VOLUME 28 – BULLETIN #013
TO:
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ALL CLEARING PARTICIPANTS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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February 27, 2008
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SUBJECT:
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Chicago Climate Futures Exchange, Carbon Financial Instrument Options on futures contract specifications
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Chicago Climate Futures Exchange (CCFE), an all-electronic exchange, will trade the following futures options contracts that will be cleared by CCorp.
Exchange Code:
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03
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Commodity Code:
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WC
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Contract Size:
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One CCFE Carbon Financial Instrument futures contract (of a specified contract month) of 1,000 metric tons of CCX CO2 (representing 10 CCX Carbon Financial Instrument contracts (“CFI”) cash market contracts)
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Quotation:
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US dollars / metric ton CO2
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Minimum Tick Increment:
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$0.01 per ton = $10.00 per contract
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Strike Price Intervals
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Call and Put options based on twenty-five strike prices in the series will be listed at the introduction of a contract. Strike prices will be listed at $0.25 increments with 8 listed below the at-the-money strike price and 16 listed above the at-the-money strike price. Additional strikes will be listed on the trading day following the day a related futures contract settles for the first time above or below an existing option strike price.
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Contract Months
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Standard-cycle contract listings:
a. Six consecutive quarterly contracts on a March, June, September, December cycle;
b. Front two serial calendar months; and
The exchange may list annual December contracts through 2012
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Trading Hours
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7:00 a.m. – 3:00 p.m. U.S. Central Time
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Last Trading Day:
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The last day of trading is the second business day prior to the last trading day for the expiring underlying futures contract.
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Exercise
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European style. Option exercise results in an underlying futures position in the related contract month. Options in the money at the close on the last day of trading are automatically exercised unless the Clearing Participant enters instructions into CCorp clearing system to not exercise, Participants may also enter instructions into the CCorp clearing system to exercise an at the money or out of the money option. All special instructions must be entered by 5:00 p.m. Chicago time, all unexercised options will expire.
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Option Premium
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CCorp will collect the full option premium from the buying Clearing Participant and pay the full option premium to the selling Clearing Participant.
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Reportable Position Limits:
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25 contracts gross in each option quadrant
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Nearby Expiration Month Speculative Position Limits:
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4,000 contracts (equivalent to 40,000 CCX CFI contracts) on a net futures-equivalent basis.
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Trade Management:
MQM trade add duplication messages will be sent to the Clearing Participants back office systems in the TREX record format. Clearing Participants may submit MQM change records to CCorp to change non-critical trade information, or mark a trade as a give-up. Clearing Participants can also mark trades as give ups via the CCorp Trade Management system. Current GAPI processing between CCorp and the Clearing Participant will be used.
Position Management:
Clearing Participants should submit open interest to CCorp, either by submitting an Open interest FTP file or using the web based Position Management System. Position Management also allows participants users to perform intra-day position adjustments and intra firm transfers. Below is the schedule for submitting open interest and position adjustments.
Process
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Application
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Available
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DUE
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Final Open Interest File Due
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FTP Put
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Anytime during current business day
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8:00 p.m.
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Final Open Interest
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Position Management
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7:15 p.m.
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8:00 p.m.
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Online verification of final Open Interest
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Position Management
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7:15 p.m.
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8:00 p.m.
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Adjustments to final Open Interest
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Position Management
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After end of day final processing
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10:00 a.m. next business day.
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Position Adjustments
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Position Management
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10:15 a.m.
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7:00 p.m.
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Intra-firm Position Adjustments
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Position Management
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After end of day final processing
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7:00 p.m.
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Validation of Final Open Interest:
Participants can only submit one final position record by origin for each valid contract that it is currently trading in and/or holding positions in. CCorp will perform a maximum long and minimum long calculation for each final position reported. The calculation will be performed using the participant’s incoming prior day position, adjustments, current day’s buys, current day’s sells, transfers, exercises (if applicable), and deliveries (if applicable). If a participant’s submitted final position falls outside these calculated parameters, the final reported position will be in error. Participants have the opportunity to review and update errors prior to final processing, please refer to schedule above. If a firm fails to update an error, CCorp will adjust the final long position as close as possible to the firm’s reported position using the current day’s activity. Furthermore, CCorp will assume any activity in a contract that a participant does not report a final position in will be adjusted as closing positions. Additionally, futures created form option assignments will be considered closing positions.
Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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