• Amendments to Twenty-Eight (28) NYMEX Electricity Products

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6631R
      • Notice Date
      • 08 May 2013
      • Effective Date
      • 19 May 2013

    • This SER supersedes SER #6631 issued on April 26, 2013.

       

      Effective Sunday, May 19, 2013, for trade date Monday, May 20, 2013,and pending all relevant CFTC regulatory review periods, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend the terms and conditions of twenty-eight (28) electricity futures and option contracts. These changes are being made so that the contracts’ rules reflect standard cash market trading practices. The Exchange previously announced (see SER #6631 dated April 26, 2013) an effective date of Sunday, May 12, 2013, for trade date Monday, May 13, 2013, for the amendments. The effective date is being changed to permit additional time to incorporate the amendment into the Exchange’s trading systems. No other changes to the original Special Executive Report are being made.
      The size of most of the futures contracts, with the exception of those associated with the Alberta Power Pool Calendar Day Futures (Chapter 1049, Code AOD), Alberta Power Pool Calendar Month Futures (Chapter 1050, Code AOM), MISO Indiana Hub Day-Ahead Off-Peak Calendar-Day 5 MW Futures (Chapter 1076, Code FAD), and MISO Indiana Hub Real-Time Off-Peak Calendar-Day 5 MW Futures (Chapter 1077, Code (FTD) contracts, are being adjusted to a flow rate of 5 megawatts (MW) per hour. In this regard, peak hour futures contracts will have a size of 80 megawatt hours (MWh), and off-peak hour futures contracts will have a size of 5 MWh. With respect to the affected electricity option contracts, the underlying futures contracts are being changed to futures contracts which are based on a 5 MW per hour flow rate. The size of the Alberta Power Pool Calendar Day Futures and Alberta Power Pool Calendar Month Futures contracts are being reduced to 1 MWh from 5 MWh. For those contracts that will have an amended size or underlying futures contract, the contract titles will be changed to reflect those adjustments. All Rule Chapter Numbers and Codes will remain unchanged.
      Language associated with the observance of Daylight Savings Time will be removed from the MISO Indiana Hub Day-Ahead Off-Peak Calendar-Day 5 MW Futures and MISO Indiana Hub Real-Time Off-Peak Calendar-Day 5 MW Futures contracts.
      In the product chapters for the two (2) 50 MW option contracts (PJM Northern Illinois Hub Peak 50 MW Calendar-Month LMP Option (Chapter 1182, Code PJN) and PJM AEP Dayton Hub Peak 50 MW Calendar-Month LMP Option (Chapter 1181, Code PJD), the position limit language will be replaced with language that directs market participants to the Position Limit, Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 (Trading Qualifications and Practices) of the NYMEX Rulebook. Moreover, certain language regarding contract trading quantity is being removed from the product chapters for the Alberta-based power contracts.
      Of the total contracts, thirteen (13) contracts are listed for trading on CME Globex and for submission for clearing through CME ClearPort, and fifteen (15) contracts are listed for trading on CME Globex and the NYMEX trading floor, as well as for submission for clearing through CME ClearPort. The trading hours for open outcry are Monday – Friday 9:00 a.m. – 2:30 p.m. (8:00 a.m. – 1:30 p.m. Chicago Time/CT). The hours for CME Globex and CME ClearPort are Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT).
      The amendments to the product rule chapters, as well as the revised trading fees, are provided below.
       
