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Description

The RBOB Gasoline 1-Month Calendar Spread Option is based on the difference between two consecutive RBOB Gasoline Futures months.

Market Specifications

Trading Screen Product Name

Gasoline Diff Futures

Trading Screen Hub Name

RBOB CSO 1 Month

Contract Symbol

RCM

Contract Size

1,000 barrels (42,000 gallons)

Unit of Trading

Any multiple of 1,000 barrels (42,000 gallons).

Currency

US Dollars and cents

Trading Price Quotation

One hundredth of one cent ($0.0001) per gallon

Settlement Price Quotation

One hundredth of one cent ($0.0001) per gallon

Minimum Price Fluctuation

One hundredth of one cent ($0.0001) per gallon

Last Trading Day

Trading shall end at the end of the designated settlement period on the Expiration Date of the nearby month ICE RBOB Gasoline 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.

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 recalculated 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

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 gallon equal to the difference of the nearby ICE RBOB Gasoline Futures contract and the next consecutive contract month of the ICE RBOB Gasoline Futures contract series. For these purposes “settlement price” means the last day of the ICE RBOB Gasoline Futures contract month. When exercised against, the Clearing House, at its discretion, selects sellers against which to exercise on a pro-rata basis.

Strike Price Intervals

A minimum of 10 Strike Prices in increments of $0.01 per gal 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 $0.001 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 ICE

MIC Code

IFED

Clearing Venues

ICEU

Trading Hours

Codes