• Notification of Listing of Three Petroleum Average Price Crack Spread Options on Gasoil – Brent Crude Oil, RBOB Gasoline – Crude Oil, and Heating Oil – Crude Oil

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-4914
      • Notice Date
      • 09 July 2009
      • Effective Date
      • 09 July 2009

    • Beginning on Sunday, July 19, 2009 for trade date Monday, July 20, 2009, the New York Mercantile Exchange, Inc. (“NYMEX”) will dually list for trading on the NYMEX trading floor and for clearing through ClearPort® Clearing, financially-settled “Crack Spread” Average Price Option contracts on the differentials between RBOB Gasoline - Crude Oil, Gasoil - Brent Crude Oil - Last Day, and New York Harbor Heating Oil – Crude Oil contracts. The specifications of these average price option contracts are listed below:

      Contract

      Chapter

      Code

      Underlying Futures

      Heating Oil Crack Spread Average Price Option

      523a

      3W

      HK

      RBOB Crack Spread Average Price Option

      559a

      3Y

      RM

      Gasoil Crack Spread Average Price Option

      710a

      3U

      GZ

      Option Classification

      Average Price Option (Financially settled only on expiration day)

      Financial Settlement

      A long call option will be financially settled on expiration day by the final settlement price for the underlying futures less the strike price, or zero, whichever is greater. A long put will be financially settled on expiration day by the strike price less the final settlement price for the underlying futures contract, or zero, whichever is greater.

      Strike Price Intervals

      Ten strike prices in increments of $.25 per barrel above and below the at-the-money strike price, for a total of at least 21 strike prices. Strike price boundaries are adjusted according to futures price movements.

      Expiration Dates

      The expiration date is the last business day of the underlying month of the futures contract.

      Minimum Price Fluctuation

      $0.01 (1¢) per Barrel

      Contract Size

      1,000 Barrels

      Trading Months
      For all three option contracts, the first contract months to be listed will be the August 2009 delivery months.

      ·         Heating Oil Crack Spread Average Price Option: 36 consecutive monthly contracts through June 2012

      ·         RBOB Crack Spread Average Price Option: Consecutive months for the balance of the current year plus 3 additional years through December 2012

      ·         Gasoil Crack Spread Average Price Option: 60 consecutive monthly contracts through June 2014

      Fee Schedule

      (½ Turn)

      Member

      Cross Division (Blended)

      Non-Member

      CME ClearPort

      $2.20

       

      $2.70

      Block Trading Surcharges

      N/A

      N/A

      N/A

      Open Outcry

       

       

       

      Day Trade

      N/A

       

      		  

      O/N Trade

      $2.20

      $2.70

      $2.70

      EOO

      $2.20

      $2.70

      $2.70

      Cash Settlement

      $.90

       

      $1.15

      EFS, EFP, Spreads, Strips and ex Pit trades are available at standard member and nonmember rates – no surcharges apply.

      Please contact the NYMEX Marketing hotline at 212-299-2301, or email exchangeinformation@cmegroup.com with any questions.  In addition, please visit www.nymex.com for other additional information.

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