      Current Contract Title
      Chapter
      Clearing Code
      PJM AEP Dayton Hub Real-Time Off-Peak Calendar-Day 2.5 MW Futures
      955
      AOR
      ISO New England Mass Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      756B
      CE
      Dow Jones Mid-Columbia Electricity Price Index Futures
      643
      DO
      ISO New England Mass Hub Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      959
      IDO
      MISO Minnesota Hub Off-Peak Calendar-Month LMP Futures
      780A
      LJ
      MISO Minnesota Hub Peak Calendar-Month LMP Futures
      780
      LM
      PJM Northern Illinois Hub Real-Time Off-Peak Calendar-Day 2.5 MW Futures
      958
      NOC
      MISO Illinois Hub Off-Peak Calendar Month LMP Futures
      778A
      OJ
      MISO Illinois Hub Peak Calendar-Month LMP Futures
      778
      OM
      PJM AEP Dayton Hub Peak Calendar-Month LMP Option
      382
      OT
      PJM AEP Dayton Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      953
      PAP
      PJM AEP Dayton Hub Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      954
      PEO
      PJM Northern Illinois Hub  Day-Ahead Off-Peak Calendar-Day2.5 MW Futures
      957
      PNO
      PJM Northern Illinois Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      956
      PNP
      PJM Western Hub  Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      951
      PWO
      PJM Western Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      950
      PWP
      PJM Western Hub Real-Time Off-Peak Calendar-Day 2.5 MW Futures
      952
      WOR
      NYISO Zone A Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      680
      ZAO
      NYISO Zone G Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      687
      ZGO
      NYISO Zone J Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      688
      ZJO
      NYISO Zone A Day-Ahead Peak Calendar-Day 2.5 MW Futures
      616B
      AN
      NYISO Zone J Day-Ahead Peak Calendar-Day 2.5 MW Futures
      618B
      JN
      PJM Northern Illinois Hub Peak 50 MW Calendar-Month LMP Option
      1182
      PJN
      PJM AEP Dayton Hub Peak 50 MW Calendar-Month LMP Option
      1181
      PJD
      MISO Indiana Hub Day-Ahead Off-Peak Calendar-Day 5 MW Futures
      1076
      FAD
      MISO Indiana Hub Real-Time Off-Peak Calendar-Day 5 MW Futures
      1077
      FTD
      Alberta Power Pool Calendar Day Futures
      1049
      AOD
      Alberta Power Pool Calendar Month Futures
      1050
      AOM
       
      (underline indicates addition; strikethrough indicates deletion)


       
      Chapter 955
      PJM AEP Dayton Hub Real-Time Off-Peak Calendar-Day 2.5 5 MW Futures
       
      955102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 756B
      ISO New England Mass Hub Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
       
      756B.03. CONTRACT QUANTITY AND VALUE
      The contract quantity shall be 40 MWH (Megawatt Hours) 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each contract shall be valued as the contract quantity (40 MWH) multiplied by the settlement price.
       
       
       
      Chapter 643
      Dow Jones Mid-Columbia Electricity Price Index 5 MW Futures
       
      643.05. CONTRACT QUANTITY AND VALUE
      The contract quantity is based on 2.5 megawatts per hour for each peak hour of the contract month. The daily total is 40 Megawatt Hours (MWH). One contract shall equal the daily total multiplied by the number of peak days in the contract month.
       
      The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 959
      ISO New England Mass Hub Day-Ahead Off-Peak Calendar-Day 2.5 5 MW Futures
       
      959102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.


       
      Chapter 780A
      MISO Minnesota Hub Off-Peak Calendar-Month LMP 5 MW Futures
       
      780A.04. CONTRACT QUANTITY AND VALUE
      The contract quantity is based on 2.5 megawatts per hour for each peak hour of the contract month. The daily total is 40 Megawatt Hours (MWH). One contract shall equal the daily total multiplied by the number of peak days in the contract month.

      The contract quantity shall be 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 780
      MISO Minnesota Hub Peak Calendar-Month LMP 5 MW Futures
       
      780.05. CONTRACT QUANTITY AND VALUE
      The contract quantity is based on 2.5 megawatts per hour for each peak hour of the contract month. The daily total is 40 Megawatt Hours (MWH). One contract shall equal the daily total multiplied by the number of peak days in the contract month.
       
      The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 958
      PJM Northern Illinois Hub Real-Time Off-Peak Calendar-Day 2.5 5 MW Futures
       
       
      958102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 778A
      MISO Illinois Hub Off-Peak Calendar-Month LMP 5 MW Futures
       
      778A.05. CONTRACT QUANTITY AND VALUE
      The contract quantity is based on 2.5 megawatts per hour for each peak hour of the contract month. The daily total is 40 Megawatt Hours (MWH).One contract shall equal the daily total multiplied by the number of peak days in the contract month.
       
