Calendar spread options, introduced in June for the Exchange's five major energy markets, are based on the differential between two months of trading in the same futures contract. Currently listed contracts are for any combination of the closest four months in each commodity and any pair of consecutive months during the first 13 listed months, as well as wider spreads that were available until now for the two crude oil contracts only. At exercise, the buyer of a put options contract receives a short position in the futures market for the closer month and a long position in the futures market for the further month. The buyer of a call options contract receives the reverse at exercise.
Exchange President J. Roberts Collins, Jr., said, "The calendar spread options contracts have set increasing volume records and are living up to the strong demand we received from the industry in anticipation of their launch. I feel confident that these new natural gas instruments will provide additional risk management flexibility to a marketplace that is hungry for sophisticated instruments offered through a reliable and secure forum."
