Beginning on Sunday, November 1, 2009 for trade date Monday, November 2, 2009, the New York Mercantile Exchange, Inc. (“NYMEX”) will dually list for trading on the NYMEX trading floor and for clearing through CME ClearPort® seven new option contracts on underlying calendar futures strips. The option contracts are European-style (no early expiration) options. The option contracts are listed with NYMEX, and are subject to, the rules and regulations of NYMEX and Chicago Mercantile Exchange Inc. The specifications of these option contracts are provided below.
OPTION CLASSIFICATION
European-style Option (Exercise on expiration day only).
RULE CHAPTERS, CODES AND SYNTHETICS
Contract |
Chapter |
Option Commodity Code |
Non-Tradeable Synthetic Futures Symbol |
Natural Gas Option On Calendar Futures Strip |
351 |
6J |
8P |
Natural Gas Option On Summer Futures Strip |
352 |
4D |
8U |
Natural Gas Option On Winter Futures Strip |
353 |
6I |
8R |
Crude Oil Option on Calendar Futures Strip |
356 |
6F |
8S |
Crude Oil Option on Quarterly Futures Strip |
357 |
6E |
8T |
PJM Electricity Option on Calendar Futures Strip |
354 |
6O |
8U |
Central Appalachian Coal Option on Calendar Futures Strip |
358 |
6M |
8Y |
EXERCISE INTO FUTURES
A call option will exercise into a strip of long futures at the strike price while a put option will exercise into a strip of short futures at the strike price. The underlying strips of futures are as follows:
Natural Gas Option On Calendar Futures Strip:
12 consecutive Natural Gas Swap (NN) contracts beginning with January of the underlying Calendar year.
Natural Gas Option On Summer Futures Strip:
7 consecutive Natural Gas Swap (NN) contracts beginning with April of the underlying Calendar year.
Natural Gas Option On Winter Futures Strip:
5 consecutive Natural Gas Swap (NN) contracts beginning with November of the underlying Calendar year.
Crude Oil Option On Calendar Futures Strip:
12 consecutive Crude Oil Calendar Swap (CS) contracts beginning with January of the underlying Calendar year.
Crude Oil Option On Quarterly Futures Strip:
3 consecutive Crude Oil Calendar Swap (CS) contracts beginning with the underlying month of the option contract.
PJM Electricity Option On Calendar Futures Strip:
12 consecutive PJM Interconnection LLC Swap (JM) contracts beginning with January of the underlying Calendar year.
Central Appalachian Coal Option On Calendar Futures Strip:
12 consecutive Central Appalachian Coal futures (QL) contracts beginning with January of the underlying Calendar year.
STRIKE PRICE INTERVALS
Natural Gas
Twenty strike prices in increments of $.0500 per MMBtu 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 price movements of underlying futures contract.
Crude Oil
Twenty strike prices in increments of $.50 per barrel 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 price movements of underlying futures contract.
PJM Electricity
Twenty strike prices in increments of $.50 per Megawatt hour (“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 price movements of underlying futures contract.
Central Appalachian Coal
Twenty strike prices in increments of $.50 per ton 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 price movements of underlying futures contract.
EXPIRATION DATE
Natural Gas
3 business days prior (“Quadultimate”) to the expiration of the first underlying month of the Natural Gas futures contract in the strip.
Crude Oil
3 business days prior (“Quadultimate”) to the first day of the delivery month of the first underlying month of the Crude Oil Calendar Swap (CS) contract in the strip.
PJM Electricity
2nd to last Friday of the month prior to the delivery month of the first underlying month of the PJM Interconnection LLC Swap (JM) contract in the strip.
Central Appalachian Coal
1st business day of the month prior to the delivery month of the first underlying month of the Central Appalachian Coal contract in the strip.
MINIMUM PRICE FLUCTUATION
Natural Gas |
Crude Oil |
PJM Electricity |
Central Appalachian Coal |
$.0001/MMBtu |
$.01/Barrel |
$.01/MWh |
$.01/Ton |
CONTRACT SIZE
|
Natural Gas Calendar Strip |
Natural Gas Summer Strip |
Natural Gas Winter Strip |
||
|
30,000 MMBtu (12 Months) |
17,500 MMBtu (7 Months) |
12,500 MMBtu (5 Months) |
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Crude Oil Calendar Strip |
Crude Oil Quarterly Strip |
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12,000 Barrels (12 Months) |
3,000 Barrels (3 Months) |
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PJM Electricity Calendar Strip |
Approximately 10,200 to 10,240 |
Central Appalachian Coal Calendar Strip |
18,600 tons |
TRADING MONTHS
The first listed contract month for the Calendar Futures Strips and Quarterly Futures Strips shall be the January 2010 contract month. The first listed contract month for the Summer Futures Strip shall be the April 2010 contract month. The first listed contract month for the Winter Futures Strip shall be the November 2010 contract month. Options on Futures Strips will be listed in accordance with the following schedule:
· Options on Calendar Futures Strips for PJM, Crude Oil, and Natural Gas will list 5 consecutive years.