      The contract quantity shall be 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 778
      MISO Illinois Hub Peak Calendar-Month LMP 5 MW Futures
       
      778.05. CONTRACT QUANTITY AND VALUE
      The contract quantity is based on 2.5 megawatts per hour for each peak hour of the contract month. The daily total is 40 Megawatt Hours (MWH). One contract shall equal the daily total multiplied by the number of peak days in the contract month.
       
      The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
      Chapter 382
      PJM AEP Dayton Hub Peak Calendar-Month LMP 5 MW Option
       
       
      382.02 TYPE OPTION
       
      The put option represents an option to assume a short position in the underlying PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) contract traded on the Exchange at the strike price. The call option represents an option to assume a long position in the underlying PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) contract traded on the Exchange at the strike price.
       
       
      A call option traded on the Exchange represents an option to assume, at the strike price, one (1) long contract per peak day of the underlying PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contract. A put option traded on the Exchange represents an option to assume, at the strike price, one (1) short contract per peak day of the underlying PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contract.
       
       
      382.04 HOURS OF TRADING
      The hours of trading in the option contract on the Exchange shall be the same as the hours of trading for the underlying PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contract. All such trading shall take place on the trading floor of the Exchange within the hours prescribed by the Exchange.
       
      382.05 STRIKE PRICES
      (A) Trading shall be conducted for options with strike prices in increments as set forth below.
       
      (B) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contracts in the corresponding delivery month rounded off to the nearest fifty-cent strike price unless such settlement price is precisely midway between two strike prices in which case it shall be rounded off to the lower strike price and (ii) the twenty fifty-cent increment strike prices which are twenty increments higher than the strike price described in (i) of this Rule 382.05(B) and (iii) the twenty fifty cent increment strike prices which are twenty increments lower than the strike price described in (i) of this Rule 382.05(B) and (iv) an additional ten strike prices for both call and put options will be listed at one dollar increments above the highest fifty cent increment as described in (ii) of this Rule 382.05(B), beginning with the first available such strike that is evenly divisible by $0.50 and (v) an additional ten strike prices for both call and put options will be listed at one dollar increments below the lowest fifty cent increment as described in (iii) of this Rule 382.05(B).
      (C) Thereafter, on any business day prior to the expiration of the option, (i) new consecutive strike prices for both puts and calls will be added such that at all times there will be at least twenty fifty cent strike prices above and below the at-the-money strike price available for trading in all options contract months and (ii) new one dollar increment strike prices will be added such that at all times there shall be ten fifty cent strike prices above the highest fifty cent strike, (iii) new one dollar increment strike prices will be added such that at all times there shall be up to ten five-cent strike prices below the lowest fifty cent strike and each such strike price shall be above zero. The at-the-money strike price will be determined in accordance with the procedures set forth in Subsection (B) of this Rule 382.05.
       
       (D) Notwithstanding the provisions of subsections (A) through (C) of this Rule, if the Exchange determines that trading in the option contract will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of the option in which no new strike prices may be introduced.
       
       
       
      Chapter 953
      PJM AEP Dayton Hub Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
       
      953102.B. Trading Unit
      The contract quantity shall be 40 Megawatt hours (MWh) and is based on 2.5 megawatts for peak daily hours.
       
      The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
      Chapter 954
      PJM AEP Dayton Hub Day-Ahead Off-Peak Calendar-Day 2.5 5 MW Futures
       
      954102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 957
      PJM Northern Illinois Hub Day-Ahead Off-Peak Calendar-Day 2.5 5 MW Futures
       
      957102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 956
      PJM Northern Illinois Hub Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
       
      956102.B. Trading Unit
      The contract quantity shall be 40 Megawatt hours (MWh) and is based on 2.5 megawatts for peak daily hours.
       
      The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 951
      PJM Western Hub Day-Ahead Off-Peak Calendar-Day 2.5 5 MW Futures
       
      951102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 950
      PJM Western Hub Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
       
      950102.B. Trading Unit
      The contract quantity shall be 40 Megawatt hours (MWh) and is based on 2.5 megawatts for peak daily hours.
       
      The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 952
      PJM Western Hub Real-Time Off-Peak Calendar-Day 2.5 5 MW Futures
       
      952102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.


