This notice details a number of changes that will become effective on CME Globex, Sunday, April 11, 2010, (trade date April 12) and via Open Outcry on Monday, April 12 for the following NYMEX and COMEX contracts:
TAS Eligibility for NYMEX TAS Intra-Commodity Energy Futures Calendar Spreads
All four products shown in the following table will be listed for trading and TAS-eligible in the nearby month/third month spread beginning with the May 2010 contract month. Intra-commodity spreads are currently listed and TAS-eligible in the nearby month/second month spread and the second month/third month spread.
Product Name |
Clearing Product Code |
CME Globex Product Code |
Trading Floor Product Code |
Light Sweet Crude Oil |
CL |
CLT |
CL |
New York Harbor No. 2. Heating Oil |
HO |
HOT |
HO |
Henry Hub Natural Gas |
NG |
NGT |
NG |
RBOB Gasoline |
RB |
RBT |
RB |
TAS Calendar Spread Pricing
The nearby leg of the spread will always be priced at the settlement price determined by CME Group for that contract month. The far leg of the spread will be priced at the settlement price determined by CME Group for that contract minus the allowable TAS price increment traded (negative 10 through positive 10).
The spot month (except on the last trading day), 2nd and 3rd months of both the Henry Hub Natural Gas Swap Futures and European Gasoil (ICE) Futures will be TAS-eligible beginning with the May 2010 contract month.
Product Name |
Clearing Product Code |
CME Globe Product Code |
Trading Floor Product Code |
Henry Hub Natural Gas Swap Futures |
NN |
NNT |
NN |
European Gasoil (ICE) Futures |
7F |
7FT |
7F |
COMEX Gold Futures (TAS Code GC for Floor; TAS Code GCT for CME Globex)
The COMEX Gold Futures contract, excluding the October contract month, will be TAS-eligible beginning with the June 2010 contract month. Specifically, TAS will be permitted on only one of these contract months: February, April, June, August, and December, per the convention shown below.
When the Following Contract Becomes Spot |
This Contract Becomes the TAS Month |
December |
February |
February |
April |
April |
June |
June |
August |
August |
December |
And so on… |
The COMEX Silver contract, excluding the January contract month, will be TAS-eligible beginning with the May 2010 contract month. Specifically, TAS will be permitted on only one of these contract months: March, May, July, September, and December, per the following convention:
When the Following Contract Month Becomes Spot |
This Contract Becomes the TAS Month |
December |
March |
March |
May |
May |
July |
July |
September |
September |
December |
And so on… |