• Amendments to Five (5) NYMEX Electricity Futures Contracts

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      • Research and Product Development
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      • SER-6773
      • Notice Date
      • 06 August 2013
      • Effective Date
      • 25 August 2013
    • Effective Sunday, August 25, 2013, for trade date Monday, August 26, 2013,and pending all relevant CFTC regulatory review periods, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend the terms and conditions of five (5) electricity futures and option contracts. Four (4) contracts are being amended to change the contract size to reflect a 5 MW per hour flow rate. Specifically, the size of the PJM Western Hub Real-Time Peak Calendar-Day 2.5 MW Futures (Code JD), PJM Northern Illinois Hub Real-Time Peak Calendar-Day 2.5 MW Futures (Code UD), PJM AEP Dayton Hub Real-Time Peak Calendar-Day 2.5 MW Futures (Code VD), and NYISO Zone G Day-Ahead Peak Calendar-Day 2.5 MW Futures (Code GN) will change from 40 MWh to 80 MWh, covering the 16 peak hours in the contract day. The titles of those contracts will also be updated to reflect the 5 MW per hour flow rate.
      In addition, the rules for the PJM West Hub Same Day Option (Codes J01-J31) is being amended to indicate 50 MW in the title, reflect the correct name of the underlying futures contract, and to add the term “megawatt hours” and/or “MWh” to the multiplier of 800. 
      The spot-month speculative position limits for numerous PJM Western Hub, AEP Dayton Hub and NYISO Zone G-based contracts are being amended.   A separate Special Executive Report will be issued concerning the speculative position limit amendments.
      All five (5) contracts are listed for trading on CME Globex and the NYMEX trading floor, as well as for submission for clearing through CME ClearPort. 
      The trading hours for open outcry are Monday – Friday 9:00 a.m. – 2:30 p.m. (8:00 a.m. – 1:30 p.m. Chicago Time/CT). The hours for CME Globex and CME ClearPort are Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT).
       
      The amendments to the product rule chapters are provided below. (Strikethrough indicates deletion; Bold/underline indicates addition)

      Contract Name
      Clearing Code
      Chapter
      PJM Western Hub Real-Time Peak Calendar-Day 2.5 5 MW Futures
      JD
      637
      PJM Northern Illinois Hub Real-Time Peak Calendar-Day 2.5 5 MW Futures
      UD
      763
      PJM AEP Dayton Hub Real-Time Peak Calendar-Day 2.5 5 MW Futures
      VD
      766
      PJM West Hub RT Real-Time 50 MW Same Day Option
      J01-J31
      1069
      NYISO Zone G Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
      GN
      617B

       
      Chapter 637
      PJM Western Hub Real-Time Peak Calendar-Day 2.5 5 MW Futures
       
      637.03. CONTRACT QUANTITY AND VALUE
       
      One The contract quantity shall be 40 MWH (Mega-watt Hours) 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract shall be valued as the contract quantity (40 MWH) multiplied by the settlement price.
       


       
      Chapter 763
      PJM Northern Illinois Hub Real-Time Peak Calendar-Day 2.5 5 MW Futures
       
       
      763.03. CONTRACT QUANTITY AND VALUE
       
      The contract quantity shall be 40 MWH (Mega-watt Hours) 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract based on the PJM Northern Illinois Hub Calendar-Day Peak LMP Swap Futures contract shall be valued as the contract quantity (40 MWH) multiplied by the settlement price. Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
       
      Chapter 766
      PJM AEP-Dayton Hub Real-Time Peak Calendar-Day 2.5 5 MW Futures
       
       
      766.03. CONTRACT QUANTITY AND VALUE
       
      The contract quantity shall be 40 MWH (Mega-watt Hours) 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each futures contract based on the PJM AEP-Dayton Hub Calendar-Day Peak LMP Swap Futures contract shall be valued as the contract quantity (40 MWH) multiplied by the settlement price. Each futures contract shall be valued as the contract quantity multiplied by the settlement price.
       
       
       
       
      Chapter 1069
      PJM West Hub RT Real-Time 50 MW Same Day Option
       
       
      1069.02                 TRADING UNIT
       
      A call option represents the differential between the final settlement price of the PJM Peak Calendar-Day LMP Swap Futures  PJM Western Hub Real-Time Peak Calendar-Day 5 MW Futures contract less the strike price, or zero whichever is greater, multiplied by 800 Megawatt hours (MWh). A put Option represents the differential between the strike price and the final settlement price of the PJM Peak Calendar-Day LMP Swap Futures  PJM Western Hub Real-Time Peak Calendar-Day 5 MW Futures contract, or zero, whichever is greater, multiplied by 800 MWh.
       
       
      1069.04 STRIKE PRICES
       
      Trading shall be conducted for Option 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 PJM Peak Calendar-Day LMP Swap Futures contracts  PJM Western Hub Real-Time Peak Calendar-Day 5 MW Futures contract in the corresponding contract day rounded off to the nearest fifty-cent increment strike price unless such settlement price is precisely midway between two fifty-cent increment strike prices in which case it shall be rounded off to the lower fifty-cent increment 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 1069.04(A) and (iii) the twenty fifty-cent increment strike prices which are twenty increments lower than the strike price described in (i) of this Rule 1069.04(A) and (iv) an additional ten strike prices for both call and put options will be listed at one-dollar increment above the highest fifty-cent increment strike as described in (ii) of this Rule 1069.04(A) and (v) an additional ten strike prices for both put and call options will be listed at one-dollar increments below the lowest fifty-cent increment strike as described in (iii) of this Rule 1069.04(A).
       
      (B) 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 increment 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 at least ten one-dollar strike prices above the highest fifty-cent increment strike price, and (iii) new one-dollar increment strike prices will be added such that at all times there shall be at least ten one-dollar increment strike prices below the lowest fifty-cent strike price.
       
      (C) Notwithstanding the provisions of subsections (A) through (B) of this Rule, if the Exchange determines that trading in the Option 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 Option contract in which no new strike prices may be introduced.
       
       
       
       
       
      Chapter 617B
      NYISO Zone G Day-Ahead Peak Calendar-Day 2.5 5 MW Futures
       
       
      617B.03. CONTRACT QUANTITY AND VALUE
       
      The contract quantity shall be 40 MWH (Megawatt Hours)  80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts (MW) per peak hour.
       
      Each contract shall be valued as the contract quantity (40 MWH) multiplied by the settlement price.
       
       
       
       
       
       
       
      Please refer questions on this subject to:
      Research and Product Development
      Greg Price                                Gregory.Price@cmegroup.com                          (212) 299-2625
       
      Products and Services
      Kristen Bauer                            Kristen.Bauer@cmegroup.com                           (713) 658-9294
       

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