• Increase in Expiration Month Position Limits in NYMEX Last Day Financial Natural Gas Contracts and Revisions to NYMEX Rule 559 (“Position Limits and Exemptions”)

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6417
      • Notice Date
      • 08 October 2012
      • Effective Date
      • 23 October 2012
    • Pending all relevant regulatory review periods, effective October 23, 2012, NYMEX will be adopting the following changes to position limits and position accountability levels in NYMEX Last Day Financial Natural Gas contracts:
       
      ·         An increase in the expiration month position limits from 1,000 to 5,000 contracts in Henry Hub Natural Gas Look-Alike Last Day Financial futures (“HH”), Henry Hub Natural Gas Last Day Financial Swap futures (“NN”), Daily Natural Gas options (“KD”), Henry Hub Natural Gas Last Day Financial options (“E7”) and Short-Term Natural Gas options (“U01-U31”);
      ·         The elimination of expiration month accountability levels in Natural Gas Option on Calendar Futures Strip (“6J”), Natural Gas Option on Summer Futures Strip (“4D”) and Natural Gas Option on Winter Futures Strip (“6I”) and the establishment of expiration month position limits of 5,000 contracts in those contracts; and
      ·         The elimination of the conditional limit in NYMEX Last Day Financial Natural Gas Contracts pursuant to Rule 559.F. (“Position Limits and Exemptions – Conditional Limit in NYMEX Last Day Financial Natural Gas Contracts”)
       
      These changes will ensure parity in the position limits applicable in the existing suite of NYMEX Last Day Financial Natural Gas contracts and the ICE Futures U.S. Henry Financial LD1 Fixed Price futures contract launching on October 15, 2012.
       
      The revisions to Rule 559 and the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5 of the NYMEX Rulebook are set forth below, with additions underscored and deletions overstruck.
       
      If you have any questions concerning this matter, please contact Chris Reinhardt, Director, Market Regulation Department, at 212.299.2882.
       
      For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.
       
      [The introduction and Sections A. – E. are unchanged.]
      559.F. Conditional Limit in NYMEX Last Day Financial Natural Gas Contracts
      The Market Regulation Department may grant a Conditional limit in Last Day Financial Natural Gas contracts of up to the equivalent of five thousand (5,000) NYMEX Physical Natural Gas Contracts (NG) during the period that position limits are applicable. Any participant seeking such exemption must agree: (1) not to hold a position in the NG contract during the last three days of trading; (2) provide the Exchange information on the complete book of all positions related to the Henry Hub; and (3) any other information /documentation required by the Exchange.
      559.G. Violations
      Violations of position limits and approved exemption limits are subject to the provisions of Rule 562.
       
      Interpretations & Special Notices Relating to Chapter 5 (“Trading Qualifications and Practices”)
       
      Position Limit, Position Accountability and Reportable Level Table (in pertinent part):

      Contract Name
      Rule Chapter
      Com-modity Code
      All Month Account-ability Level
      Any One Month Account-ability Level
      Expiration Month Limit
      Expiration Account-ability Level Last Day Contracts
      Report-ing Level
      Aggre-gate Into (1)
       
       
       
      Rule 560
      Rule 560
      Rule 559
      Rule 560
      Rule 561
       
      Natural Gas
       
       
       
       
       
       
       
       
      USA
       
       
       
       
       
       
       
       
       
      Henry Hub Natural Gas Look-Alike Last Day Financial Futures
      823
      HH
      12,000
      12,000
      1,0005,000
       
      100
      HH
      Henry Hub Natural Gas Last Day Financial Swap Futures
      508
      NN
      12,000
      12,000
      1,0005,000
       
      175
      HH
      Daily Natural Gas Option
      832
      KD
      n/a
      n/a
      1,0005,000
       
      n/a
      HH
      Henry Hub Natural Gas Last Day Financial Option
      375
      E7
      12,000
      12,000
      1,0005,000
       
      100
      HH
      Short-Term Natural Gas Option
      1066
      U01-U31
      12,000
      12,000
      1,0005,000
       
      25
      U01-U31
      Natural Gas Option on Calendar Futures Strip
      351
      6J
      12,000
      12,000
      5,000
      1,000
      100
      HH
      Natural Gas Option on Summer Futures Strip
      352
      4D
      12,000
      12,000
      5,000
      1,000
      100
      HH
      Natural Gas Option on Winter Futures Strip
      353
      6I
      12,000
      12,000
      5,000
      1,000
      100
      HH

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