- Trading Screen Product Name
- Crude Futures
- Trading Screen Hub Name
- ICE SW 1a Index
- Contract Symbol
TMR
- Hedge Instrument
The delta hedge for the ICE SW 1a Index Average Price Option is the
ICE SW 1a Index Future (TMR)
- 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 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 ICE SW 1a Index Future on the expiry day if they are “in
the money". The Futures Contract resulting from exercise
immediately goes to cash settlement. 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 ICE SW 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 EPT (19:30 London Time).
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.
Clearing 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 ICE SW 1a Index, as published by ICE-NGX for the
contract month.
- Strike Price
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 ICE-NGX Crude Oil Markets
- MIC Code
- IFED
- Clearing Venues
- ICEU