Effective, November 9, 2009, CME Group will no longer disseminate settlement prices for NYMEX Synthetic Underlying Futures for Complex Spread Options (CSO’s). Currently, settlements prices for the Synthetic Underlying Futures for Complex Spread Options are disseminated as a Futures Settlement message (FQ) utilizing the corresponding option symbol.
The table below is a list of the current Complex Spread Options symbols used to disseminate the Synthetic Underlying Futures.
Ticker Symbol |
Product Name |
Ticker Symbol |
Product Name |
AA |
Brent Crude Oil 1 Month CSO |
G4 |
Natural Gas Calendar Spread Financially Settled Option Contract 1 Month |
AB |
Brent Crude Oil 2 Month CSO |
G7 |
Natural Gas Calendar Spread Financially Settled Option Contract 12 Month |
AC |
Brent Crude Oil 3 Month CSO |
G2 |
Natural Gas Calendar Spread Financially Settled Option Contract 2 Month |
AM |
Brent Crude Oil 6 Month CSO |
G3 |
Natural Gas Calendar Spread Financially Settled Option Contract 3 Month |
AZ |
Brent Crude Oil 12 Month CSO |
G5 |
Natural Gas Calendar Spread Financially Settled Option Contract 5 Month |
9C |
Brent Crude Oil Cal Spread Financially Settled Option Contract 1 Mon |
G6 |
Natural Gas Calendar Spread Financially Settled Option Contract 6 Month |
9D |
Brent Crude Oil Calendar Spread Financially Settled Option Contract 3 Mon |
ZA |
RBOB 1 Month CSO |
9Y |
Brent Crude Oil Calendar Spread Financially Settled Option Contract 12 Mon |
ZB |
RBOB 2 Month CSO |
9B |
Brent Crude Oil Calendar Spread Financially Settled Option Contract 2 Mon |
ZC |
RBOB 3 Month CSO |
9L |
Brent Crude Oil Calendar Spread Financially Settled Option Contract 6 Mon |
ZM |
RBOB 6 Month CSO |
BW |
Brent/WTI Spread Option |
RX |
RBOB Crack Spread Opt |
FA |
Heating Oil 1 Month CSO |
WA |
WTI Crude Oil 1 Month CSO |
FB |
Heating Oil 2 Month CSO |
WB |
WTI Crude Oil 2 Month CSO |
FC |
Heating Oil 3 Month CSO |
WC |
WTI Crude Oil 3 Month CSO |
FM |
Heating Oil 6 Month CSO |
WM |
WTI Crude Oil 6 Month CSO |
*HC |
Heating Oil Crack Spread Option |
WZ |
WTI Crude Oil 12 Month CSO |
IA |
Natural Gas 1 Month CSO |
7A |
WTI Crude Oil Cal Spread Financially Settled Option Contract 1 Mon |
IB |
Natural Gas 2 Month CSO |
7Z |
WTI Crude Oil Cal Spread Financially Settled Option Contract 12Mon |
IC |
Natural Gas 3 Month CSO |
7B |
WTI Crude Oil Cal Spread Financially Settled Option Contract 2 Mon |
IE |
Natural Gas 5 Month CSO |
7C |
WTI Crude Oil Cal Spread Financially Settled Option Contract 3 Mon |
IM |
Natural Gas 6 Month CSO |
7M |
WTI Crude Oil Cal Spread Financially Settled Option Contract 6Mon |
IZ |
Natural Gas 12 Month CSO |
|
|
*Please Note: CH is the actual Symbol for the Heating Oil Crack Spread Option.
Examples of the settlement price calculations have been provided below, if quote vendors wish to calculate the settlement prices for the Synthetic Underlying Futures for Complex Spread Options.
Calendar Spread Settlement Examples
Front Month Settlement Price minus Deferred Month Settlement Price
i.e. CL F10 minus CL H10 (2 Month Calendar Spread)
CL F10: 75.04
CL H10: 75.89
75.04 – 75.89 = –.85
Crack Spread Settlement Examples
Product (RBOB/Heating Oil) Settlement minus Crude Oil Settlement (same month for both)
i.e. RB Z09 (converted to like units) minus CL Z09
RB Z09: 1.6100
CL Z09: 61.99
(1.6100 X 42) – 61.99
67.62 – 61.99 = 5.63
Contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.