• Trading at Settlement ("TAS"), Trading at Marker ("TAM") and Matched Order ("MO") Transactions

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • NYMEX & COMEX RA1306-4
      • Notice Date
      • 25 March 2013
      • Effective Date
      • 08 April 2013

    • This Advisory Notice supersedes NYMEX & COMEX Market Regulation Advisory Notice RA1303-4 from February 27, 2013, and is being issued based on the introduction of Trading at Marker ("TAM") trading based on the Platts 3:15 p.m. Eastern Time ("ET") futures price assessment ("Platts TAM") for NYMEX New York Harbor ULSD Heating Oil ("HO") futures and NYMEX RBOB Gasoline ("RB") futures.

      In connection with the introduction of Platts TAM trading, NYMEX has adopted revisions to Rule 524 that will prohibit a party carrying an open Platts TAM position in HO or RB futures, including a position resulting from a Platts TAM block trade, from trading on the opposite side of the market in the underlying HO or RB market during the time period from 3:14:00.000 to 3:14:59.999 p.m. Eastern Time ("ET").

      Important information on regulatory considerations for market participants engaging in TAS, TAM or MO transactions appears in Section 2, a list of TAS- and TAM-eligible products and contract months appears in Sections 7 and 8, and the text of Rule 524 appears in Section 9 of this Advisory Notice. Market participants are reminded that the Market Regulation Department ("Department") has the authority to request books and records as well as other relevant information regarding the nature of a participant’s trading and positions in Exchange products and in any related markets as part of its regulatory program. Market Regulation will closely monitor activity in HO and RB futures and Platts-related markets that rely upon pricing in NYMEX HO and RB futures markets at 3:15 p.m. ET. In conducting that surveillance, Market Regulation may routinely request and review books and records related to participants’ positions and trading activities in related markets that settle to or reference floating prices determined by the Platts 3:15 p.m. ET Futures Price Assessment ("FPA") of the HO and RB markets.

      Effective Sunday, April 7, 2013, for trade date Monday, April 8, 2013, TAM block trading based on the Platts 3:15 p.m. ET futures price assessment will be available in the first two contract months of NYMEX HO and RB futures and in intra-commodity spreads between the first and second contract months in those products.

      For TAM trading on the FPA in NYMEX HO and RB futures, the marker price will be the price established and published by Platts. Additional information on the methodology employed by Platts in establishing the FPA is set forth in its

       

      Platts Methodology Statement which is available on the Platts website (www.platts.com).http://www.cmegroup.com/trading/energy/daily-energy-trading-at-marker-prices.html

      Further, market participants who engage in or plan to engage in trading any Platts-related markets that rely upon pricing in NYMEX HO and RB futures markets at 3:15 p.m. ET are strongly encouraged to review the regulatory guidance contained in NYMEX & COMEX Market Regulation Advisory Notice RA1307-4 specific to such activity.

      In connection with the adoption of Platts TAM, NYMEX will begin to publish several non-tradable volume-weighted average price ("VWAP") calculations. There will be a one- and two-minute VWAP for each of the first two contract months of HO and RB, for a total of eight VWAPs. The one-minute VWAP will be based on outright trades on CME Globex in the first and second contract months of HO and RB during the one-minute period from 3:14:00 to 3:15:00 p.m. ET and the two-minute VWAP will be based on outright trades on CME Globex in the first and second contract months of HO and RB during the two-minute time period from 3:13:00 to 3:15:00 p.m. ET. These VWAPs are intended to be additional price references for NYMEX HO and RB at the close of the trading day.

       

      The eight VWAPs will be displayed on the same page as the daily energy TAM prices, but will be uniquely identified as non-tradable. They will be displayed at the following location on the CME Group website:

      1. General Information on TAS, TAM and MO Transactions

      TAS transactions may be executed at the current day’s settlement price or at any valid price increment ten ticks higher or lower than the settlement price, and, depending on the particular product, may be executed in the pit, on CME Globex or as a block trade.

