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The New York Mercantile Exchange, Inc., the world's largest physical commodities futures and options exchange, a subsidiary of NYMEX Holdings, Inc. (NYSE: NMX), today announced it will introduce two new, innovative products: the MACI futures and the Backwardation-Contango index futures contracts. These products represent a new generation of futures based on a proprietary index system, and will be launched in February 2008. MACI, the first index future of its kind, effectively reduces the burden of rolling index commodities forward every month and tracks the effects of contango and backwardation in the markets.
NYMEX will list financially-settled futures and options contracts for the MACI, which is a six-month rolling strip index, as well as for the Backwardation-Contango index. It is anticipated that additional indexes and related futures contracts using the MACI system will be launched for various energy, metals and other commodities in the near future.
The NYMEX Crude Oil Backwardation-Contango Index futures contract will be based on rolling the first nearby crude oil futures to the seventh nearby crude oil futures contract. This "roll" will be dampened by dividing by six. The first month will be listed for December 2010 expiration. Beginning in 2009 each January NYMEX intends to list an additional contract month for the subsequent December termination such that on the second business day of January 2010, there will be three contracts listed, with expirations in December 2010, 2011, and 2012.
The NYMEX Crude Oil MACI Index futures contract will be based on the arithmetic average of the first six contract months of crude oil plus the NYMEX crude oil Backwardation Contango Index. The first month to be listed will expire in January 2011. Each subsequent January NYMEX intends to list an additional contract month for the subsequent January termination, such that on the second business day of January 2010 there will be three contracts listed, with expirations in January 2011, 2012, and 2013.
The contract value for both products will be $200 times their respective index values and the minimum tick size will be 0.05 index points or $10.00 per contract. Both contracts will be listed on the NYMEX trading floor, CME Globex®, and NYMEX ClearPort®. They will trade from 9:00 AM to 2:30 PM on the NYMEX floor; and on CME Globex and NYMEX ClearPort from 6:00 PM Sunday through 5:15 PM Friday New York time, with a 45-minute break between 5:15 PM and 6:00 PM on Mondays through Thursdays.
