Futures-equivalent
Futures-equivalent means:
(1)
(i) An option contract, whether an option on a futures contract or an option that is a swap, which has been:
(A) Adjusted by an economically reasonable and analytically supported exposure to price changes of the underlying referenced contract that has been computed for that option contract as of the previous day's close or the current day's close or computed contemporaneously during the trading day, and
(B) Converted to an economically equivalent amount of an open position in the underlying referenced contract.
(ii) An entity is allowed one business day to liquidate an amount of the position that is in excess of speculative position limits without being considered in violation of the speculative position limits if such excess position results from:
(A) A position that exceeds speculative position limits as a result of an option contract assignment; or
(B) A position that includes an option contract that exceeds speculative position limits when the applicable option contract is adjusted by an economically reasonable and analytically supported exposure to price changes of the underlying referenced contract as of that business day's close of trading, as long as the applicable option contract does not exceed such speculative position limits when evaluated using the previous business day's exposure to the underlying referenced contract. This paragraph (B) shall not apply if such day would be the last trading day of the spot month for the corresponding core referenced futures contract.
(2) A futures contract which has been converted to an economically equivalent amount of an open position in a core referenced futures contract; and
(3) A swap which has been converted to an economically equivalent amount of an open position in a core referenced futures contract.