· Options on Calendar Futures Strip for Central Appalachian Coal will list 4 consecutive years.
· Crude Oil Option on Quarterly Futures Strip will list the nearest 4 consecutive quarters.
· Natural Gas will have 1 Summer Strip and 1 Winter Strip.
FEE SCHEDULE
Natural Gas
(½ Turn) |
Member |
Cross Division (Blended) |
Non-Member |
|||
ClearPort Clearing |
Calendar Strip: Summer Strip: Winter Strip: |
$1.25 $0.75 $0.50 |
|
Calendar Strip: Summer Strip: Winter Strip: |
$2.00 $1.20 $0.80 |
|
Open Outcry |
|
|
|
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Day Trade |
Calendar Strip: Summer Strip: Winter Strip: |
$0.45 $0.25 $0.20 |
N/A |
N/A |
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O/N Trade |
Calendar Strip: Summer Strip: Winter Strip: |
$1.25 $0.75 $0.50 |
Calendar Strip: Summer Strip: Winter Strip: |
$2.00 $1.20 $0.80 |
Calendar Strip: Summer Strip: Winter Strip: |
$2.00 $1.20 $0.80 |
|
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EFS, EFP, Spreads, Strips and ex Pit trades are available at standard member and nonmember rates – no surcharges apply. No block trades acceptable. |
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Crude Oil
(½ Turn) |
Member |
Cross Division (Blended) |
Non-Member |
|||
ClearPort Clearing |
Calendar Strip: Quarterly Strip: |
$5.00 $1.25 |
|
Calendar Strip: Quarterly Strip: |
$7.00 $1.75 |
|
Open Outcry |
|
|
|
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Day Trade |
Calendar Strip: Quarterly Strip: |
$0.45 $0.15 |
N/A |
N/A |
||
O/N Trade |
Calendar Strip: Quarterly Strip: |
$5.00 $1.25 |
Calendar Strip: Quarterly Strip: |
$7.00 $1.75 |
Calendar Strip: Quarterly Strip: |
$7.00 $1.75 |
|
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EFS, EFP, Spreads, Strips and ex Pit trades are available at standard member and nonmember rates – no surcharges apply. No block trades acceptable. |
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PJM Electricity
(½ Turn) |
Member |
Cross Division (Blended) |
Non-Member |
|||
ClearPort Clearing |
Calendar Strip: |
$24.00 |
|
Calendar Strip: |
$24.00 |
|
Open Outcry |
|
|
|
|||
Day Trade |
Calendar Strip: |
$24.00 |
N/A |
N/A |
||
O/N Trade |
Calendar Strip: |
$24.00 |
Calendar Strip: |
$24.00 |
Calendar Strip: |
$24.00 |
|
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EFS, EFP, Spreads, Strips and ex Pit trades are available at standard member and nonmember rates – no surcharges apply. No block trades acceptable. |
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Central Appalachian Coal
(½ Turn) |
Member |
Cross Division (Blended) |
Non-Member |
|||
ClearPort Clearing |
Calendar Strip: |
$39.00 |
|
Calendar Strip: |
$45.00 |
|
Open Outcry |
|
|
|
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Day Trade |
Calendar Strip: |
$39.00 |
N/A |
N/A |
||
O/N Trade |
Calendar Strip: |
$39.00 |
Calendar Strip: |
$45.00 |
Calendar Strip: |
$45.00 |
|
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EFS, EFP, Spreads, Strips and ex Pit trades are available at standard member and nonmember rates – no surcharges apply. No block trades acceptable. |
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All Commodities
Clearing Transaction |
Member/ Lessee |
Non-Member |
House Account |
Customer Account |
Futures Resulting from Exercise and Assignment |
$0.40 |
$1.45 |
|
|
Option Exercise/Assignment Notice |
|
|
$0.40 |
$0.85 |
For additional information, please contact the NYMEX Marketing hotline at 212-299-2301, email exchangeinformation@cmegroup.com or visit www.nymex.com.