- Trading Screen Product Name
- London Cocoa 2-Month CSO
- Trading Screen Hub Name
- ICEU
- Contract Symbol
C2 (two-month series)
Determining the two futures contracts in a CSO pair requires
knowing both the underlying futures contract and the length of the
spread. For London Cocoa CSOs, the contract code is C and the
number character indicates the length of the spread.
For example, Contract Symbol “C1”, the “1”
indicates that the second month in the spread pair is ONE contract
delivery month forward from the front month of the pair. If the
month symbol is Z19 (December 2019), the Contract Symbol
“C1” implies that the second month in the pair is H20
(March 2020) – one contract delivery month forward from the
Z19.
Likewise, Contract Symbol “C2”, would imply that the
second month in the pair is K20 (May 2020) – two contract
delivery months forward from the Z19.
- Contract Size
A spread position between the two London Cocoa Futures contracts
- Price Quotation
£ per tonne
- Contract Series
March, May, July, September, December.
2-month series: Each of the first eight listed futures months
paired with the second month forward from that month.
- Minimum Price Fluctuation
£1 per tonne (£10)
- Daily Price Limit
None
- Exercise Procedure
American Style
- Strike Price Intervals
5-tick intervals (£5 per tonne)
- Last Trading Day
Each CSO contract ceases trading at 12pm on the last trading day of
the regular option on the earlier of the two contract months in the
spread pair; for example, all CSO contracts for which the December
2019 future is the front month of the pair will expire on the last
trading day of the December 2019 regular option.
- Call Option
Buyer of a CSO Call Option has the right to establish a spread
position of long the first month in the spread pair and short the
second month in the pair, at a price difference equal to the Strike
Price of the CSO contract.
- Put Option
Buyer of a CSO Put Option has the right to establish a spread
position of short the first month in the spread pair and long the
second month in the pair, at a price difference equal to the Strike
Price of the CSO contract.
- Strike Price
The Strike Price of an CSO contract can be positive (indicating the
price of the front month is above the price of the back month in
the pair), negative (indicating the price of the front month is
below the price of the back month in the pair) or zero (indicating
the prices of the two months in the pair are the same).
- MIC Code
- IFLX
- Clearing Venues
- ICEU