- 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