       
      Chapter 680
      NYISO Zone A Day-Ahead Off-Peak Calendar-Day 2.5 5 MW Futures
       
       
      680102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 687
      NYISO Zone G Day-Ahead Off-Peak Calendar-Day 2.5 5 MW Futures
       
       
      687102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 688
      NYISO Zone J Day-Ahead Off-Peak Calendar-Day 2.5 5 MW Futures
       
      688102.B. Trading Unit
      The contract quantity shall be 2.5 5 Megawatt hours (MWh).
       
      Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 616B
      NYISO Zone A Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
       
      616B.03. CONTRACT QUANTITY AND VALUE
      The contract quantity shall be 40 MWH (Megawatt Hours) 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each contract shall be valued as the contract quantity (40 MWH) multiplied by the settlement price.
       
       
       
      Chapter 618B
      NYISO Zone J Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
       
      618B.03. CONTRACT QUANTITY AND VALUE
      The contract quantity shall be 40 MWH (Megawatt Hours) 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each contract shall be valued as the contract quantity (40 MWH) multiplied by the settlement price.
       
       
       
      Chapter 1182
      PJM Northern Illinois Hub Peak 50 MW Calendar-Month LMP Option
       
      1182100. SCOPE OF CHAPTER
      This chapter is limited in application to put and call options on the PJM Northern Illinois Hub Real-Time Peak Calendar-Month 2.5 MW Futures (UM) PJM Northern Illinois Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (B3) contract. In addition to the rules of this chapter, transactions in options on the PJM Northern Illinois Hub Real-Time Peak Calendar-Month 2.5 MW Futures (UM) PJM Northern Illinois Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (B3) contract shall be subject to the general rules of the Exchange insofar as applicable.


       
      1182101.B. Trading Unit
      A call option traded on the Exchange represents an option to assume twenty (20) ten (10) long positions per peak day in the underlying PJM Northern Illinois Hub Real-Time Peak Calendar-Month 2.5 MW Futures (UM) PJM Northern Illinois Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (B3) contract at the strike price. A put option traded on the Exchange represents an option to assume twenty (20) ten (10) short positions per peak day in the underlying PJM Northern Illinois Hub Real-Time Peak Calendar-Month 2.5 MW Futures (UM) PJM Northern Illinois Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (B3) contract at the strike price. 
       
      1182101.D. Position Limits and Position Accountability
       
      For purposes of calculating compliance with position limits, each contract will be aggregated with positions held in PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM). Each position in the option contract shall be deemed equivalent to 20 of the quantity of the PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) base contract into which each the option contract aggregates.
      In accordance with Rule 559, no person shall own or control positions in excess of 150 (PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM)-equivalent) contracts net long or net short in the spot month.
      In accordance with Rule 560:
      1. the all-months accountability level shall be 750 (PJM AEP Dayton Hub Peak Calendar-Month LMP Swap futures-equivalent) contracts net long or net short in all months combined;
      2. the any-one month accountability level shall be 1,000 (PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM)-equivalent) contracts net long or net short in any single contract month excluding the spot month.
      Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
       
      The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5.
       
      A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.
       
      Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
       
      1182102. EXERCISE PRICES
      (A) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for PJM Northern Illinois Hub Real-Time Peak Calendar-Month 2.5 MW Futures (UM) PJM Northern Illinois Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (B3) contracts in the corresponding delivery month rounded off to the nearest fifty-cent increment strike price unless such settlement price is precisely midway between two fifty-cent increment strike prices in which case it shall be rounded off to the lower fifty-cent increment strike price and (ii) the strike price which is fifty-cent higher than the strike price described in subsection (A)(i) of this rule and (iii) the strike price which is fifty-cent lower than the strike price described in subsection (A)(i) of this rule.
       
      (B) Thereafter, on any business day prior to the expiration of the option, (i) new consecutive strike prices for both puts and calls will be added such that at all times there will be at least one fifty-cent increment strike price above and below the at-the-money strike price available for trading in all options contract months. The at-the-money strike price will be determined in accordance with the procedures set forth in subsection (A)(i) of this rule.
       
      (C) Notwithstanding the provisions of subsections (A) and (B) of this rule, if the Exchange determines that trading in the option will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of
      an option in which no new strike prices may be introduced.
       
