The following changes that were scheduled to be implemented on Sunday, April 19, 2009,
have been cancelled.
Effective Sunday, April 19 (trade date Monday, April 20), the currently listed Energy Crack and Calendar Spread Options (CSO) will be modified to use the actual futures calendar spread as the indicated underlying; the synthetic futures will be delisted.
With this change, the Energy Crack and CSOs will be listed in the same way as the Eurodollar CSO. All calendar spread options on CME Globex will be consistent.
The following Energy Calendar Spreads Options will be impacted:
Contract Name Product Symbol Crude Oil 1 Month WAY RBOB 1 Month ZAY Heating Oil 1 Month FAY Natural Gas 1 Month IAY RBOB Crack Spread RXY Heating Oil Crack Spread CHY
The following table contains the synthetic futures symbols that will be delisted and the underlying spread symbols that will replace them.
Contract Name Delisted Synthetic Symbol Underlying Spread Symbol Crude Oil 1 Month CAY CA RBOB 1 Month ZIY ZI Heating Oil 1 Month GHY GH Natural Gas 1 Month DGY DG RBOB Crack Spread ZXY ZX Heating Oil Crack Spread HCY HC
These changes will be available for customer testing in the New Release environment Monday, April 6.
Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.