CME Group, the world’s largest and most diverse derivatives marketplace, today announced the launch of trading and clearing services for three new NYISO five megawatt (MW) peak calendar month day-ahead LBMP swap options contracts. Trading will be available on the New York trading floor, and clearing services will be available through CME ClearPort®, a set of flexible clearing services open to over-the-counter (OTC) market participants to substantially mitigate counterparty risk and provide neutral settlement prices across asset classes, beginning on August 23 for trade date August 24. These contracts are listed by NYMEX, and are subject to NYMEX rules and regulations.
These options contracts enhance our current suite of East Coast regional electricity risk management products, providing useful hedging tools for commercial and other financial traders.
The new American style swap options and their commodity codes will be: NYISO Zone A five MW peak calendar month day-ahead LBMP (9T); NYISO Zone G five MW peak calendar month day-ahead LBMP (9U); and NYISO Zone J five MW peak calendar month day-ahead LBMP (9V).
The contracts will be 80 megawatt hours with a minimum price fluctuation of $0.01 per megawatt hour. Beginning with September 2009, monthly contracts will be listed for the balance of current year plus three additional calendar years. There will be 20 strike prices in increments of $.50 per megawatt hour above and below the at-the-money strike price, for a total of at least 41 strike prices.
