The commodity and energy markets cover a plethora of products, trading dynamics and varying levels of liquidity. ICE’s proprietary technology processes a broad range of market information on an intraday basis and generates theoretical prices and volatility surfaces across liquid and thinly traded markets.

Update Frequency

  • Intraday theoretical prices are published during entire trading session and refreshed up to every second, depending on market volatility. (e.g. Brent prices are currently published 60k times a day)
  • Intraday volatility surface snapshots published each minute during the trading session in delta pillar and moneyness.

Data Coverage

  • Energy including Oil, NGL, Power, Gas, Coal, Emission, LNG and Freight
  • Metals including base, precious, ferrous
  • Agricultural products including soft, grain, dairies

Methodology

  • Inputs used to generate the data include exchange and off-exchange market data on futures, time spreads, swaps, cracks, differentials and options.
  • Data generation process is based on algorithms linked to product market dynamics.

Multiple use-cases

Helping asset managers, banks, commodity traders and compliance managers across the front, middle and back office.

Front Office

  • Helps support business decisions with intraday market insight on thinly traded products
  • Supports the creation of structures such as boxes, fly, refinery margins

Middle Office & Risk

  • Allows calculation of End-of-Day risk at specific times with consistent market data
  • Can help add operational control over your trader/PM book risk and P&L through the entire day
  • Allows for Best Execution analysis by comparing executed price against independent market data

Access

Enterprise License

Individual License

ICE Portfolio Analytics

Unique pricing and risk management for managing ETD & OTC commodity and energy positions.

Benefits

  • A cross-asset system covering ETD (future, vanilla, APO, CSO), Corporate Hedges (Swap, Asian, Gas Formula, Spread Option), investors flow/strategies (Barrier, Variance, Swap, Accumulator)
  • Wide product coverage including Energy (Oil, NGL, Gas, Power, LNG, Coal, Emission, Freight), Metals (Base, Precious, Ferrous), Agriculture (Soft, Grain Dairies), FX, Rates and Credit