Minimum Tick Increment Change for Nine NYMEX Option Products - Effective Beginning Trade Date December 13, 2010

Please be advised that the minimum tick increment for nine NYMEX option products will be changed from 0.001 to 0.0001 after Friday night’s processing cycle.  With this change and starting trade date Monday, December 13, 2010 the new minimum tick increment will become effective.  Your trading and/or bookkeeping software may need to be updated if you trade these products.

The minimum tick increment for the underlying futures will not change.

Below is a list of the clearing codes for the NYMEX products that will be affected.

PRODUCT                                            CODE   FROM               TO

PGE Citygate Option                             CW       0.001                0.0001

Northern Rockies “Pipe” Option              ZR        0.001                0.0001

Transco Zone 6 “Pipe” Option                TZ        0.001                0.0001

Chicago City Gate “Pipe” Option                        PY        0.001                0.0001

Houston Ship Channel “Pipe” Option      PK        0.001                0.0001

San Juan “Pipe” Option                          PJ        0.001                0.0001

SOCAL “Pipe” Option                            ZN        0.001                0.0001

Panhandle “Pipe” Option                        PU        0.001                0.0001

Daily Natural Gas Option                       KD       0.001                0.0001

Please note:  If you use the positional (“fixed-format”) settlement price file or the SPAN “.pa2” file to update settlement prices in your systems, you may need to make adjustments for these contracts.  The price will have one more level of precision (making it look 10 times larger) and the Settlement Price Decimal Price Locators in the SPAN file will change from 3 to 4.

Additionally, if you use the FIXML Settlement Price File, you will notice that while the price may go to a higher level of precision, the decimal will still be located in the same place currently displayed.

These changes are in effect now in the CME New Release Environment.  Sample SPAN files are available at ftp.cmegroup.com/pub/span/cme/nr.  If you would like a sample New Release settlement price file, please contact us.

If you have questions regarding this Advisory, please contact Clearing Customer Support (CCS) at 312-207-2525, or CCS@cmegroup.com

For the full text of this advisory, please click here.