• Notification of Listing of Three Electricity Options on NYISO Zone A 5 MW Peak Calendar-Month Day-Ahead LBMP Swap, NYISO Zone G 5 MW Peak Calendar-Month Day-Ahead LBMP Swap, and NYISO Zone J 5 MW Peak Calendar-Month Day-Ahead LBMP Swap

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-4961
      • Notice Date
      • 12 August 2009
      • Effective Date
      • 12 August 2009

    • Beginning on Sunday, August 23, 2009 for trade date Monday, August 24, 2009, the New York Mercantile Exchange, Inc. (“NYMEX”) will dually list for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort®, American-style option contracts on NYISO Zone A 5 MW Peak Calendar-Month Day-Ahead LBMP Swap; NYISO Zone G 5 MW Peak Calendar-Month Day-Ahead LBMP Swap; NYISO Zone J 5 MW Peak Calendar-Month Day-Ahead LBMP Swap. These options are listed by and subject to the rules and regulations of NYMEX. The specifications of these option contracts are listed below:

      Product

      Code

      Rule

      Chapter

      Underlying

      Futures    

      NYISO Zone A 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option

      9T

      902a

      K3

      NYISO Zone G 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option

      9U

      904a

      T3

      NYISO Zone J 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option

      9V

      906a

      D3

      Option Classification

      American-style Option (Exercises into underlying futures contract close of business any business day up to expiration).

      Futures Exercise

      A NYISO 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option put or call option contract traded on the Exchange represents an option to assume a short or long position in the underlying NYISO 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Futures contract traded on the Exchange.

      Strike Price Intervals

      Twenty strike prices in increments of $.50 per MWh above and below the at-the-money strike price, for a total of at least 41 strike prices. Strike price boundaries are adjusted according to futures price movements.

      Expiration Dates

      The expiration date is the second to last business day prior to the futures contract month.

      Minimum Price Fluctuation

      $0.01 (1¢) per MWh.

      Contract Size

      80 MWh.

      Trading Months

      Consecutive monthly contracts for the balance of current year plus three additional calendar years beginning with the September 2009 contract.

       

      Fee Schedule for the NYISO 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option contracts

       

      (½ Turn)

      Member

      Cross Division (Blended)

      Non-Member

      CME ClearPort

      $.40

       

      $.40

      Block Trading Surcharges

      N/A

      N/A

      N/A

      Open Outcry

       

       

       

      Day Trade

      $.40

       

      		  

      O/N Trade

      $.40

       

      $.40

      EOO

      $.40

       

      $.40

      Futures Resulting from Exercise

      $.40

       

      $.40

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

      House Account

       

      Customer Account

      Exercise

      $.40

       

      $.40

       

      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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