PMXQ is the non-tradable, physically-deliverable future, tied directly to PJM Western Hub Real-Time Peak Financial Futures
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1 What s New? One Time Calendar Year Options - PJM Western Hub Real-Time Peak What is a One Time Calendar Option? The One Time Calendar Year Option exercises into the NFX PJM Western Hub Real-Time Peak One Time Calendar Year Financial Futures (PMXQ) for each of the twelve contract months between January and December using a single price based on the average price of the peak days in each month. What are the symbols involved? 1XCAL is the tradable Option symbol that enables the Order type PMQ is the non-tradable option series on PMXQ PMXQ is the non-tradable, physically-deliverable future, tied directly to PJM Western Hub Real-Time Peak Financial Futures If I buy a 1XCAL what do I get? A purchase of one 1XCAL Put or Call Option will immediately have an overtaking trade and deliver twelve PMQ Option positions. Example: What characteristic do the twelve PMQ Options share? The Expiration Date, the Premium, and the Strikes of all of the Options will be the same. What characteristic of the twelve PMQ options different? Delivery: Each Option will deliver into a different PMXQ future spanning from January to December of the respective calendar year Quantity: The quantity of each Option will correlate to the number of peak days in that month. Participant buys one 1.44 Similar to QDay contracts, there is an immediate overtaking trade that delivers 12 Option positions If PMQ options are not tradable, how do you acquire or liquidate positions in PMQ? The only way to acquire or liquidate a position in PMQ is to trade them as a basket via the 1XCAL Order type. 1 P a g e
2 If PMXQ futures are not tradable, how do I hedge? PMXQ futures are reference contracts that are physical-deliverable only at expiration, that are mapped directly to NFX PJM Western Hub Real-Time Peak Mini Financial Futures 5 MW contract or PMJQ. Participants may delta hedge with these contracts, or any combination thereof that satisfies notional position MWhs. For example, PMXQ is a 400MWh contract. PMJQ is a 5MWh contract underlying 16 Peak hours in a day equaling 80 MWhs. Accordingly, one PMXQ is equal to five PMJQ. How does daily settlement work for PMXQ futures? Prior to Option exercise, all PMXQ futures for a given calendar year, will be marked at the average mathematical (weighted) price of the PMJQ yearly strip. After Option exercise, PMXQ futures will be equal to the respective settlement prices for PMJQ. Example: 1XCAL18 Expiration date is 12/22/17 12/20/17 Settlement prices 12/26/17 settlement prices 2 P a g e
3 How is margin handled between PMXQ and PMJQ? While PMXQ and PMJQ are not fungible, all NFX Contracts are cleared by The Options Clearing Corporation (OCC). OCC will set the speculative customer initial margin requirement on the PJM Contracts as it does on existing NFX Contracts, and has informed NFX there will be 100% margin offset between PMXQ and PMJQ. How is PTRM managed? New Instrument Types PMQ 1x CAL Call Options, PMQ 1x CAL Put Options will have to be added to TradeGuard. Limits will have to be set for Tot Net Buy, Tot Net Sell and Max Trade Report Size. (It is recommended that Max Order Size be set to 1) FIX Examples: Order Add 9 (BodyLength): (MsgSeqNum): (MsgType): ExecutionReport (8) 52 (SendingTime): :07: (Account): XXXXXX 3 P a g e
