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). As reported in the Exchange’s Special Executive Report (SER) 5935, dated September 14, 2011, the Exchange is amending the contract titles and floating price rules to delete the reference to Cinergy Hub and replace it with Indiana Hub as the final settlement for real-time or day-ahead prices for its existing Midwest ISO Cinergy Hub contracts. These amendments reflect the termination of Cinergy Hub pricing by MISO due to the withdrawal of Duke Energy transmission subsidiaries Duke Ohio and Duke Kentucky from MISO effective January 1, 2012. As stated in this SER, the Exchange is clarifying the contract titles to eliminate any title ambiguity or possible confusion of these products with other Indiana Hub contracts currently listed on the Exchange. The contracts listed below will be revised to include (formally Cinergy Hub) in all title references in the contract rules. The contract codes will not change following the title revisions. The standard NYMEX electricity listing schedule will apply to all identified contracts. NYMEX will notify the CFTC of the aforementioned contract title clarifications via the weekly NYMEX CFTC notification letter.
The affected contracts, rule chapters, and commodity codes, are listed below for your convenience. The contract name 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) Indiana Hub (formerly Cinergy Hub) 5MW Off Peak Calendar-Month Day Ahead Swap
Futures
Chapter 803
Midwest ISO (MISO) Indiana Hub (formerly Cinergy Hub) 5 MW Off-Peak Calendar-Month Real-Time
Swap Futures
Delivery under the Midwest ISO Indiana Hub (formerly Cinergy 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) Indiana Hub (formerly Cinergy Hub) 5 MW Peak Calendar-Month Day-Ahead Swap Futures
Chapter 774
Midwest ISO Indiana Hub (formerly Cinergy Hub) Peak Calendar-Month LMP Swap Futures
Chapter 802
Midwest ISO (MISO) Indiana Hub (formerly Cinergy Hub) 5 MW Peak Calendar-Month Real-Time
Swap Futures
802.09. FINAL SETTLEMENT
Delivery under the Midwest t ISO Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy Hub) Off-Peak LMP Swap Futures
Chapter 774B
Midwest ISO Indiana Hub (formerly Cinergy Hub) Calendar-Day Peak LMP Swap Futures
The contract quantity shall be 40 MWH (Megawatt Hours). Midwest ISO Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy Hub) Peak Calendar-Month LMP Swap Option
383.01 EXPIRATION
A Midwest ISO Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 set 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 Indiana Hub (formerly Cinergy Hub) Peak Option on Calendar Futures Strip
921.01 EXPIRATION
A Midwest ISO Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub(formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy 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 Indiana Hub (formerly Cinergy Hub) Peak Option on Calendar Futures Strip shall not be subject to price fluctuation limitations.