- Trading Screen Product Name
- Crude Futures
- Trading Screen Hub Name
- Brent Daily CSO 1 Month
- Contract Symbol
DBO
- Hedge Instrument
The delta hedge for the Daily 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
The contract expires at 14:30 EST of the business day equal to the
contract period.
- 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. For these purposes
“settlement price” means the official settlement value
of the ICE Brent Crude Futures contract month for the active day of
the option.
All “in the money” options will be exercised into an
equivalent cash value of the underlying calendar spread.
- Roll Adjust Provision
In order to use the most liquid calendar spread, the underlying
spread will be defined as the front month minus the second month in
ICE Brent Futures, except for the expiration date of the ICE Brent
Futures delivery month. On such a date, the underlying calendar
spread will be rolled into the difference of the second and third
months. In the event the listed option is set to expire on ICE
Brent Futures expiration, the underlying spread will be referred to
as the second month minus the third month, until the front month is
fully expired
- 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 6 consecutive business days
- 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