EU-Style WTI Option11527595

Description

The EU-Style WTI Option is based on the underlying ICE WTI Bullet (WTB) and will automatically exercise into the settlement price of the Bullet Future on the day of expiry of the options contract.

Market Specifications

Trading Screen Product Name
Crude Futures
Trading Screen Hub Name
WTI Euro Option (Cash Settled)
Commodity Code
WUL
Hedge Instrument
The delta hedge for the EU-Style WTI Option is the ICE WTI Bullet Swap Future (WTB).
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
Trading shall end two Business Days prior to the Expiration Date of the ICE WTI Crude Futures contract, i.e. 6th US business day prior to the 25th calendar day of the month preceding the contract month. If the 25th calendar day of the month is not a US business day the final trading day shall be the trading day which is the 7th US business day preceding the 25th calendar day of the month preceding the contract month. (A US business day is a day on which NYMEX is open for business.)
Option Style
Options are European-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 (11:30EST).

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 settlement price of the ICE WTI Bullet Swap Future for the contract month. For these purposes "settlement price" means the 3rd to last business day prior to the Last Trading Day of the ICE WTI Futures contract month. When exercised against, ICE Clear Europe, at its discretion, selects sellers against which to exercise on a pro-rata basis.
Option Premium / Daily Margin
The premium on the EU-Style WTI Cash Settled Option is paid/received on the day following the day of trade. Option positions, as with Swap Future 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. All open contracts are marked-to-market daily. 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 OTC and ICE Futures Europe 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 36 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
IFEU
Clearing Venues
ICEU
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Trading Hours

CityTradingPre-Open
New York7:50 PM - 6:00 PM*
19:50 - 18:00
7:40 PM
19:40
London12:50 AM - 11:00 PM*
00:50 - 23:00
12:40 AM
00:40
Singapore8:50 AM - 7:00 AM*
08:50 - 07:00
8:40 AM
08:40

*Next Day

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Sunday Pre-Open 5:40 PM ET; Closed on Saturday

Codes

Clearing Admin Name
Crude Outrights
Physical
WUL
Logical
WBS
GMI(FC)
WU
R&N A.C.N.
SG28