• Notification of Listing of Central Appalachian Coal Option on Quarterly Futures Strip on the NYMEX Trading Floor and through CME ClearPort®

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5161
      • Notice Date
      • 04 March 2010
      • Effective Date
      • 21 March 2010
    • Beginning on Sunday, March 21, 2010 for trade date Monday, March 22, 2010, the New York Mercantile Exchange, Inc. (“NYMEX”) will list for trading on the NYMEX trading floor and for clearing through CME ClearPort® a Central Appalachian Coal Option on Quarterly Futures Strip contract for trading on the NYMEX trading floor and for clearing through CME ClearPort.  The option (commonly referred to as a swaptions) is listed with NYMEX, and subject to, the rules and regulations of NYMEX and Chicago Mercantile Exchange Inc.  The specifications of the option contract are provided below.

      RULE CHAPTER, CODE AND UNDERLYING CALENDAR SWAP

      Contract

      Chapter No.

      Commodity Code

      Underlying Futures

      Central Appalachian Coal Option on Quarterly Futures Strip

      355

      6K

      Central Appalachian Coal Futures (QL)

      OPTION CLASSIFICATION

      European-style option (exercises on expiration day only).

      CONTRACT SIZE

      4,650 tons

      EXPIRATION DATE

      The option expires on the first business day in the month prior to the termination of the first underlying Central Appalachian Coal Futures (QL) contract.

      TRADING UNIT

      On expiration of a call option, the long position will be assigned three consecutive long futures months beginning with the underlying month of the Central Appalachian Coal Futures contracts at the strike price. On exercise of a put option, the long position will be assigned three consecutive short futures months beginning with the underlying month of short Central Appalachian Coal Futures contracts at the strike price.

      STRIKE PRICE INTERVALS

      Ten strike prices in increments of $0.50 per ton 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 futures price movements.

      MINIMUM PRICE FLUCTUATION

      $0.01 (1¢) per ton.

       

      TRADING MONTHS

      The first listed contract month is July 2010. The option will list 4 quarters (January, April, July and October) on a quarterly roll.

      TRADING HOURS

      CME ClearPort: Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT).

      Open Outcry: Monday – Friday 9:00 a.m. – 2:30 p.m. (8:00 a.m. – 1:30 p.m. CT).

      FEE SCHEDULE

      (½ Turn)

      Member

      Cross Division (Blended)

      Non-Member

      CPC

      $9.75

       

      $11.25

       

       

       

       

      Open Outcry

       

       

       

      Day Trade

      $9.75

      N/A

      N/A

      O/N Trade

      $9.75

      $10.50

      $11.25

         

       

       

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