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The New York Mercantile Exchange, Inc., a subsidiary of NYMEX Holdings, Inc. (NYSE: NMX), today announced that it will introduce nine new natural gas delivery point pipe options contacts on NYMEX ClearPort® and the NYMEX trading floor, beginning on December 16 for trade date December 17.
The new pipe options contracts will be European style, financially settled options. Upon expiration, a long call option will be settled by adding the settlement price for the same delivery month of the Henry Hub natural gas swap futures contract to the underlying NYMEX natural gas basis swap futures contract less the strike price multiplied by 2,500 MMBtu, or zero, whichever is greater. Upon expiration, the long put will be settled by subtracting from the strike price the settlement price for the same delivery month of the Henry Hub natural gas swap futures added to the underlying NYMEX natural gas basis swap futures contract multiplied by 2,500 MMBtu, or zero, whichever is greater.
The new pipe options contracts and their commodity codes are: PGE Citygate (CW); Alberta (PI); Northern Rockies (ZR); Transco Zone 6 (TZ); Chicago Citygate (PY); Houston Ship Channel (PK); San Juan (PJ); SoCal (ZN); and Panhandle (PU).
The contracts will be 2,500 MMBtu in size, with a minimum price fluctuation of $0.001 per MMBtu. The contracts will be listed for 72 consecutive monthly expirations, with the first listed expiration month of January 2008. The contracts expire on the termination day of the underlying basis swap futures contracts.
There will be five strike prices in intervals of $0.01 per MMBtu above and below the at-the-money strike price and will be adjusted according to the futures price movements.
Information about fees is available on the NYMEX website at http://www.nymex.com/.