       
       
      Chapter 1181
      PJM AEP Dayton Hub Peak 50 MW Calendar-Month LMP Option
       
      1181100. SCOPE OF CHAPTER
      This chapter is limited in application to put and call options on PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contracts. In addition to the rules of this chapter, transactions in options on PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contracts shall be subject to the general rules of the Exchange insofar as applicable.
       
      1181101.B. Trading Unit
      A call option traded on the Exchange represents an option to assume twenty (20) ten (10) long positions per peak day in the underlying PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contract at the strike price. A put option traded on the Exchange represents an option to assume twenty (20) ten (10) short positions per peak day in the underlying PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contract at the strike price.
       
      1181101.D. Position Limits and Position Accountability
       
      For purposes of calculating compliance with position limits, each contract will be aggregated with positions held in PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM). Each position in the option contract shall be deemed equivalent to 20 of the quantity of the PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) base contract into which each the option contract aggregates.
       
      In accordance with Rule 559, no person shall own or control positions in excess of 150 (PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM)-equivalent) contracts net long or net short in the spot month.
       
      In accordance with Rule 560:
      1. the all-months accountability level shall be 750 (PJM AEP Dayton Hub Peak Calendar-Month LMP Swap futures-equivalent) contracts net long or net short in all months combined;
       
      2. the any-one month accountability level shall be 1,000 (PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM)-equivalent) contracts net long or net short in any single contract month excluding the spot month.
       
      Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
       
      The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5.
       
      A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.
       
      Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
       
       
      1181102. EXERCISE PRICES
      (A) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for PJM AEP Dayton Hub Real-Time Peak Calendar-Month 2.5 MW Futures (VM) the PJM AEP Dayton Hub 5 MW Peak Calendar-Month Real-Time LMP Futures (Z9) contracts in the corresponding delivery month rounded off to the nearest fifty-cent increment strike price unless such settlement price is precisely midway between two fifty-cent increment strike prices in which case it shall be rounded off to the lower fifty-cent increment strike price and (ii) the strike price which is fifty-cent higher than the strike price described in subsection (A)(i) of this rule and (iii) the strike price which is fifty-cent lower than the strike price described in subsection (A)(i) of this rule.
       
      (B) Thereafter, on any business day prior to the expiration of the option, (i) new consecutive strike prices for both puts and calls will be added such that at all times there will be at least one fifty-cent increment strike price above and below the at-the-money strike price available for trading in all options contract months. The at-the-money strike price will be determined in accordance with the procedures set forth in subsection (A)(i) of this rule.
       
      (C) Notwithstanding the provisions of subsections (A) and (B) of this rule, if the Exchange determines that trading in the option will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of
      an option in which no new strike prices may be introduced.


       
      Chapter 1076
      MISO Indiana Hub Day-Ahead Off-Peak Calendar-Day 5 MW Futures
       
      1076.03 OFF-PEAK DAYS AND HOURS
      “Off-Peak Hours” shall mean the hours ending 0100 through 0700 and 2400 Eastern Standard Time (EST), Monday through Friday (except when Daylight Savings Time is in effect, in which case Off-Peak Hours means the hours ending 0100 through 0600 and 2300 through 2400 EST) and the hours ending 0100 through 2400 EST, Saturday and Sunday, including North American Electric Reliability Corporation holidays.
       
      1076.04 CONTRACT QUANTITY AND VALUE
      The contract quantity shall be 5 Megawatts Hours (MWh). Transaction sizes for trading in any delivery day shall be restricted to whole number multiples of the number of off-peak hours in the contract day. The contract quantity is adjusted to reflect the transition in and out of Daylight Savings Time.
      Each futures contract shall be valued at the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 1077
      MISO Indiana Hub Real-Time Off-Peak Calendar-Day 5 MW Futures
       
       
      1077.03 OFF-PEAK DAYS AND HOURS
      “Off-Peak Hours” shall mean the hours ending 0100 through 0700 and 2400 Eastern Standard Time (EST), Monday through Friday (except when Daylight Savings Time is in effect, in which case Off-Peak Hours means the hours ending 0100 through 0600 and 2300 through 2400 EST) and the hours ending 0100 through 2400 EST, Saturday and Sunday, including North American Electric Reliability Corporation holidays.
       
