• Synthetic Underlying Futures for Complex Spread Options Settlements to be Discontinued - Effective Monday, November 9, 2009

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-176
      • Notice Date
      • 12 August 2009
      • Effective Date
      • 09 November 2009
    • 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.