      TAM trading is analogous to existing Trading at Settlement ("TAS") trading wherein parties are permitted to trade at a differential to a not-yet-known price. TAM trading uses a marker price, whereas TAS trading uses the Exchange-determined settlement price for the applicable contract month. As with TAS trading, parties are able to enter TAM orders at the TAM price or at a differential between one and ten ticks higher or lower than the TAM price. TAM transactions may be executed on CME Globex or as a block trade.

      MO transactions in pit-traded Copper futures are transactions which are priced at that day’s settlement price for the contract.

      2. Regulatory Considerations

      All market participants are reminded that any trading activity that is intended to disrupt orderly trading or to manipulate or attempt to manipulate a settlement or marker price to benefit a TAS, TAM or MO position, including a TAS or TAM block position, will subject the member and/or the market participant to disciplinary action for any of a number of rule violations, including, but not limited to:

      price manipulation or attempted price manipulation

      wash trading

      conduct detrimental to the interest or welfare of the Exchange or conduct which tends to impair the dignity or good name of the Exchange

      engaging in conduct inconsistent with just and equitable principles of trade

      A party carrying an open Platts TAM or Platts TAM block position in HO or RB is prohibited from trading on the opposite side of the market in the underlying HO or RB market during the time period from 3:14:00.000 to 3:14:59.999 p.m. ET.

      Investigation of suspected manipulative or disruptive activity related to TAS, TAM or MO, or activity in the related underlying markets will include review of positions and trading activity in NYMEX markets and any related markets to determine if such activity was disruptive, collusive, and/or caused or attempted to cause aberrant price movement during these periods. Pursuant to Rule 432.L.3, market participants are reminded that it is an offense to fail to produce any books or records requested by authorized Exchange staff within 10 days after such request is made or such shorter period of time as determined by the Exchange in exigent circumstances.

       

      　

      3. Entry of TAS and TAM Orders on CME Globex

      Rule 524 permits the initiation of TAS and TAM orders into CME Globex only subsequent to the beginning of each group’s pre-open state and during the time period the applicable contracts are available for TAS or TAM trading on CME Globex. The initiation of any TAS or TAM order on CME Globex outside of these time periods is strictly prohibited.

       

      Any market participant who initiates the entry of a TAS or TAM order prior to receipt of the security status message indicating that market has transitioned to the pre-open will be subject to disciplinary action by a panel of the Business Conduct Committee, notwithstanding that the order may have been rejected by the CME Globex system. Sanctions for noncompliance may include a fine, disgorgement of any profits realized as a result of any orders accepted by CME Globex which were initiated prior to receipt of the security status message and/or a suspension of access to the market. Market participants must ensure that they have appropriate protocols in place to ensure that TAS and TAM orders are not initiated prior to receipt of the security status message.

      4. TAS and TAM Calendar Spreads

      Intra-commodity calendar spreads in the nearby month/second month spread, the second month/third month spread and the nearby month/third month spread in Light Sweet Crude Oil, New York Harbor No. 2 Heating Oil, Henry Hub Natural Gas and RBOB Gasoline futures may be executed on CME Globex or on the trading floor and priced at TAS.

      For the London Marker, intra-commodity calendar spreads in the nearby month/second month spread, the second month/third month spread and the nearby/third month spread in Light Sweet Crude Oil, Brent Crude Oil Last Day Financial, New York Harbor ULSD Heating Oil and RBOB Gasoline futures may be executed on CME Globex and priced at TAM.

      For the Singapore Marker, intra-commodity calendar spreads in the nearby month/second month spread, the second month/third month spread and the nearby/third month spread in Light Sweet Crude Oil and Brent Crude Oil Last Day Financial futures may be executed on CME Globex and priced at TAM.

      For the Platts 3:15 p.m. ET Marker, intra-commodity calendar spreads in the nearby month/second month spread in New York Harbor ULSD Heating Oil and RBOB Gasoline futures may be executed on CME Globex and priced at TAM.

      The pricing of the legs of a TAS or TAM calendar spread will be calculated as follows:

      The nearby leg of the spread will always be priced at the settlement or marker price, as applicable, for that contract month.

      The far leg of the spread will be priced at the settlement or marker price, as applicable, for that contract minus the allowable TAS or TAM price increment traded (negative 10 through positive 10), except in circumstances where the traded TAS or TAM price is the actual settlement or marker price of the contract.

