• Enhancing Leg-Price Assignments for Calendar Spreads executed on CME GLOBEX in the Henry Hub Natural Gas Last Day Financial Futures (“NN”) Contract on New York Mercantile Exchange, Inc.

      • To
      • Members, Member Firms and Market Users
      • From
      • Products and Services
      • #
      • SER-6558
      • Notice Date
      • 11 February 2013
      • Effective Date
      • 11 February 2013
    • Effective February 10, 2013, for the trade date of February 11, 2013, the New York Mercantile Exchange, Inc. (NYMEX or Exchange), leg-price assignments in Henry Hub Natural Gas Last Day Financial Futures calendar spreads executed on CME GLOBEX will be enhanced.  Leg-prices for the front month will be anchored on the midpoint between the best bid and best offer of the corresponding Natural Gas (NG) contract. The leg-price assignment will include CME Group enhanced curve valuation theoretical pricing for less liquid contract months where there are no active bids or offers. The pricing will be updated at regular intervals throughout the day to better reflect the current valuation in the Natural Gas market. Trades and bids or offers in the outright NN contracts which improve current leg-price assignments will also be utilized.
       
       Please refer questions on this subject to:
      Products and Services
      Todd Schlaht                            Todd.Schlaht@cmegroup.com               (403) 444-5568

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