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Description

The Daily EU-Style Brent Option contract is based on the underlying ICE Brent Crude Futures Contract (B) and will automatically exercise into the settlement price of the corresponding future. The Daily Options are short-life, EU-style options that will immediately settle into the cash value of the underlying future’s daily settlement price.

Market Specifications

Trading Screen Product Name

Crude Daily Futures

Trading Screen Hub Name

Brent Daily Euro Option (Cash Settled)

Contract Symbol

BDE

Hedge Instrument

The delta hedge for the Daily EU-Style Brent Option is the ICE Brent Crude Future (B).

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 cent ($0.01) per barrel

Minimum Price Fluctuation

One cent ($0.01) per barrel

Last Trading Day

Trading shall cease at the end of the designated settlement period of the ICE Brent Crude Futures Contract on the business day that it was listed on.

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.

Expiry

The Daily EU-Style Brent Option will be exercised into the cash value of the settlement of the front-month Brent Futures contract. On expiry day, automatic exercise settings are pre-set to exercise call and put option contracts that are one minimum price fluctuation or more in-the-money and call option contracts which are at-the-money with reference to the corresponding daily settlement price at the designated settlement time as determined by the Exchange. At-the-money put options will be abandoned.

Strike Price Intervals

A minimum of 10 Strike Prices in increments of $0.50 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

Daily contract listed for 1 day

Final Payment Date

One Clearing House Business Day following the Last Trading Day

Business Days

Publication days for ICE

MIC Code

IFEU

Clearing Venues

ICEU

Trading Hours

Codes