Subject: FW: (01-411) NEW NYMEX LARGE ORDER EXECUTION RULE FOR NATURAL GAS FUT URES
From: [email-masked]
To: [email-masked], [email-masked]
Cc: legal <[email-masked]>
Date: Fri, 30 Nov 2001 06:43:53 -0800 (PST)

-----Original Message-----
From: 	Exchange Information <[email-masked]>@ENRON  
Sent:	Friday, November 30, 2001 8:31 AM
To:	Exchange Information
Subject:	(01-411) NEW NYMEX LARGE ORDER EXECUTION RULE FOR NATURAL GAS FUT	URES

November 30, 2001
Notice No. 01-411

TO:		NYMEX DIVISION MEMBERS AND MEMBER FIRMS
		NYMEX DIVISION CLEARING MEMBERS

FROM:		J. Robert Collins, Jr., President

SUBJECT:	NEW NYMEX LARGE ORDER EXECUTION RULE FOR NATURAL GAS FUTURES
____________________________________________________________________________
_____

Yesterday, the Exchange distributed Notice to Members No. 01-411, which
summarized a new large order execution (LOX) that begins today in the first
two months of the natural gas futures contract.  As an informational
follow-up to yesterday's notice, this notice includes the text of the new
LOX rule.

				NEW NYMEX RULE 6.58

Rule 6.58.	LARGE LOT TRADING OF FUTURES CONTRACTS (PILOT PROGAM)

A Floor Member may buy or sell a large lot quantity of futures contracts at
or above the minimum amount specified below at a single price on an all or
none basis, provided that each such transaction is conducted on the Exchange
trading floor in accordance with the large order execution ("LOX")
procedures specified in this rule.

(A) Eligible Futures Contract and Minimum LOX Transaction Size.  LOX
transactions may be effected only for transactions in the following NYMEX
Division futures contracts and for no less than the following minimum LOX
transaction quantities:

			Futures Contract 		Contract Months
Minimum LOX Transaction Size

			Natural Gas			1st and 2nd nearby
250
	(Six-Month Pilot Program)

(B) Eligible Orders.  A member may not execute any order by means of a LOX
transaction unless the LOX bid or Offer price is the best price available to
satisfy the terms of the order or unless the order includes specific
instructions to execute a LOX transaction.

(C) Request for Quote.  To make a request for quote (RFQ) for a LOX
transaction, an initiating Floor Member (Initiating Member) will announce an
interest in executing a LOX transaction either by requesting a LOX Bid or
Offer or both, from a specified location in the ring.  In addition, the
Initiating Member must specify to the ring the total quantity and contract
month of the RFQ.  All terms of the RFQ including the identity of the
Initiating Member will be recorded by the LOX Book Holder (LBH).  In any
case that a LOX RFQ results in a response deemed by the LBH to be
reasonable, the Initiating Member will incur RFQ fees, regardless of whether
or not that Floor Member executes a trade.

There shall be only one active RFQ for a contract month at a time.

The maximum quantity allowed for a LOX RFQ is 5,000 contracts.

(D) Bids and Offers in Response to a LOX RFQ. Any Floor Member that has bid
and/or offered the best price in response to the LOX RFQ for the full
quantity stated in the LOX RFQ and has been recognized by the LBH as making
a reasonable bid or offer will be the Initial Respondent.  Any Floor Member
responding to a LOX RFQ must indicate that the responding LOX bid or LOX
offer is in response to such RFQ (LOX Bid or Offer).  Once a LOX Bid and/or
Offer has been made and deemed by the LBH to be an acceptable bid and/or
offer, such bid or offer will be recorded by the LBH and will be active for
30 seconds from the time it has been recognized by the LBH or until it has
been expressly withdrawn, with acknowledgement from the LBH, by the Floor
Member making such bid or offer.  All LOX bids and offers must be quoted in
half cent or full cent increments.

(1) LOX Bids and Offers Outside Non-LOX Spread. A LOX Bid (Offer) may be at
or above (below) the instant bid (offer) for non-LOX trading being bid or
offered in the ring for that futures contract month.

(2) Aggregation of Orders by Brokers. Floor Members acting as brokers may
bundle limit orders to bid and/or offer in response to the LOX RFQ.  If the
total of the orders is less than the requested amount, the responding broker
can trade for his own account or an account which he controls, the
difference between the requested amount and the total of the orders.  In the
event that a broker bundles limit orders in connection with a LOX execution,
all bundled limited orders must receive the LOX execution price.

