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Description

The WTI Crude Oil 1-Month Calendar Spread Option is based on the difference between two consecutive WTI Crude Futures months.

Market Specifications

Trading Screen Product Name

Crude Futures

Trading Screen Hub Name

WTI CSO 1 Month

Contract Symbol

TIA

Contract Size

1,000 barrels

Unit of Trading

Any multiple of 1,000 barrels.

Currency

US Dollars and cents

Trading Price Quotation

One cent ($0.01) per barrel

Settlement Price Quotation

One tenth of one cent ($0.001) per barrel

Minimum Price Fluctuation

One tenth of one cent ($0.001) per barrel

Last Trading Day

Trading shall cease at the end of the designated settlement period on the Last Trading Day of the nearby month ICE WTI Crude Futures contract.

Option Style

Options are European style and will be automatically exercised on the expiry day if they are “in the money”. The future resulting from exercise immediately goes to cash settlement relieving market participants of the need to concern themselves with liquidation or exercise issues. If an option is “out of the money” it will expire automatically. It is not permitted to exercise the option on any other day or in any other circumstances. No manual exercise is permitted.

Expiry

19:30 London Time (14:30 EST).

Automatic exercise settings are pre-set to exercise contracts which are one minimum price fluctuation or more ‘in the money’ with reference to the relevant reference price. Members cannot override automatic exercise settings or manually enter exercise instructions for this contract.

The reference price will be a price in USD and cents per barrel equal to the difference between the settlement price of the nearby ICE WTI Crude Futures contract and the settlement price of the next consecutive contract month of the ICE WTI Crude Futures contract series on the Last Trading Day.

Option Premium / Daily Margin

Calendar Spread Options are equity-style and there is no daily Variation Margin payment. The premium on the Calendar Spread Option is paid/received on the business day following the day of trade. Net Liquidating Value (NLV) will be re-calculated each business day based on the relevant daily settlement prices. For buyers of options the NLV credit will be used to off-set their Original Margin (OM) requirement; for sellers of options, the NLV debit must be covered by cash or collateral in the same manner as OM requirement. OM for all options contracts is based on the ICE® Risk Model

Strike Price Intervals

A minimum of 10 Strike Prices in increments of $0.05 per bbl above and below the at-the-money Strike Price. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in $0.01 increments.

Contract Series

Up to 48 consecutive 1-month calendar spreads

Final Payment Date

Two Clearing House Business Days following the Last Trading Day.

Business Days

Publication days for NYMEX

MIC Code

IFED

Clearing Venues

ICEU

Trading Hours

Codes