(Printable pdf version of Appendix 4C is at the bottom of this page.)

APPENDIX 4C

POSITION LIMITS AND REPORTABLE POSITIONS

The following are definitions of titles used in the position limit chart contained in this Appendix -

Spot Month- Spot month futures-equivalent position limit net long or net short effective at the start of trading on the first business day prior to the first trading day of the spot month.

Single Month- Futures-equivalent position limit net long or net short in any one month other than the spot month.

All Months -Position limit net long or net short in all months and all strike prices combined.  Note: Long futures contracts, long call options, and short put options are considered to be on the long side of the market while short futures contracts, long put options, and short call options are considered to be on the short side of the market.  For each commodity, the futures-equivalents for both the options and futures contracts are aggregated to determine compliance with the net long or net short same side position limits. 

Reportable Futures Level-Reportable futures position in any one month.

Reportable Options Level-Reportable options position in any one month in each option category. Note:0ption categories are long call, long put, short call, and short put.

Net Equivalent Futures Position-Each option contract will be adjusted by the prior day’s risk factor, or delta coefficient, for that option which has been calculated by the Exchange’s Clearing Services Provider

For the purpose of this Appendix:

(i)         An option contract's futures-equivalency shall be based on the prior day's delta factor for the option series, as published by the Exchange’s Clearing Services Provider. For example, 8 long put contracts, each with a delta factor of 0.5, would equal 4 futures-equivalent short contracts.

(ii)         Long futures contracts shall have a delta factor of +1, and short futures contracts shall have a delta factor of -1.

(iii)        Long call options and short put options shall have positive delta factors.

(iv)        Short call options and long put options shall have negative delta factors.

(v)         An eligible option/option or option/futures spread is defined as an intra-month or inter-month position in the same Chicago Board of Trade product in which the sum of the delta factors is zero.

(Note: All position limits and reportable positions are in number of contracts and are based on futures

or Net Equivalent Futures Positions, as defined above.