONTH CSO FINANCIAL
      $ 20
      $ 40
      7Z
      WTI CRUDE OIL 12 MONTH CSO FINANCIAL
      $20
      $40

       

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