      Example 1:

      An April 2013/May 2013 Light Sweet Crude Oil calendar spread trades at

      TAS -1 (minus 1). Assume the April contract settles at 92.16 and the May contract settles at 92.52.

      　

      　

      The April leg will be priced at the April settlement price of 92.16. The May leg

      will be priced at 92.53, which is the May settlement price of 92.52 minus the TAS price increment of -1 (92.52 minus -.01 = 92.53).

       

      Example 2:

      A May 2013/June 2013 New York Harbor ULSD Heating Oil calendar spread trades at TAM +/- 0. Assume the May marker price is 2.9684 and the June marker price is 2.9658.

      The May leg will priced at the May marker price of 2.9684. The June leg will priced at 2.9658, which is the June marker price.

      Example 3:

       

      An April 2013/June 2013 Henry Hub Natural Gas calendar spread trades at TAS +3. Assume the April contract settles at 3.969 and the June contract settles at 4.031.

      The April leg will be priced at the April settlement price of 3.969. The June leg will be priced at 4.028, which is the June settlement price of 4.031 minus the TAS price increment of +3 (4.031 minus +.003 = 4.028).

      5. TAS on Gold, Silver and Copper Futures

      TAS transactions are allowed in the active contract month in Gold and Silver futures trading in the pit or on CME Globex and in the first active contract month in Copper futures trading on CME Globex. TAS transactions are not allowed in any pit-traded Copper futures contract month.

      In Gold futures, TAS trades are permitted in the following active contract months: February, April, June, August, and December. Accordingly:

       

      When the February contract becomes spot, the April contract becomes the TAS-eligible month;

      When the April contract becomes spot, the June contract becomes the TAS-eligible month;

      When the June contract becomes spot, the August contract becomes the TAS-eligible month;

      When the August contract becomes spot, the December contract becomes the TAS-eligible month; and

      When the December contract becomes spot, the February contract becomes the TAS-eligible month.

       

      In Silver and Copper futures, TAS trades are permitted in the following active contract months: March, May, July, September and December. Accordingly:

      When the March contract becomes spot, the May contract becomes the TAS-eligible month;

      When the May contract becomes spot, the July contract becomes the TAS-eligible month;

      When the July contract becomes spot, the September contract becomes the TAS-eligible month;

      When the September contract becomes spot, the December contract becomes the TAS-eligible month; and

      When the December contract becomes spot, the March contract becomes the TAS-eligible month.

       

      　

      6. MO Transactions in Pit-Traded Copper Futures

      MO transactions in Copper futures are open outcry trades competitively executed in the Copper futures pit where the trade is priced at that day’s settlement price for the contract. MO transactions in Copper futures are eligible to be executed in the spot month and the next six consecutive contract months. Additionally, with the exception of the post close session, members may execute an MO order at any time the Copper futures pit is open for trading, provided that the order is placed as an MO order. Regular trading hours for open outcry trading in the Copper futures pit are from 8:10 a.m. until 1:00 p.m. Eastern Time ("ET").

      Instructions to execute the order as an MO must be denoted on the order and members must identify an order executed as an MO on their trading record.

      An order entered as an MO will be executed by the floor broker as a Market on Close order if the order is not previously executed as an MO or specifically designated to be executed only as an MO. An instruction to execute an order only as an MO must be communicated at the time the order is placed.

      7. TAS-Eligible Products and Contract Months

      Light Sweet Crude Oil (CL)

       

      nearby/second month, second/third month and nearby/third month calendar spreads

      Brent Crude Oil Last Day Financial (BZ)

       

      New York Harbor ULSD Heating Oil (HO)

      spot (except on the last trading day), 2nd and 3rd months

      nearby/second month, second/third month and nearby/third month calendar spreads

      Henry Hub Natural Gas (NG)

      spot (except on the last trading day), 2nd and 3rd months

      nearby/second month, second/third month and nearby/third month calendar spreads

       

      Henry Hub Natural Gas Last Day Financial (NN)

       

      Henry Hub Natural Gas Look-Alike Last Day Financial (HH)

