• Amendments to Special Price Fluctuation Limits Rules for Henry Hub Natural Gas and Associated Products, and Other Administrative Rule Amendments

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6122
      • Notice Date
      • 28 February 2012
      • Effective Date
      • 05 March 2012
    • Effective March 5, 2012, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend Rule 220.8A (“Special Price Fluctuation Limits”) of the Henry Hub Natural Gas futures (NG) contract in order to reduce the trigger level for a circuit breaker from $3.00 per MMBtu to $1.50 per MMBtu. Consequently, this amendment affects all products listed under the “Associated Products Appendix” for NG. The “Associated Products Appendix” is intended to ensure that whenever NG reaches the maximum price fluctuation limit (in accordance with Rule 220.08A), this results in a market halt of NG and all other products listed in the “Associated Products Appendix”. 
      Also effective March 5, 2012, the Exchange is implementing maximum price fluctuation limits for its Henry Hub Natural Gas Look-Alike Penultimate Financial futures (chapter 824, commodity code HP) contract that shall be consistent with the prevailing price limits for NG. This change results in amendments to HP Rule 824.05 (“Prices and Fluctuations”) and the “Associated Products Appendix” for each of NG and Henry Hub Natural Gas Last Day Physically-Delivered futures contract (MNG).
      The Exchange is implementing additional administrative, non-substantive, amendments to the rule chapters of certain products currently listed under the NG “Associated Products Appendix” in order to correctly reflect that the maximum price fluctuation limits for those products are consistent with the prevailing limits for NG. These changes shall also be effective March 5, 2012.
      Effective March 1, 2012, the Exchange is amending the “Associated Products Appendix” for NG (Rule 220.08A) in order to cite NG and MNG under the “Associated Products Appendix” in Rule 220.08A, as the maximum price fluctuation limits for MNG are consistent with the prevailing price limits of NG. 
      Lastly, the Exchange is amending MNG Rule 1156108 (“Validity of Documents”) to remove the reference to “inspection certificates”. As the option to inspect the physical product is not available at the Henry Hub, any reference to “inspection certificates” in the contract chapter is not applicable. The effective date for this rule amendment shall be March 1, 2012.
      For your convenience, all rule amendments are presented in blackline format. Rule amendments which will become effective March 5, 2012 are presented under Appendix A herewith. Rule amendments which will become effective March 1, 2012 are presented under Appendix B herewith.
      Please refer questions on this subject to:
      Energy & Metals Research:
      Brad Leach                               Bradford.Leach@cmegroup.com                       212.299.2609
      Nadine Brown                            Nadine.Brown@cmegroup.com                          212.299.2223
       


       
      (underline indicates addition; strikethrough indicates deletion)
      220.08A            SPECIAL PRICE FLUCTUATION LIMITS FOR HENRY HUB NATURAL GAS FUTURES
      (A) Initial Price Fluctuation Limits for All Contract Months. At the commencement of each trading day, there shall be price fluctuation limits in effect for each contract month of this futures contract of $3.00$1.50 per MMBtu above or below the previous day's settlement price for such contract month.
      (B)(1) Triggering Event and Temporary Trading Halt Related to Trading on Globex®. If a market for any of the first three (3) contract months is bid or offered at the upper or lower price fluctuation limit, as applicable, on Globex it will be considered a Triggering Event which will halt trading for a five (5) minute period in all contract months of the NG futures contract, as well as all contract months in all products cited in the Associated Product Appendix of this rule. Trading in any option related to this contract or in an option contract related to any products cited in the Associated Product Appendix which may be available for trading on either Globex or on the Trading Floor shall additionally be subject to a coordinated trading halt.
      (2) Expansion of Limits Following Temporary Trading Halt.
      Following the end of the 5-minute Temporary Trading Halt, the affected markets shall re-open simultaneously in all contract months of these futures contracts. When trading resumes, price fluctuation limits for each contract month shall be expanded an additional increment of the price fluctuation limits, above and below the previous day's settlement price for each contract month in the affected contracts on Globex and on the trading floor (as applicable).
      (3) Each instance in which a Triggering Event occurs, a Temporary Trading Halt will commence as provided by Sub-Sections (1)-(2) above and the price fluctuation limits for all contract months shall be expanded by an additional increment of the price fluctuation limits for NG as well as all products cited in the Associated Products Appendix in this rule.
      (4) End of Day Lifting of Price Fluctuation Limits.
      On any Exchange business day, regardless of any prior action concerning price fluctuation limits during the trading session, commencing sixty (60) minutes before the close of the Regular Trading Hours (RTH) session, there shall be no price fluctuation limits on any contract month in NG and all products cited in the Associated Products Appendix of this rule. The Price Fluctuation Limits shall be reinstated after the close of RTH for trading on Globex and shall be in effect through to the conclusion of the current trading day's Globex trading session.
      (C) Price Fluctuation Limits on the Trading Floor (Floor Trading)
      (1) The price fluctuation limits cited in section (A) of this rule shall be applicable on the Trading Floor (Floor Trading). However, all markets on the trading floor shall be limited to trading at these price levels (locked limit) and shall not constitute a Triggering Event for purposes of a Temporary Trading Halt on Globex.
      (2) In all instances when a Triggering Event in NG occurs on Globex, Floor Trading in NG and any products cited in the Associated Products Appendix of this rule shall immediately halt. Additionally, trading in any option related to this contract or in an option contract related to any products cited in the Associated Product Appendix shall be subject to a coordinated trading halt.
      (3) Whenever Globex markets are expanded and re-opened pursuant to the provisions of Section (B) of this rule, effected markets on the Trading Floor shall re-open with the expanded limits in place.
      (D) Associated Products Appendix
      QG          E-miniMiNY Natural Gas Futures
      HP          Henry Hub Natural Gas Look-Alike Penultimate Financial Futures
      NP          Henry Hub Natural Gas Penultimate Financial Futures
      HH          Henry Hub Natural Gas Look-Alike Last Day Financial Futures
      NN          Henry Hub Natural Gas Last Day Financial Futures
       