4 6 (AvgPx): 0 11 (ClOrdID): (CumQty): 0 17 (ExecID): (OrdStatus): NEW (0) 40 (OrdType): LIMIT (2) 44 (Price): (SecurityID): (Symbol): 1XCAL2018_28.00C 59 (TimeInForce): DAY (0) 60 (TransactTime): :07: (ExecType): NEW (0) 151 (LeavesQty): (CheckSum): 069 1XCAL execution 9 (BodyLength): (MsgSeqNum): (MsgType): TradeCaptureReport (AE) 52 (SendingTime): :09: (LastPx): (LastQty): (SecurityID): (Symbol): 1XCAL2018_28.00C 60 (TransactTime): :09: (TradeDate): (TradeReportTransType): NEW (0) 552 (NoSides): GROUP(2) 1 (Account): XXXXXX 453 (NoPartyIDs): GROUP(2) 448 (PartyID): NFXXX 452 (PartyRole): EXECUTINGFIRM (1) 448 (PartyID): FIX1 452 (PartyRole): EXECUTINGTRADER (12) 1057 (AggressorIndicator): ORDER_INITIATOR_IS_PASSIVE (N) 37 (OrderID): NONE 54 (Side): SELL (2) 570 (PreviouslyReported): NO (N) 571 (TradeReportID): (MatchStatus): COMPMATAFF (0) 715 (ClearingBusinessDate): (TrdSubType): STANDARD_THE_TRADE_IS_A_NORMALLY_REGISTERED_TRADE (1001) 855 (SecondaryTrdType): (TradeReportType): SUBMIT (0) 880 (TrdMatchID): 998D E 4 P a g e
5 1003 (TradeID): 62030C:41 10 (CheckSum): 250 Over Taking Trade converting 1XCAL to PMQ Step 1: Reverse 1XCAL Trade 9 (BodyLength): (MsgSeqNum): (MsgType): TradeCaptureReport (AE) 52 (SendingTime): :09: (LastPx): (LastQty): (SecurityID): (Symbol): 1XCAL2018_28.00C 60 (TransactTime): :09: (TradeDate): (TradeReportTransType): REVERSE (4) 552 (NoSides): GROUP(2) 1 (Account): XXXXXX 54 (Side): SELL (2) 453 (NoPartyIDs): GROUP(2) 448 (PartyID): NFXXX 452 (PartyRole): EXECUTINGFIRM (1) 448 (PartyID): FIX1 452 (PartyRole): EXECUTINGTRADER (12) 1057 (AggressorIndicator): ORDER_INITIATOR_IS_AGGRESSOR (Y) 37 (OrderID): NONE 570 (PreviouslyReported): NO (N) 571 (TradeReportID): (MatchStatus): COMPMATAFF (0) 715 (ClearingBusinessDate): (TrdSubType): REVERSING_THE_TRADE_IS_A_RESULT_OF_A_RECTIFY_OPERATION (1004) 855 (SecondaryTrdType): (TradeReportType): SUBMIT (0) 880 (TrdMatchID): 998D E 1003 (TradeID): 62030C: (OrigTradeID): 62030C:41 10 (CheckSum): 250 Step 2-13: Delivery of 12 PMX option positions (example below is Jan) 9 (BodyLength): (MsgSeqNum): (MsgType): TradeCaptureReport (AE) 52 (SendingTime): :09: P a g e
6 31 (LastPx): (LastQty): (SecurityID): (Symbol): PMQF8_28.00C 60 (TransactTime): :09: (TradeDate): (TradeReportTransType): REPLACE (2) 552 (NoSides): GROUP(2) 1 (Account): XXXXX 453 (NoPartyIDs): GROUP(2) 448 (PartyID): NFACL 452 (PartyRole): EXECUTINGFIRM (1) 448 (PartyID): FIX1 452 (PartyRole): EXECUTINGTRADER (12) 1057 (AggressorIndicator): ORDER_INITIATOR_IS_PASSIVE (N) 37 (OrderID): NONE 54 (Side): SELL (2) 570 (PreviouslyReported): NO (N) 571 (TradeReportID): (MatchStatus): COMPMATAFF (0) 715 (ClearingBusinessDate): (TrdSubType): OVERTAKING_THE_TRADE_IS_A_RESULT_OF_A_RECTIFY_OPERATION (1003) 855 (SecondaryTrdType): (TradeReportType): SUBMIT (0) 880 (TrdMatchID): 998D E 1003 (TradeID): :FB 10 (CheckSum): P a g e
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