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.