- Trading Screen Product Name
- Gasoil Futures
- Trading Screen Hub Name
- LS GO CSO 1 Month
- Contract Symbol
UUM
- Hedge Instrument
The delta hedge for the Low Sulphur Gasoil 1-Month CSO is the ICE
Low Sulphur Gasoil Futures Spread (ULS).
- Contract Size
100 metric tonnes
- Unit of Trading
Any multiple of 100 metric tonnes.
For Call options, the value of the calendar spread less the strike
price. An in-the-money call at expiration will result in a swap
future that equals the net value of a position that is long in the
first underlying ICE Low Sulphur Gasoil Futures contract month and
short in the ICE Low Sulphur Gasoil Futures contract month 1 month
following the first underlying.
For Put options, the strike price less the value of the calendar
spread. An in-the-money put at expiration will result in a swap
future that equals the net value of a position that is short in the
first underlying ICE Low Sulphur Gasoil Futures contract month and
long in the ICE Low Sulphur Gasoil Futures contract month 1 month
following the first underlying.
- Currency
US Dollars and cents
- Trading Price Quotation
One cent ($0.01) per metric tonne
- Settlement Price Quotation
One tenth of one cent ($0.001) per metric tonne
- Minimum Price Fluctuation
One tenth of one cent ($0.001) per metric tonne
- Last Trading Day
Close of business on the Penultimate Trading Day of the underlying
ICE Low Sulphur Gasoil Futures contract. In this case the close of
business refers to the settlement time of the Low Sulphur Gasoil
Futures at 16:30 London time.
- 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.
No manual exercise is permitted.
- Expiry
16:30 London Time (11:30 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 metric
tonne equal to the difference of the nearby ICE Low Sulphur Gasoil
Futures contract and the next consecutive contract month of the ICE
Low Sulphur Gasoil Futures contract series. For these purposes
'settlement price' means the last day of the ICE Low Sulphur Gasoil
Futures 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
Calendar Spread Options are equity-style and there is no daily
Variation Margin payment. The premium on the Calendar Spread 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 ICE®
Risk Model
- Strike Price Intervals
Standard $1.00 strikes from 20 strikes above and below the
at-the-money. Additional strikes added as appropriate. The
at-the-money strike price is the closest interval nearest to the
previous business day’s settlement price of the corresponding
underlying 1-month calendar spread contract.
- Contract Series
Up to 36 consecutive 1-month calendar spreads
- 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