       

      RBOB Gasoline (RB)

      spot (except on the last trading day), 2nd and 3rd months

      nearby/second month, second/third month and nearby/third month calendar spreads

       

      European Gasoil (100mt) Bullet (7F)

      Pit-Traded Contracts - continued

       

      COMEX Silver (SI)

      March, May, July, September and December contract months (first active month only)

       

      　

      For compliance and enforcement purposes, the start of a TAS pre-open period is defined by receipt of the security status message indicating that the group has transitioned to the pre-open state and the end of a TAS trading session is defined by receipt of the security status message indicating that group is closed.

      TAS orders may not be entered into CME Globex from the end of a TAS trading session until receipt of the security status message indicating that the group has transitioned to the pre-open state.

       

      Commodity

      Code on Product Name and Contract Months Cleared Product

      CME Globex

      CLT Light Sweet Crude Oil CL

      spot (except on the last trading day), 2nd, 3rd and 7th months and

      nearby/second month, second/third month and nearby/third month calendar spreads

      BZT Brent Crude Oil Last Day Financial BZ

      spot (except on the last trading day)

      2nd and 3rd months

      BBT Brent Crude Oil Penultimate Financial BB

      Spot, 2nd and 3rd months

      HOT New York Harbor ULSD Heating Oil HO

       

      nearby/second month, second/third month and nearby/third month calendar spreads

       

      NGT Henry Hub Natural Gas NG

       

      nearby/second month, second/third month and nearby/third month calendar spreads

      NNT Henry Hub Natural Gas Last Day Financial NN

      spot (except on the last trading day), 2nd and 3rd months

       

      HHT Henry Hub Natural Gas Look-Alike Last Day Financial HH

      spot (except on the last trading day), 2nd and 3rd months

      RBT RBOB Gasoline RB

       

      nearby/second month, second/third month and nearby/third month calendar spreads

      7FT European Gasoil (100mt) Bullet 7F

      spot (except on the last trading day), 2nd and 3rd months

      Commodity

      Code on Product Name and Contract Months Cleared Product

      CME Globex

      KTT NYMEX Coffee KT

      spot (except on the last trading day)

      CJT NYMEX Cocoa CJ

      spot (except on the last trading day)

      TTT NYMEX Cotton TT

      Spot (except on the last trading day)

       

      YOT NYMEX No. 11 Sugar YO

      spot (except on the last trading day)

      RET REBCO RE

       

       

      February, April, June, August and December contract months (first active month only)

      SIT COMEX Silver SI

       

       

      March, May, July, September and December contract months (first active month only)

      For compliance and enforcement purposes, the start of a TAM pre-open period is defined by receipt of the security status message indicating that the group has transitioned to the pre-open state and the end of a TAM trading session is defined by receipt of the security status message indicating that group is closed.

      TAM orders may not be entered into CME Globex from the end of a TAM trading session until receipt of the security status message indicating that the group has transitioned to the pre-open state.

       

      Commodity

      Code on Product Name and Contract Months Cleared Product

      CME Globex

      London Markers

       

      CLL Light Sweet Crude Oil CL

       

      nearby/second month, second/third month and nearby/third month calendar spreads

      BZL Brent Crude Oil Last Day Financial BZ

      spot, 2nd and 3rd months and

      nearby/second month, second/third month and nearby/third month calendar spreads

       

      London Markers – continued

       

      HOL New York Harbor ULSD Heating Oil HO

       

      nearby/second month, second/third month and nearby/third month calendar spreads

       

      RBL RBOB Gasoline RB

       

      nearby/second month, second/third month and nearby/third month calendar spreads

       

      Singapore Markers

       

      CLS Light Sweet Crude Oil CL

       

      nearby/second month, second/third month and nearby/third month calendar spreads

      BZS Brent Crude Oil Last Day Financial BZ

      spot, 2nd and 3rd months and

      nearby/second month, second/third month and nearby/third month calendar spreads

       

      Platts 3:15 p.m. Markers

       