      1077.04 CONTRACT QUANTITY AND VALUE
      The contract quantity shall be 5 Megawatts Hours (MWh). Transaction sizes for trading in any delivery day shall be restricted to whole number multiples of the number of off-peak hours in the contract day. The contract quantity is adjusted to reflect the transition in and out of Daylight Savings Time.
      Each futures contract shall be valued at the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 1049
      Alberta Power Pool Calendar Day 1 MW Futures
       
      1049.05 CONTRACT QUANTITY AND VALUE
      The contract quantity shall be 1 Megawatt hour (MWh). 5 Megawatts for all daily hours. The contract quantity will be adjusted by the transition in and out of the Daylight Savings Time.
       
      Transaction sizes for trading in any contract day shall be restricted to whole number multiples of the number of hours in the contract day.
       
      Each futures contract shall be valued at the contract quantity multiplied by the settlement price.
       
       
       
      Chapter 1050
      Alberta Power Pool Calendar Month 1 MW Futures
       
      1050.05 CONTRACT QUANTITY AND VALUE
      The contract quantity shall be 1 Megawatt hour (MWh). 5 Megawatts for daily hours. The contract quantity will be adjusted by the transition in and out of the Daylight Savings Time.
       
      Transaction sizes for trading in any delivery month shall be restricted to whole number multiples of the number of days in the contract month.
       
      Each futures contract shall be valued at the contract quantity multiplied by the settlement price.


       
      Contract Fees
      Group A
       

      Contract (Original Name)
      Chapter
      Clearing Code
      PJM AEP Dayton Hub Real-Time Off-Peak Calendar-Day 2.5 MW Futures
      955
      AOR
      ISO New England Mass Hub Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      959
      IDO
      MISO Minnesota Hub Off-Peak Calendar-Month LMP Futures
      780A
      LJ
      PJM Northern Illinois Hub Real-Time Off-Peak Calendar-Day 2.5 MW Futures
      958
      NOC
      MISO Illinois Hub Off-Peak Calendar Month LMP Futures
      778A
      OJ
      PJM AEP Dayton Hub Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      954
      PEO
      PJM Northern Illinois Hub  Day-Ahead Off-Peak Calendar-Day2.5 MW Futures
      957
      PNO
      PJM Western Hub  Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      951
      PWO
      PJM Western Hub Real-Time Off-Peak Calendar-Day 2.5 MW Futures
      952
      WOR
      NYISO Zone A Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      680
      ZAO
      NYISO Zone G Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      687
      ZGO
      NYISO Zone J Day-Ahead Off-Peak Calendar-Day 2.5 MW Futures
      688
      ZJO

       

      Exchange Fees
       
      Member Day
      Member
      Cross Division
      Non-Member
      IIP
      Pit
      X
      .02
      .025
      .03
      Globex
      X
      .02
      .025
      .03
      .025
      ClearPort
      .02
      .03
      Other Processing Fees
       
      Member
      Non-Member
      Cash Settlement
      .005
      .009
      *only applies to financially settled contracts
      Futures from E/A
      X
      X
      *applies to futures contracts
       
      House Acct
      Customer Acct
      Options E/A Notice
      X
      X
      *applies to physical options
      Delivery Notice
      X
      X
      *applies to physical futures

       

      Additional Fees and Surcharges
       
      EFS Surcharge
      X
      *$2.50 fee typically only charged on our core physical contracts
      Block Surcharge
      X
      *$0.10 fee charged on block trades
      Facilitation Desk Fee
      .0015
      *fee applies to CPC trades entered by ClearPort Market Ops

       
       


       
      Contract Fees
      Group B
       

      Contract (Original Name)
      Chapter
      Clearing Code
      ISO New England Mass Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      756B
      CE
      Dow Jones Mid-Columbia Electricity Price Index Futures
      643
      DO
      MISO Minnesota Hub Peak Calendar-Month LMP Futures
      780
      LM
      MISO Illinois Hub Peak Calendar-Month LMP Futures
      778
      OM
      PJM AEP Dayton Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      953
      PAP
      PJM Northern Illinois Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      956
      PNP
      PJM Western Hub Day-Ahead Peak Calendar-Day 2.5 MW Futures
      950
      PWP
      NYISO Zone A Calendar-Day Peak LBMP Futures
      616B
      AN
      NYISO Zone J Calendar-Day Peak LBMP Futures
      618B
      JN

