Listing of Daily Crude Oil Calendar Spread Option Contract

Please be advised that effective Sunday, September 25, 2011, for trade date Monday, September 26, 2011, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will list a new crude oil option contract, Daily Crude Oil Calendar Spread Option, for open outcry trading and for clearing through CME ClearPort.  The contract is listed with NYMEX, and subject to, the rules and regulations of NYMEX and Chicago Mercantile Exchange Inc.

SPECIFICATION SUMMARY:

·         Contract Name: Daily Crude Oil Calendar Spread Option

·         Commodity Code: DNM for one-month spread; DTM for two-month spread

·         Chapter: 915

·         Option Type: Financially settled, exercise only upon expiration

·         Underlying Futures: Light Sweet Crude Oil Futures (CL)

·         Contract Unit: The underlying spread for the one-month Daily Calendar Spread Option will be defined as the first nearby month Light Sweet Crude Oil Futures contract less the second nearby month Light Sweet Crude Oil Futures contract. The underlying spread for the two-month Daily Calendar Spread Option will be defined as the first nearby month Light Sweet Crude Oil Futures contract less the third nearby month Light Sweet Crude Oil Futures contract. A call Option represents the differential between the settlement price of the underlying spread less the strike price, or zero whichever is greater, multiplied by 1,000. A put Option represents the differential between the strike price and the settlement price of the underlying spread, or zero, whichever is greater, multiplied by 1,000. In the event that the option is expiring on the last trading day of the first nearby Light Sweet Crude Oil Futures contract, the underlying spread for the one-month Daily Calendar Spread Option will be defined as the second nearby month Light Sweet Crude Oil Futures contract less the third nearby month Light Sweet Crude Oil Futures contract. The underlying spread for the two-month Daily Calendar Spread Option will be defined as the second nearby month Light Sweet Crude Oil Futures contract less the fourth nearby month Light Sweet Crude Oil Futures contract.

·         Expiration Date: The contract expires at the close of the business day that it was initially listed on.

·         Minimum Price Fluctuation: $0.01 per barrel

·         Strike Price Intervals: $0.05 per barrel

·         First Listed Contract: DNM U11 26 contract and DTM U11 26 contract.

·         Listing Convention: Trading in Daily Crude Oil Calendar Spread Option contracts shall be conducted each business day.

·         Trading Hours:

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

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).

·         Fee Schedule:

For additional information, please contact Robert Biolsi at (212) 299-2610.