• Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, Diminishing Balances and Aggregation Allocations for Ten (10) New ULSD Petroleum Futures and Option Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6020
      • Notice Date
      • 18 November 2011
      • Effective Date
      • 21 November 2011
    • In connection with the launch of ten (10) new ULSD petroleum futures and option contracts on trade date November 21, 2011 (see SER-5998R dated November 10, 2011), please note below the corresponding all month/any one month accountability levels (NYMEX Rule 560), expiration month position limits (NYMEX Rule 559), reportable levels (NYMEX Rule 561), diminishing balances and aggregation allocations for the new contracts.  These contracts will be added to the Position Limit, Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 of the NYMEX Rulebook.  The commodity codes are provided for the Clearing Members that file reports pursuant to NYMEX Rule 561.A in a machine-readable format. 

       

      Contract related questions can be directed to Chris Reinhardt, Associate Director, Market Surveillance, at 212.299.2882, and Ryne Toscano, Supervisor, Market Surveillance, at 212.299.2879.

       


      NYMEX Rulebook Chapter 5 Position Limit Table

      (Bold/underlining indicates additions)

      Contract Name

      Rule Chap-ter

      Com-modity Code

      Diminish-ing Balances Contracts

      All Month Account-ability Level

      Any One Month Account-ability Level

      Expira-tion Month Limit

      Report-ing Level

      Aggre-gate Into (1)

      Aggre-gate Into (2)

      Rule 560

      Rule 560

      Rule 559

      Rule 561

      Petroleum

       

       

       

       

       

       

       

       

       

      USA

       

       

       

       

       

       

       

       

       

      Gulf Coast

       

       

       

       

       

       

       

       

       

      New York Harbor

       

       

       

       

       

       

       

       

       

       

      NY ULSD Last Day Financial Swap Futures

      1169

      ULF

       

      7,000

      7,000

      1,000

      25

      ULF

       

      NY ULSD Calendar Swap Futures

      1167

      USF

      *

      7,000

      7,000

      1,000

      25

      ULF

       

      NY ULSD BALMO Swap Futures

      1168

      UBS

      *

      7,000

      7,000

      1,000

      25

      ULF

       

      NY ULSD Average Price Option

      1170

      UAO

      *

      7,000

      7,000

      1,000

      25

      ULF

       

      NY ULSD Calendar Spread Option

      1171

      UCA, UCB, UCC, UMM, UCZ

      7,000

      7,000

      1,000

      25

      ULF

       

      NY ULSD Crack Spread Swap Futures

      1157

      UCF

      *

      7,000/ 20,000

      7,000/ 10,000

      1,000/ 3,000

      25

      ULF

      26

       

      NY ULSD Crack Spread Option

      1172

      UCO

       

      7,000/ 20,000

      7,000/ 10,000

      1,000/ 3,000

      25

      ULF

      26

       

      NY ULSD Crack Spread Average Price Option

      1173

      UCP

      *

      7,000/ 20,000

      7,000/ 10,000

      1,000/ 3,000

      25

      ULF

      26


      NY ULSD Crack Spread BALMO Swap Futures

      1174

      UBC

      *

      7,000/ 20,000

      7,000/ 10,000

      1,000/ 3,000

      25

      ULF

      26

       

      RBOB vs. NY ULSD Swap Futures

      1158

      RVU

      *

      7,000/ 7,000

      5,000/ 7,000

      1,000/ 1,000

      25

      27

      ULF