Although NYMEX only uses its position limits as guidelines
of whether or not to investigate an entity’s position, it is
interesting to note how far above these guidelines Amaranth
was. The NYMEX guideline is to examine entities with an
amount over 12,000 contracts in any given maturity. One can
see from Figure 8 that Amaranth had exceeded this “guideline”
by a substantial amount. Perhaps a quantitative rule would be
better than a qualitative rule. With quantitative rules,
Amaranth’s positions would never have been able to be so
large