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Description

The Brent Average Price Option is based on the underlying ICE Brent 1st Line Future (I) and will automatically exercise into the settlement price of the 1st Line Future on the day of expiry of the options contract.

Market Specifications

Trading Screen Product Name

Crude Futures

Trading Screen Hub Name

Brent 1st Line

Contract Symbol

I

Hedge Instrument

The delta hedge for the Brent Average Price Option is the ICE Brent 1st Line Swap Future (I)

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

Last Trading Day of the contract month

Option Style

Options are Asian-style and will be automatically exercised on the expiry day if they are “in the money”. The swap 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 than the Last Trading Day. 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 average of the settlement prices as made public by ICE for the Brent 1st Line Swap Future for the contract month. When exercised against, the Clearing House, at its discretion, selects sellers against which to exercise on a pro rata basis.

Option Premium / Daily Margin

The premium on the Brent Average Priced 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 option’s delta.

Strike Price Intervals

Minimum $0.50 increment strike prices. $1.00 Strikes from $20 to $240. $0.50 strikes 20 strikes above and below ATM. The “at the money” strike price is the closes interval nearest to the previous business day’s settlement price of the underlying contract.

Contract Series

Up to 72 consecutive months

Final Payment Date

Two Clearing House Business Days following the Last Trading Day.

Business Days

Publication days for ICE

MIC Code

IFEU

Clearing Venues

ICEU

Trading Hours

Codes