The New York Mercantile Exchange, Inc. (NYMEX or Exchange) currently offers nine (9) electricity futures and option contracts, identified below, that settle against the Cinergy Hub day-ahead and real-time LMP posted by Midwest ISO (MISO). These contracts are listed for trading on the NYMEX trading floor and for submission for clearing through CME ClearPort.
As most recently reported in the Exchange’s Special Executive Report (SER) 5935, dated September 14, 2011, Duke Ohio and Duke Kentucky will withdraw from MISO and become a part of PJM Interconnection (PJM) effective January 1, 2012. At such date or other effective MISO withdrawal date of the Duke Ohio and Duke Kentucky subsidiaries, MISO will cease the calculation and posting of Cinergy Hub real-time and day-ahead prices. Since March 1, 2011, MISO has been calculating and posting day-ahead and real-time prices for the Indiana Hub, the replacement for Cinergy Hub, on their website.
In order to reflect the new settlement against Indiana Hub, effective January 1, 2012 or other effective MISO withdrawal date of the Duke Ohio and Duke Kentucky subsidiaries, NYMEX will amend the contracts below to delete references to the Cinergy Hub final settlement and replace with the Indiana Hub as the final settlement reference for real-time and day-ahead prices. As stated in SER-5977 (http://www.cmegroup.com/tools-information/lookups/advisories/market-regulation/SER-5977.html), the contract listing schedule for these products was expanded effective October 24, 2011.
The affected contracts, rule chapters, and commodity codes, are listed below for your convenience. The title and rule amendments are provided below in blackline format.
Product |
Rule Chapter |
Code |
Midwest ISO Cinergy Hub 5MW Off-Peak Calendar-Month Day-Ahead Swap Futures |
893 |
K2 |
Midwest ISO Cinergy Hub 5 MW Off-Peak Calendar Month Real-Time Swap Futures |
803 |
H4 |
Midwest ISO Cinergy Hub 5 MW Peak Calendar-Month Day-Ahead Swap Futures |
859 |
H5 |
Midwest ISO Cinergy Hub Peak Calendar-Month LMP Swap Futures |
774 |
EM |
Midwest ISO Cinergy Hub 5 MW Peak Calendar-Month Real-Time Swap Futures |
802 |
H3 |
Midwest ISO Cinergy Hub Off-Peak LMP Swap Futures |
774A |
EJ |
Midwest ISO Cinergy Hub Calendar-Day Peak LMP Swap Futures |
774B |
CC |
Midwest ISO Cinergy Hub Peak Calendar-Month LMP Swap Options |
383 |
OY |
Midwest ISO Cinergy Hub Peak Option on Calendar Futures Strip Options |
921 |
OEM |
Should you have any questions or require any further information, please contact Brad Leach (212) 299-2609 or Adila Mchich at (212-) 299-2270.
(UNDERSCORE denotes addition; Strikethrough denotes deletion)
Chapter 893
Midwest ISO (MISO) CinergyIndiana Hub 5MW Off Peak Calendar-Month Day Ahead Swap
Futures
893.02 FLOATING PRICE
The Floating Price will be determined for each contract month. The Floating Price will be equal to the
arithmetic average of the Midwest Independent Transmission System Operator CinergyIndiana Hub Day-Ahead
LMP provided by Midwest Independent Transmission System Operator, Inc. (MISO) for all off-peak hours in
the contract month. For settlement of this contract, the prices provided by MISO will be considered final on
the payment day stated in Rule 893.09 and will not be subject to any further adjustment.
Chapter 803
Midwest ISO (MISO) CinergyIndiana Hub 5 MW Off-Peak Calendar-Month Real-Time
Swap Futures
803.02 FLOATING PRICE
The Floating Price will be determined for each contract month. The Floating Price will be equal to the
arithmetic average of the Midwest Independent Transmission System Operator CinergyIndiana Hub Real-Time LMP
provided by Midwest Independent Transmission System Operator, Inc. (MISO) for all off-peak hours in the
contract month. For settlement of this contract, the prices provided by MISO will be considered final on the
payment day stated in Rule 803.09 and will not be subject to any further adjustment.
803.08 FINAL SETTLEMENT
Delivery under the Midwest ISO (MISO) CinergyIndiana Hub 5 MW Off-Peak Calendar-Month Real-Time Swap Futures
contract shall be by cash settlement. Final settlement, following termination of trading for a contract month,
will be based on the Floating Price. The final settlement price will be the Floating Price calculated for each
contract month.
