• Amendment to Strike Increments and Number of Strike Prices Pre-Listing for Henry Hub Natural Gas European Financial Option Contract

      • To
      • Members, Member Firms and Market Users
      • From
      • Research & Product Development
      • #
      • SER-6635
      • Notice Date
      • 24 April 2013
      • Effective Date
      • 12 May 2013
    • Effective Sunday, May 12, 2013, for trade date Monday, May 13, 2013, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend the strike pre-listing for the Henry Hub Natural Gas European Financial Option contract (chapter 560, commodity code LN). This contract is listed for trading on CME Globex and the NYMEX trading floor, and for submission for clearing through CME ClearPort. Currently, the Exchange pre-lists 100 strikes above and below the at-the-money (ATM) strike in $0.01 per MMBtu interval. After the amendment, there will be 50 strikes above and below the ATM in $0.05 per MMBtu pre-listed every day. In addition, dynamic strike price generation in $0.01 per MMBtu interval will still be available.
      Also at this time, all existing strike prices in $0.01 per MMBtu interval without open interest will be delisted.
      The Commodity Futures Trading Commission (CFTC) will be notified of the amendment during the week of May 20, 2013, via the weekly notification procedures set forth in Part 40 of the CFTC Regulations.
      (underline indicates addition; strikethrough indicates deletion)
      Chapter 560
      Henry Hub Natural Gas European Financial Option
       
      560.02 STRIKE PRICES
       
      (A) On the first business day of the trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for Henry Hub Natural Gas Futures (NG) contract in the corresponding delivery month rounded off to the nearest one cent five-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 one hundred fifty one cent five-cent strike prices which are one hundred fifty increments higher than the strike price described in subsection (A)(1)(i) of this Rule; and (iii) the one hundred fifty one cent five-cent strike prices which are one hundred fifty increments lower than the strike price described in subsection (A)(1)(i) of this Rule.
       
      (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 there will be at least one hundred fifty one cent five-cent strike prices above the at-the-money strike and one hundred fifty one cent five-cent strikes below the at-the-money strike price available for trading in all options contract months The at the-money strike price will be determined in accordance with the procedures set forth in Subsection (A)(1)(i) of this Rule.
       
      (C) Notwithstanding the provisions of subsections (A) through (C) of this Rule, if the Board determines that trading in natural gas options will be facilitated thereby, the Board may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded in 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 an option contract in which no new strike prices may be introduced.
       
      (D) In addition, dynamic strike price generation will be available for strikes in the interval of one-cent increments.

      For additional information, please contact Jeff White at +1 (212) 299-2325 or Cameron Liao at +65 6593-5588.

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