• Performance Bond Requirements - Agriculture, Crude Oil, Ehtanol, Natural Gas, Refined Products, and NGLs Inter-Commodity Spread Credits; Crude Oil, Electricity, Metals, Natural Gas, and Refined Products Volatility Scans - Effective Friday, July 1, 2011

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 11-229
      • Notice Date
      • 29 June 2011
      • Effective Date
      • 01 July 2011
    •  
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      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 will be effective after the close of business on Friday, July 01, 2011.

       
      Current rates as of:
       
      Wednesday, June 29, 2011.
       

       

      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.

       

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