Chapter 859
Midwest ISO (MISO) CinergyIndiana Hub 5 MW Peak Calendar-Month Day-Ahead Swap Futures
859.02 FLOATING PRICE
The Floating Price for each contract month will be equal to the arithmetic average of the Midwest
Independent Transmission System Operator CinergyIndiana Hub Day-Ahead LMP for peak hours provided
by Midwest Independent Transmission System Operator, Inc. (MISO), for the contract month. For
settlement of this contract, the prices provided by MISO will be considered final on the payment
date stated in Rule 859.10 and will not be subject to any further adjustment.
Chapter 774
Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures
774.02. FLOATING PRICE
The Floating Price will be determined for each contract month. The Floating Price will be equal to
the arithmetic average of the CinergyIndiana Hub Real Time LMP for all peak hours provided by Midwest
Independent Transmission System Operator, Inc. (MISO), for the contract month. For settlement of
this contract, the prices provided by MISO will be considered final on the payment day stated in
Rule 774.10 and will not be subject to any further adjustment.
Chapter 802
Midwest ISO (MISO) CinergyIndiana Hub 5 Month Peak Calendar-Month Real-Time
Swap Futures
802.02. FLOATING PRICE
The Floating Price for each contract month will be equal to the arithmetic average of the Midwest
Independent Transmission System Operator CinergyIndiana Hub Real-Time LMP for peak hours provided
by Midwest Independent Transmission System Operator, Inc. (MISO), for the contract month. For
settlement of this contract, the prices provided by MISO will be considered final on the payment
date stated in Rule 802.10. and will not be subject to any further adjustment.
802.09. FINAL SETTLEMENT
Delivery under the Midwes t ISO (MISO) CinergyIndiana Hub 5 MW Peak Calendar-Month Real-Time Swap
Futures contract shall be by cash settlement. Final settlement, following termination of trading for a
contract month, will be based on the Floating Price. The final settlement price will be the Floating
Price calculated for each contract month.
Chapter 774A
Midwest ISO CinergyIndiana Hub Off-Peak LMP Swap Futures
774A.02. FLOATING PRICE
The Floating Price will be determined for each contract month. The Floating Price will be equal to
the arithmetic average of the CinergyIndiana Hub Real Time LMP for off-peak hours provided by Midwest
Independent Transmission System Operator, Inc. (MISO), for all off-peak hours in the contract
month.
Chapter 774B
Midwest ISO CinergyIndiana Hub Calendar-Day Peak LMP Swap Futures
774B.02. FLOATING PRICE
A Daily Floating Price will be determined for the peak day. The Daily Floating Price will be equal to
the arithmetic average of the hourly real time Locational Marginal Prices (LMP) for the CinergyIndiana Hub
provided by Midwest Independent Transmission System Operator, Inc. (MISO) for the peak day.
For settlement of this contract, the prices provided by MISO will be considered final on the payment
day stated in Rule 774B.08. and will not be subject to any further adjustment.
774B.03. CONTRACT QUANTITY AND VALUE
The contract quantity shall be 40 MWH (Megawatt Hours).
Midwest ISO CinergyIndiana Hub Calendar-Day Peak LMP Swap Futures contract shall be valued as the
contract quantity (40 MWH) multiplied by the settlement price.
774B.07. FINAL SETTLEMENT
Delivery under the Midwest ISO Cinergy Indiana Hub Calendar-Day Peak LMP Swap Futures contract shall
be by cash settlement. The cash-settlement price will be based on the Daily Floating Price which is
determined for the peak day.
Chapter 383
Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Option
383.01 EXPIRATION
A Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Option contract shall expire two
business days prior to the start of contract month.
383.02 TYPE OPTION
The put option represents an option to assume a short position in the underlying Midwest ISO
CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures contract traded on the Exchange at the
strike price. The call option represents an option to assume a long position in the underlying
Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures contract traded on the
Exchange at the strike price.
383.04 HOURS OF TRADING
The hours of trading in the option contract on the Exchange shall be the same as the hours of
trading for the underlying Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures
contract. All such trading shall take place on the trading floor of the Exchange within the hours
prescribed by the Exchange.
383.05 STRIKE PRICES
(A) Trading shall be conducted for options with strike prices in increments as set forth below.