      HOP New York Harbor ULSD Heating Oil HO

      spot and 2nd months and

      nearby/second month calendar spreads

      RBP RBOB Gasoline RB

      Spot and 2nd months and

      nearby/second month calendar spreads

      Questions regarding this Advisory Notice may be directed to the following individuals in Market Regulation:

      Nancy Minett, Executive Director, Investigations, 212.299.2940

      Neil Mazer, Lead Investigator, Investigations, 212.299.2874

      Robert Sniegowski, Senior Director, Rules & Regulatory Outreach, 312.341.5991

      　

      For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or

       

      spot, 2nd and 3rd months and      spot, 2nd and 3rd months and      spot, 2nd and 3rd months and      spot, 2nd and 3rd months and      HGT COMEX Copper HG

      7. TAM-Eligible Products and Contract Months on CME Globex

      GCT COMEX Gold GCMarch, May, July, September and December contract months (first active month only)      spot (except on the last trading day), 2nd and 3rd months      spot (except on the last trading day), 2nd and 3rd months and      spot (except on the last trading day), 2nd and 3rd months and      spot (except on the last trading day, 2nd and 3rd months and

      CME Globex Contracts

      spot (except on the last trading day), 2nd and 3rd months

       

      COMEX Gold (GC)

      February, April, June, August and December contract months (first active month only)

      Spot (except on the last trading day), 2nd and 3rd months      spot (except on the last trading day), 2nd and 3rd months      spot (except on the last trading day), 2nd and 3rd months      spot (except on the last trading day), 2nd, 3rd and 7th months

       

      Pit-Traded Contracts

       

       

       

       

      news@cmegroup.com.

      9. Text of Rule 524

      　

      Trading at Settlement ("TAS"), Trading at Marker ("TAM") and Matched Order ("MO") Transactions

       

      The Exchange shall determine the commodities, contract months and time periods during which TAS, TAM and MO transactions shall be permitted.

      524.A. Trading at Settlement ("TAS") Transactions

       

      The following shall govern TAS transactions:

      1. TAS transactions executed in the pit must be made open and competitively pursuant to the requirements of Rule 521 during the hours designated for pit trading in the particular contract and must be identified as such on the member’s trading records.

      2. TAS orders may be entered on Globex at any time the applicable contracts are available for TAS trading on Globex and during each TAS contract’s prescribed pre-open time period. The initiation of any TAS order on Globex outside these time periods is prohibited.

      3. TAS-eligible commodities and contract months may be executed as block trades pursuant to the requirements of Rule 526 except that TAS block trades may not be executed on the last day of trading in an expiring contract.

      4. TAS transactions may be executed at the current day’s settlement price or at any valid price increment ten ticks higher or lower than the settlement price.

      524.B. Trading at Marker ("TAM") Transactions

       

      The following shall govern TAM transactions:

      1. TAM orders may be entered on Globex at any time the applicable contracts are available for TAM trading on Globex and during each TAM contract’s prescribed pre-open time period. The initiation of any TAM order on Globex outside these time periods is prohibited.

       

      2. TAM-eligible commodities and contract months may be executed as block trades pursuant to the requirements of Rule 526.

       

      3. TAM transactions may be executed at the current day’s applicable marker price or at any valid price increment ten ticks higher or lower than the applicable marker price.

       

      4. A Party carrying an open long (short) Platts TAM or Platts TAM block position in RBOB Gasoline ("RB") or New York Harbor ULSD Heating Oil ("HO") futures may not sell (buy) in the underlying RB or HO market during the time period from 3:14:00.000 to 3:14:59.999 p.m. ET.

      524.C. Matched Order ("MO") Transactions

       

      MO transactions are open outcry trades competitively executed pursuant to Rule 521 where the price of the trade is that day’s settlement price for the contract.

      The following shall govern MO transactions:

      1. Members may execute an MO at any time during pit trading hours except during the post close session. Members may execute an order as an MO provided the order is placed as an MO and such instructions are denoted on the order. An order entered as an MO will be executed during the closing period as a Market on Close order if not previously executed as an MO or specifically designated to be executed only as an MO. An order specifically designated for execution only as an MO must be designated as such at the time the order is placed.

      2. Members must identify an order executed as an MO on their trading record.

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