- Trading Screen Product Name
- Crude Futures
- Trading Screen Hub Name
- Brent CSO 1 Month
- Contract Symbol
BRM
- Hedge Instrument
The delta hedge for the Brent 1-Month Calendar Spread Option is the
ICE Brent Crude Future.
- 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 at the end of the designated settlement period
one business day prior to the Expiration Date of the nearby month
ICE Brent Crude Futures contract.
- Option Style
Options are European style and will be automatically exercised on
the expiry day if they are “in the money”. The 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
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 difference between the settlement price of the nearby
ICE Brent Crude Futures contract and the settlement price of the
next consecutive contract month of the ICE Brent Crude Futures
contract series on the Last Trading Day.
- 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
A minimum of 10 Strike Prices in increments of $0.05 per bbl above
and below the at-the-money Strike Price. Strike Price boundaries
are adjusted according to futures price movements. User-defined
Strike Prices are allowed in $0.01 increments.
- Contract Series
Up to 48 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