Change of Roll-Over Date for Daily Natural Gas Option and Daily Crude Oil Option Contracts

Please be advised that the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend the trading unit for each of its Daily Natural Gas Option (KD; Chapter 832) and Daily Crude Oil Option (CD; Chapter 833) contracts as follows:

Effective with the termination of the April Natural Gas Futures contract month on trade date March 29, 2011 for KD, and effective with the termination of the April Crude Oil Futures contract month on trade date March 22, 2011 for CD, the underlying futures contract month on which the daily option contracts settle will be as follows:

·         On the termination day of the first nearby underlying futures contract month, the option shall settle against the second (and not the first, as is currently the case) nearby underlying futures contract month.

·         With the exception of the termination day of the first nearby underlying futures contract month, on all other business days, the option shall continue to settle against the first nearby underlying futures contract month.

Below are the rule amendments reflecting the above-referenced roll-over date change.

(bold/underscore indicates addition)

832.02.             TRADING UNIT FOR THE DAILY NATURAL GAS OPTION CONTRACTS

A Daily Natural Gas put option contract traded on the Exchange represents the cash difference between the exercise price and the settlement price of the first nearby settlement price of Natural Gas futures multiplied by 10,000, or zero, whichever is greater. In the event that the option is expiring on the last trading day of the first nearby Natural Gas Futures contract, the second nearby underlying futures will be used for settlement. A Daily Natural Gas call option contract traded on the Exchange represents the cash difference between the settlement price of the first nearby settlement price of Natural Gas futures contract and the exercise price multiplied by 10,000, or zero, whichever is greater. In the event that the option is expiring on the last trading day of the first nearby Natural Gas Futures contract, the second nearby underlying futures will be used for settlement.

833.02.             TRADING UNIT FOR THE DAILY CRUDE OIL OPTION CONTRACTS

A Daily Crude Oil put option contract traded on the Exchange represents the cash difference between the exercise price and the settlement price of the first nearby settlement price of Crude Oil futures multiplied by 1,000, or zero, whichever is greater. In the event that the option is expiring on the last trading day of the first nearby Crude Oil Futures contract, the second nearby underlying futures will be used for settlement. A Daily Crude Oil call option contract traded on the Exchange represents the cash difference between the settlement price of the first nearby settlement price of Crude Oil futures contract and the exercise price multiplied by 1,000, or zero, whichever is greater. In the event that the option is expiring on the last trading day of the first nearby Crude Oil Futures contract, the second nearby underlying futures will be used for settlement.

Should you have any questions, please contact Robert Biolsi at (212) 299-2610.