- Trading Screen Product Name
- Crude Futures
- Trading Screen Hub Name
- WTI 1st Line
- Contract Symbol
R
- Hedge Instrument
The delta hedge for the WTI Average Price Option is the ICE WTI 1st
Line Swap Future (R).
- 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 WTI 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 WTI Average Price Option is paid/received on the
day following the day of trade. Option positions, as with swap
futures positions, are marked-to-market daily giving rise to
positive or negative realized potential variation margin flows.
Once the premium is paid there is no additional variation or
initial margin payable by the buyer of the option. Initial margin
is payable by the buyer and seller of the option, but for the buyer
the initial margin will not exceed the value of the premium paid.
In addition, the buyer may use the value of the premium of an
in¬the-money option collateral against other ICE/ICE Futures
margin obligations at ICE Clear Europe
- 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 96 consecutive months
- Final Payment Date
Two Clearing House Business Days following the Last Trading Day.
- Business Days
Publication days for ICE
- Linked Future
Yes
- MIC Code
- IFED
- Clearing Venues
- ICEU