       
       

      Exchange Fees
       
      Member Day
      Member
      Cross Division
      Non-Member
      IIP
      Pit
      X
      .35
      .37
      .40
      Globex
      X
      .35
      .37
      .40
      .37
      ClearPort
      .35
      .40
      Other Processing Fees
       
      Member
      Non-Member
      Cash Settlement
      .0875
      .12
      *only applies to financially settled contracts
      Futures from E/A
      X
      X
      *applies to futures contracts
       
      House Acct
      Customer Acct
      Options E/A Notice
      X
      X
      *applies to physical options
      Delivery Notice
      X
      X
      *applies to physical futures

       

      Additional Fees and Surcharges
       
      EFS Surcharge
      X
      *$2.50 fee typically only charged on our core physical contracts
      Block Surcharge
      X
      *$0.10 fee charged on block trades
      Facilitation Desk Fee
      .02
      *fee applies to CPC trades entered by ClearPort Market Ops

       
       
       
       
       


       
      Contract Fees
      Group C
       
       

      Contract (Original Name)
      Chapter
      Clearing Code
      PJM AEP Dayton Hub Peak Calendar-Month LMP Options
      382
      OT
      PJM Northern Illinois Hub Peak 50 MW Calendar-Month LMP Options
      1182
      PJN
      PJM AEP Dayton Hub Peak 50 MW Calendar-Month LMP Options
      1181
      PJD

       
       

      Exchange Fees
       
      Member Day
      Member
      Cross Division
      Non-Member
      IIP
      Pit
      X
      .35
      .37
      .40
      Globex
      X
      .35
      .37
      .40
      .37
      ClearPort
      .35
      .40
      Other Processing Fees
       
      Member
      Non-Member
      Cash Settlement
      X
      X
      *only applies to financially settled contracts
      Futures from E/A
      X
      X
      *applies to futures contracts
       
      House Acct
      Customer Acct
      Options E/A Notice
      .04
      .06
      *applies to physical options
      Delivery Notice
      X
      X
      *applies to physical futures

       

      Additional Fees and Surcharges
       
      EFS Surcharge
      X
      *$2.50 fee typically only charged on our core physical contracts
      Block Surcharge
      X
      *$0.10 fee charged on block trades
      Facilitation Desk Fee
      .02
      *fee applies to CPC trades entered by ClearPort Market Ops

       


       
      Contract Fees
      Group D
       
       

      Contract (Original Name)
      Chapter
      Clearing Code
      Alberta Power Pool Calendar Day Futures
      1049
      AOD
      Alberta Power Pool Calendar Month Futures
      1050
      AOM

       
       

      Exchange Fees
       
      Member Day
      Member
      Cross Division
      Non-Member
      IIP
      Pit
      X
      .00528
      .00564
      .006
      Globex
      X
      .00528
      .00564
      .006
      .00564
      ClearPort
      .00528
      .006
      Other Processing Fees
       
      Member
      Non-Member
      Cash Settlement
      .00132
      .0018
      *only applies to financially settled contracts
      Futures from E/A
      X
      X
      *applies to futures contracts
       
      House Acct
      Customer Acct
      Options E/A Notice
      X
      X
      *applies to physical options
      Delivery Notice
      X
      X
      *applies to physical futures

       

      Additional Fees and Surcharges
       
      EFS Surcharge
      X
      *$2.50 fee typically only charged on our core physical contracts
      Block Surcharge
      X
      *$0.10 fee charged on block trades
      Facilitation Desk Fee
      .0003
      *fee applies to CPC trades entered by ClearPort Market Ops

       
       


       
      Please refer questions on this subject to:
      Research and Product Development
      Greg Price                                             Gregory.Price@cmegroup.com                                       (212) 299-2625
       
      Products and Services
      Kristen Bauer                                       Kristen.Bauer@cmegroup.com                                        (713) 658-9294

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