Crude Diff - TMX WCS 1a Index Average Price Option65898903

Description

The TMX WCS 1a Index Average Price Option is based on the underlying TMX WCS 1a Index Future (TMW) and will automatically exercise into the TMX WCS 1a Index Future (TMW) on the day of expiry of the options contract.

Market Specifications

Trading Screen Product Name
TMX WCS 1a Index Futures
Trading Screen Hub Name
TMX WCS 1a Index
Commodity Code
TMW
Hedge Instrument
The delta hedge for the TMX WCS 1a Index Average Price Option is the TMX WCS 1a Index Future (TMW)
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
One hundredth of one cent ($0.0001) per barrel
Minimum Price Fluctuation
One hundredth of one cent ($0.0001) per barrel
Last Trading Day
Trading shall cease one Canadian business day prior to the Notice of Shipments (NOS) date on the Enbridge Pipeline. The NOS date occurs on or about the 20th calendar day of the month, subject to confirmation by Enbridge Pipeline. The official schedule for the NOS dates will be made publicly available by Enbridge Pipeline prior to the start of each year.
Option Style
Options are average priced and will be automatically exercised into the TMX WCS 1a Index Future 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 than the Last Trading Day. No manual exercise is permitted.
Option Premium / Daily Margin
The TMX WCS 1a Index Average Price Option is a premium-paid-upfront option. The traded premium will therefore be debited by the Clearing House from the Buyer and credited to the Seller on the morning of the Business Day following the day of trade. Members who are long premium-paid-upfront options will receive a Net Liquidating Value (NLV) credit to the value of the premium which is then used to offset the initial margin requirement flowing from both these options and positions in other energy contracts. Members who are short premium-paid-upfront options will receive an NLV debit in addition to their initial margin requirement. NLV is calculated daily with reference to the settlement price of the option.
Expiry
14:30 ET

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 based on the TMX WCS 1a Index, as published by NGX for the contract month.
Strike Price Intervals
A minimum of 20 Strike Prices in increments of $0.01 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 60 consecutive months
Final Payment Date
Two Clearing House Business Days following the Last Trading Day
Business Days
Publication days for NGX Crude Oil Markets
MIC Code
IFEU
Clearing Venues
ICEU