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Originating department:Commercial Services
Company Circular No:LCH.Clearnet Ltd Circular No 2747
 Service Circular No:LCH EnClear No 318
Date:08 December 2010
To:All LCH.Clearnet EnClear Clearing Members

Changes to strike prices for the STO Option and the listed series of the PTO Option within the OTC clearing service for freight

 
Members are advised that as of Thursday 09 December 2010, the tradable strike prices for the Cash Settled Premium Paid Option STO will be available in increments of $250 per day.

Currently STO option strikes are available in increments of $500 with thirty strikes available above and below the “at the money” strike price.  The number of strikes available above and below will remain unchanged.  Strike prices for CTO, PTO and HTO contracts will remain unchanged also.

Additionally, Calendar 2014 of the Cash Settled Premium Paid Option PTO will be available to trade from Thursday 09 December 2010 also.

Full contract specifications are available on our website www.lchclearnet.com under the FFA section.

If you have any questions, please do not hesitate to contact Holly Shaw on +44 20 7426 7027 or [email protected].
 

Isabella Kurek-Smith
Director, Head of Energy and Freight Markets
Commercial Services

Description

Cash settled Premium Paid Option on the following Dry Timecharter Basket Route:

STO (Supramax TC Avg 6 routes)

These contracts, if “in the money” expire into their underlying freight forward contracts with a traded price equal to the Strike Price (see below)

Lot size1 day
CurrencyUS Dollars
PricingUS & per day
Minimum tickUS $1 per day
Option typeOptions are European style and will be automatically exercised on the expiry day if they are “in the money”. If an option is “out of the money” it will expire automatically. It is not permitted to exercise the option on any other day or in any other circumstances. No manual exercise is permitted.
Option PremiumThe Premium is paid at the time of purchase.
Last trading day

At 17:00 hours UK time on last business day of each month within the contract series.

Exception – December contracts will expire on the 24th December, or previous business day, where the 24th December is a non working day.

Expiry

17:00 hours UK time on the last trading day.

Automatic exercise settings are pre-set to exercise contracts which are one minimum price fluctuation or greater "in-the-money" when compared to the relevant reference price.

Members are not permitted to override automatic exercise settings or manually enter exercise instructions for this contract.

The reference price will be a price in US dollars, cents and hundredths of a cent ($0.0001), per day equal to the final settlement price for the underlying freight forward contracts.

For these purposes “final settlement price” means the final settlement price on the expiry day of the underlying freight forward contracts.

Contract seriesFront 1 or 2 months (remaining from expired front quarter) Front 4 Quarters, Front 3 Calendar Years.
Strike priceSTO - Thirty strike prices in increments of $250 per day both above and below the “at-the-money” strike price in all contract series.
Where the “at the money” strike price of the underlying commodity moves, additional strikes will be added each business day.
Business daysUK business days