(3) Aggregation by Floor Members Trading for Proprietary Accounts.  In
response to a LOX RFQ, Floor Members trading for their proprietary accounts
may join together in bidding and/or offering for the full quantity of the
LOX RFQ.  Such proprietary accounts either may be a personal account in the
case of an individual member or a house proprietary account in the case of a
Member Firm or Clearing Member with a representative on the Trading Floor.

(4) Secondary Trading Right for Proprietary Accounts.  In response to a LOX
RFQ, only a Floor Member trading for his proprietary account, or for
proprietary accounts joined together as per section (D)(3) of this rule, may
bid and/or offer for a portion of the LOX RFQ, provided, however, that such
quantity bid and/or offered must be for an amount no less than the Minimum
LOX Transaction Size and that such bid and/or offer can only be submitted if
an Initial Respondent has been identified by the LBH and that Initial
Respondent is a Floor Member acting as a broker.  This right will be known
as a Secondary Trading Right.

In order to exercise the Secondary Trading Right, each Member must state
his/her intentions to the LBH.  For purposes of the Secondary Trading Right,
Floor Members trading for their proprietary trading accounts may exercise
this right by joining a bid or offer at any time prior to execution of the
LOX transaction and will be entitled to an aggregate amount of up to 50% of
the quantity stated in the RFQ.

When a Floor Member combines customer orders with proprietary business and
is recognized as the Initial Respondent, any reduction in the ultimate
allocation that results from an exercise of a Secondary Trading Right will
result in fills first allocated to the customer(s) with any remainder to the
Floor Member.  In addition, if, as the result of such an exercise, a broker
does not have a quantity sufficient to fill each of the orders that were
aggregated, the broker shall allocate fills according to the following
requirements:

a)	the fills shall be allocated pursuant to a predetermined allocation
methodology made available to the customers prior to the execution;
b)	the allocation shall be made as soon as practicable after the
transaction is executed;
c)	the allocation shall be fair and equitable and no account or group
of accounts may receive consistently favorable or unfavorable treatment;
d)	the allocation methodology shall be sufficiently objective and
specific so that it can verified for any given trade; and
e)	the allocation methodology must be consistently applied.

Floor Members may not exercise a Secondary Trading Right if such Floor
Member is the Initial Respondent acting as a broker.

(5) Trading Priority.  Any Floor Member who becomes the Initial Respondent
willing to trade the full quantity stated in the LOX RFQ at the ultimate
best bid and, or best offer will have a right of trading priority which will
entitle him to the full quantity stated in the RFQ, except in the case when
a Secondary Trading Right is exercised.

(E) LOX Execution.
1.  Time Limit Restriction. Once an Initial Respondent has been recognized
by the LBH, only the Initiating Member requesting the LOX RFQ, may hit such
LOX Bid or Offer (or both) and must do so within 30 seconds of LBH
recognition of the Initial Respondent subject to the following conditions:

2.	Exercise of Secondary Trading Rights.   If one or more Floor Members
exercises the Secondary Trading Rights provided by this rule, the LBH will
enforce such rights in the following manner:

Each Floor Member responding to the LOX RFQ (either as an Initial Respondent
or in exercise of a Secondary Trading Right) shall receive an allocation
equal to a weighted proportion based on the number of contracts bid or
offered by such Member as a percentage of the total quantity of all
contracts bid or offered in response to the LOX RFQ, as the case may be, at
the price accepted by the Initiating Member, provided,  however,

If, as a result of the allocation specified above, an Initial Respondent
acting as a broker would receive less than 50% of the total quantity, then
the LBH instead shall allocate no less than 50% of the total quantity to
such Initial Respondent with the remainder allocated to those exercising
their Secondary Trading Rights based on  the number of contracts bid or
offered by each such Floor Member as a percentage of all contracts bid or
offered pursuant to the exercise of Secondary Trading Rights.

Following execution of the LOX transaction, the LBH will confirm the parties
to the transaction and the quantity allocated to each respondent.

(F) Responsibility for LOX Orders.  A Floor Member shall not be liable for
failure to execute an order as a LOX order unless such order was designated
by the customer as a LOX order.

(G) Impact on Non-LOX Orders.  In no event shall a LOX order elect stop
loss, market-if-touched or other contingency orders, or otherwise affect
orders in the regular non-LOX market.

(H) Closing Period and Post-Close Prohibition.  LOX transactions will
neither be allowed during the closing period nor during the post-close
session for applicable contracts.