• Notification of Listing of Eleven Natural Gas Basis Option Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-4915
      • Notice Date
      • 20 July 2009
      • Effective Date
      • 20 July 2009

    • Beginning on Sunday, August 2, 2009 for trade date Monday, August 3, 2009, the New York Mercantile Exchange, Inc. will dually list for trading on the NYMEX trading floor and for clearing through CME ClearPort® eleven financially-settled basis option contracts on delivery locations as listed below. Each option contract is a European-style (no early expiration) option based on the price differential at expiration between its particular delivery point and the underlying futures contract. The specifications of these Basis Option contracts are provided below.

      Contract

      Chapter

      Code

      Underlying Futures

      Henry Hub Basis Option

      509b

      5E

      HB

      Houston Ship Channel Basis (Platts IFERC) Option

      518b

      5F

      NH

      SoCal Basis Option

      520b

      5M

      NS

      Northwest Pipeline, Rockies Basis Option

      524b

      5I

      NR

      Panhandle Basis Option

      525b

      5K

      PH

      Michigan Consolidated Gas Basis Option

      619b

      4W

      NF

      Texas Eastern Zone M-3 Basis Option

      621b

      5N

      NX

      Columbia Gas Transmission Corp. Appalachia (TCO) Basis (Platts IFERC) Option

      622b

      5D

      TC

      Natural Gas Pipeline Co. of America (NGPL) TexOk Basis Option

      625b

      5H

      PD

      Natural Gas Pipeline Co. of America (NGPL) Mid-Con Basis Option

      629b

      5G

      NL

      Waha Basis Option

      634b

      5O

      NW

      Option Classification

      European-style Option (financially-settled on expiration day only).

      Final Financial Settlement

      A call option will be financially settled on the expiration day by the final settlement price for the underlying futures less the strike price, or zero, whichever is greater. A put option will be financially settled on the 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 $.01 per mmBtu 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 price movements of underlying futures contract.

      Expiration Date

      The basis option contracts shall expire on the same business day as the underlying futures contract. The basis option contracts cannot be exercised prior to expiration.

      Minimum Price Fluctuation

      $0.0001 (.01¢) per mmBtu.

      Contract Size

      2,500 mmBtu

      Trading Months

      The first contract months to be listed will be the August 2009 delivery months. These basis option contracts will initially be listed for 48 consecutive monthly expirations.

      Fee Schedule for the eleven basis option contracts

      (½ Turn)

      Member

      Cross Division (Blended)

      Non-Member

      CME ClearPort Clearing

      $.54

       

      $.67

      Block Trading Surcharges

      N/A

      N/A

      N/A

      Open Outcry

       

       

       

      Day Trade

      N/A

       

      		  

      O/N Trade

      $.54

      $.54

      $.67

      EOO

      $.54

      $.54

      $67

      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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Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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