      Chapter 402
      E-mini Natural Gas Futures (QG)
      402.05              PRICES AND FLUCTUATIONS
      Prices shall be quoted in U.S. dollars and cents per MMBtu. The minimum price fluctuation shall be $0.005 per MMBtu ($12.50 per Contract). The maximum price fluctuation shall be consistent with the prevailing price limits of the E-mini Henry Hub Natural Gas fFutures contract rounded down on the upper limit and up on the lower limit to the nearest one cent increment.
       
      Chapter 824
      Henry Hub Natural Gas Look-Alike Penultimate Financial Futures (HP)
      824.05.             PRICES AND FLUCTUATIONS
      Prices shall be quoted in U.S. dollars and cents per MMBtu. The minimum price fluctuation shall be $0.001 per MMBtu. The maximum price fluctuation shall be consistent with the prevailing price limits of the Henry Hub Natural Gas futures contract.There shall be no maximum price fluctuation.
       
      Chapter 529
      Henry Hub Natural Gas Penultimate Financial Futures (NP)
      529.05              PRICES AND FLUCTUATIONS
      Prices shall be quoted in U.S. dollars and cents per MMBtu. The minimum price fluctuation shall be $0.001 per MMBtu. The maximum price fluctuation shall be consistent with the prevailing price limits of the Henry Hub Natural Gas futures contract.There shall be no maximum price fluctuation.
       
      Chapter 823
      Henry Hub Natural Gas Look-Alike Last Day Financial Futures (HH)
      823.05.             PRICES AND FLUCTUATIONS
      Prices shall be quoted in U.S. dollars and cents per MMBtu. The minimum price fluctuation shall be $0.001 per MMBtu. The maximum price fluctuation shall be consistent with the prevailing price limits of the Henry Hub Natural Gas futures contract.There shall be no maximum price fluctuation.
       
      Chapter 508
      Henry Hub Natural Gas Last Day Financial Futures (NN)
      508.05              PRICES AND FLUCTUATIONS
      Prices shall be quoted in U.S. dollars and cents per MMBtu. The minimum price fluctuation shall be $0.001 per MMBtu. The maximum price fluctuation shall be consistent with the prevailing price limits of the Henry Hub Natural Gas futures contract.There shall be no maximum price fluctuation.
       
