• Trading at Settlement in Intra-Commodity Calendar Spreads in Crude Oil, Heating Oil, Natural Gas and RBOB Gasoline

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5124
      • Notice Date
      • 02 February 2010
      • Effective Date
      • 08 February 2010

    • Effective trade date February 8, 2010, New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) will launch Trading at Settlement (“TAS”) in four NYMEX intra-commodity energy futures calendar spreads trading on CME Globex and the NYMEX trading floor. As of that date, intra-commodity calendar spreads in the nearby month/second month spread and the second month/third month spread in Light Sweet Crude Oil, New York Harbor No. 2 Heating Oil, Henry Hub Natural Gas and RBOB Gasoline may be executed on CME Globex and the NYMEX trading floor and priced at TAS

      The commodity codes and respective venues are provided below for your convenience:

      Commodity Code on CME Globex

      Name & Contract Months

      Cleared Product

      Commodity Code on Trading Floor

      CLT

      Light Sweet Crude Oil

      spot (except on the last trading day), 2nd, 3rd and 7th months and nearby/second month and second/third month calendar spreads

      CL

      CL

      HOT

      New York Harbor No. 2. Heating Oil

      spot (except on the last trading day), 2nd and 3rd months and nearby/second month and second/third month calendar spreads

      HO

      HO

      NGT

      Henry Hub Natural Gas

      spot (except on the last trading day), 2nd and 3rd months and nearby/second month and second/third month calendar spreads

      NG

      NG

      RBT

      RBOB Gasoline

      spot (except on the last trading day), 2nd and 3rd months and nearby/second month and second/third month calendar spreads

      RB

      RB

      The pricing of the legs of a TAS calendar spread will be calculated by assigning the settlement price to the nearby leg of the spread.  The far leg will be priced by applying the TAS price (the settlement price or any valid price increment ten ticks higher or lower) to the far leg settlement price and then subtracting that price from the nearby month leg price. 

      Example 1: 

      Buy the March 2010/April 2010 (H/J) Light Sweet Crude Oil calendar spread at TAS -1.  Assume the March contract settles at 74.71 and the April contract settles at 75.15.

      The March leg will be priced at the March settlement price of 74.71.  The April leg will be priced at 75.16 (the April settlement price of 75.15 minus the TAS price of -1, or 75.15 – (-.01).

      Example 2: 

      Buy the April 2010/May 2010 (J/K) Henry Hub Natural Gas calendar spread at TAS +3.  Assume the April contract settles at 5.411 and the May contract settles at 5.459.

      The April leg will priced at the April settlement price of 5.411.  The May leg will be priced at 5.456 (the May settlement price of 5.459 minus the TAS price of +3, or 5.459 – (.003).

      A complete list of TAS-eligible products is available in today’s release of NYMEX & COMEX Market Regulation Advisory Notice RA1002-4.

      Should you have any questions, please contact Howard Hopkins at 212.299.2351.

       

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