• Notification of Listing of Options on Futures Strips for Natural Gas, Crude Oil, PJM Electricity, and Central Appalachian Coal

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5029
      • Notice Date
      • 16 October 2009
      • Effective Date
      • 16 October 2009
    • 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)

      Crude Oil Calendar Strip

      Crude Oil Quarterly Strip

       

      12,000 Barrels (12 Months)

      3,000 Barrels (3 Months)

       
                 

       

      PJM Electricity Calendar Strip

      Approximately 10,200 to 10,240 MMBtu MWh (12 Varying MMBtu MWh Months)

       

      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

       

       

       

      Day Trade

      Calendar Strip:

      Summer Strip:

      Winter Strip:

      $0.45

      $0.25

      $0.20

      N/A

      N/A

      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

         

       

       

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

                   

       

      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

       

       

       

      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

         

       

       

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

                   

      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

         

       

       

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

                   

      Central Appalachian Coal

      (½ Turn)

      Member

      Cross Division (Blended)

      Non-Member

      ClearPort Clearing

      Calendar Strip:

      $39.00

       

      Calendar Strip:

      $45.00

      Open Outcry

       

       

       

      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

         

       

       

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

                   

      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.