       
      Chapter 1156
      Henry Hub Natural Gas Last Day Physically-Delivered Futures
      1156102.           TRADING SPECIFICATIONS
      1156102.D. Special Price Fluctuation Limits
      1.     Initial Price Fluctuation Limits for All Contract Months. At the commencement of each trading day, there shall be price fluctuation limits in effect for each contract month of this futures contract of $3.00$1.50 per MMBtu above or below the previous day's settlement price for such contract month.
      2.     (a) Triggering Event and Temporary Trading Halt Related to Trading on Globex®. If a market for any of the first three (3) contract months is bid or offered at the upper or lower price fluctuation limit, as applicable, on Globex it will be considered a Triggering Event which will halt trading for a five (5) minute period (“Temporary Trading Halt”) in all contract months of the Henry Hub Natural Gas Last Day Physically-Delivered futures contract, as well as all contract months in all products cited in the Associated Products Appendix of this rule. Trading in any option related to this contract or in an option contract related to any products cited in the Associated Products Appendix which may be available for trading on either Globex or on the trading floor shall additionally be subject to a coordinated Temporary Trading Halt.
      (b) Expansion of Limits Following Temporary Trading Halt. Following the end of the 5-minute Temporary Trading Halt, the affected markets shall re-open simultaneously in all contract months of these futures contracts. When trading resumes, price fluctuation limits for each contract month shall be expanded an additional increment of the price fluctuation limits, above and below the previous day's settlement price for each contract month in the affected contracts on Globex and on the trading floor (as applicable).
      (c) Each instance in which a Triggering Event occurs, a Temporary Trading Halt will commence as provided by subsections (a) and (b) of this rule above and the price fluctuation limits for all contract months shall be expanded by an additional increment of the price fluctuation limits for Henry Hub Natural Gas Last Day Physically-Delivered futures as well as all products cited in the Associated Products Appendix in this rule.
      (d) End of Day Lifting of Price Fluctuation Limits. On any Exchange business day, regardless of any prior action concerning price fluctuation limits during the trading session, commencing sixty (60) minutes before the close of the Regular Trading Hours (RTH) session, there shall be no price fluctuation limits on any contract month in Henry Hub Natural Gas Last Day Physically-Delivered futures or in any products cited in the Associated Products Appendix of this rule. The Price Fluctuation Limits shall be reinstated after the close of RTH for trading on Globex and shall be in effect through to the conclusion of the current trading day's Globex trading session.
      3.     Price Fluctuation Limits on the Trading Floor (Floor Trading)
      (a) The price fluctuation limits cited in subsection 1156102.D.1 of this rule shall be applicable on the trading floor. All markets on the trading floor shall be limited to trading at these price levels (locked limit); however, such trading shall not constitute a Triggering Event for purposes of a Temporary Trading Halt on Globex.
      (b) In all instances when a Triggering Event in Henry Hub Natural Gas Last Day Physically-Delivered futures occurs on Globex, floor trading in Henry Hub Natural Gas Last Day Physically-Delivered futures and any products cited in the Associated Products Appendix of this rule shall immediately halt. Additionally, trading in any option related to this contract or in an option contract related to any products cited in the Associated Products Appendix shall be subject to a coordinated Temporary Trading Halt.
      (c) Whenever Globex markets are expanded and re-opened pursuant to the provisions of subsection 1156102.D.2 of this rule, affected markets on the trading floor shall re-open with the expanded limits in place.
      4.     Associated Products Appendix
      MNG               Henry Hub Natural Gas Last Day Physically-Delivered Futures
      NG                  Henry Hub Natural Gas Futures
      QG                  E-mini Natural Gas Futures
      HP                  Henry Hub Natural Gas Look-Alike Penultimate Financial Futures
      NP                  Henry Hub Natural Gas Penultimate Financial Futures
      HH                  Henry Hub Natural Gas Look-Alike Last Day Financial Futures
      NN                  Henry Hub Natural Gas Last Day Financial Futures


       
      Chapter 220
      Henry Hub Natural Gas Futures
      220.08A            SPECIAL PRICE FLUCTUATION LIMITS
      (D) Associated Products Appendix
      NG          Henry Hub Natural Gas Futures
      MNG       Henry Hub Natural Gas Last Day Physically-Delivered Futures
      QG          E-mini Natural Gas Futures
      NP          Henry Hub Natural Gas Penultimate Financial Futures
      HH          Henry Hub Natural Gas Look-Alike Last Day Financial Futures
      NN          Henry Hub Natural Gas Last Day Financial Futures
       
       
      Chapter 1156
      Henry Hub Natural Gas Last Day Physically-Delivered Futures
      1156108.           VALIDITY OF DOCUMENTS
      The Exchange makes no representation respecting the authenticity, validity, or accuracy of any inspection certificate, the Notice of Intention to Deliver, Notice of Intention to Accept, check or any document or instrument delivered pursuant to these rules.

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