(B) On the first business day of trading in an option contract month, trading shall be at the following
strike prices: (i) the previous day's settlement price for Midwest ISO CinergyIndiana Hub Peak Calendar-
Month LMP Swap Futures contracts in the corresponding delivery month rounded off to the nearest
fifty-cent strike price unless such settlement price is precisely midway between two strike prices in
which case it shall be rounded off to the lower strike price and (ii) the twenty fifty-cent increment
strike prices which are twenty increments higher than the strike price described in (i) of this Rule
383.05(B) and (iii) the twenty fifty cent increment strike prices which are twenty increments lower
than the strike price described in (i) of this Rule 383.05(B) and (iv) an additional ten strike prices for
both call and put options will be listed at one dollar increments above the highest fifty cent
increment as described in (ii) of this Rule 383.05(B), beginning with the first available such strike
that is evenly divisible by $0.50 and (v) an additional ten strike prices for both call and put options
will be listed at one dollar increments below the lowest fifty cent increment as described in (iii) of
this Rule 383.05(B).
(C) Thereafter, on any business day prior to the expiration of the option, (i) new consecutive strike
prices for both puts and calls will be added such that at all times there will be at least twenty fifty
cent strike prices above and below the at-the-money strike price available for trading in all options
contract months and (ii) new one dollar increment strike prices will be added such that at all times
there shall be ten fifty cent strike prices above the highest fifty cent strike, (iii) new one dollar
increment strike prices will be added such that at all times there shall be up to ten five-cent strike
prices below the lowest fifty cent strike and each such strike price shall be above zero. The at-the money
strike price will be determined in accordance with the procedures s
et forth in Subsection (B)
of this Rule 383.05.
(D) Notwithstanding the provisions of subsections (A) through (C) of this Rule, if the Exchange
determines that trading in option contracts will be facilitated thereby, the Exchange may, by
resolution, change the increments between strike prices, the number of strike prices which shall be
traded on the first day in any new option contract month, the number of new strike prices which will
be introduced on each business day or the period preceding the expiration of the option contract in
which no new strike prices may be introduced.
Chapter 921
Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip
921.01 EXPIRATION
A Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip contract shall expire on
the second to last Friday of the month prior to the first underlying Midwest ISO CinergyIndiana Hub
Peak Calendar-Month LMP Swap Futures contract. If the second to last Friday is an Exchange
holiday, expiration will occur on the business day immediately preceding that day.
921.02 TYPE OF OPTION
A Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip is a European-style
option.
921.03 TRADING UNIT
On expiration of a call option, the long position will be assigned twelve consecutive months
beginning with the underlying January month of long Midwest ISO CinergyIndiana Hub Peak
Calendar-Month LMP Swap Futures at the strike price. On exercise of a put option, the long
position will be assigned twelve consecutive months beginning with the underlying January
month of short Midwest ISO CinergyIndiana Hub Peak Calendar-Month LMP Swap Futures at the
strike price.
921.05 STRIKE PRICES
Trading shall be conducted for options with strike prices in increments as set forth below.
(A) On the first business day of trading in an option contract month, trading shall be at the following
strike prices: (i) the previous day's settlement price for the underlying Midwest ISO CinergyIndiana Hub
Peak Calendar-Month LMP Swap Futures contract rounded off to the nearest fifty-cent
increment, unless such settlement price is precisely midway between two fifty-cent increments in
which case it shall be rounded off to the lower fifty-cent increment; (ii) the ten strike prices which
are ten fifty-cent increments higher than the strike price described in section (i) of this Rule
921.05(A); and (iii) the ten strike prices which are ten fifty-cent increments lower than the strike
price described in section (i) of this Rule 921.05(A).
(B) Thereafter, on any business day prior to the expiration of the option, new consecutive strike
prices for both puts and calls will be added, such that at all times there will be at least ten fiftycent
increment strike prices above and below the at-the-money strike price available for trading in
all option contract months. The at-the-money strike price will be determined in accordance with
the procedures set forth in Subsection (A) of this Rule 921.05.
(C) Notwithstanding the provisions of subsections (A) and (B) of this Rule, if the Exchange
determines that trading in Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip
contract will be facilitated thereby, the Exchange may, by resolution, change the increments
between strike prices, the number of strike prices which shall be traded on the first day in any
new option contract month, the number of new strike prices which will be introduced on each
business day or the period preceding the expiration of a Midwest ISO CinergyIndiana Hub Peak Option
on Calendar Futures Strip contract in which no new strike prices may be introduced.
921.08 ABSENCE OF PRICE FLUCTUATION LIMITATIONS
Trading in Midwest ISO CinergyIndiana Hub Peak Option on Calendar Futures Strip shall not be subject
to price fluctuation limitations.