Monday, November 23, 2009
8:30 a.m. and 3:30 p.m. NY time
Attend Online Only
Please join Dan Brusstar, Director of CME Group Energy Research and Product Development, as he and Dan Massey, President of Argus Media North America discuss the new suite of Argus Sour Crude Index (ASCI) products available on the New York trading floor and through CME ClearPort. The series of five products launch on Monday, November 23.
Topics covered will include:
- Overview of the new product suite
- Potential uses and market participants
- Pricing spreads with WTI and ASCI
- ASCI methodology
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Effective Sunday, November 22 for trade date Monday, November 23, in addition to the listing of the Argus Sour Crude Index (ASCI) Trade Month Swap Futures contract (announced on October 30), the Exchange will list three new ASCI products and the Argus WTI Formula Basis Calendar Month Swap Futures contract.
The five new products are:
Contract |
Code |
Chapter |
Argus Sour Crude Index ("ASCI") Trade Month Swap Futures |
29 |
221 |
Argus Sour Crude Index ("ASCI") vs. WTI Diff Spread Trade Month Swap Futures |
36 |
222 |
Argus Sour Crude Index ("ASCI") Calendar Month Swap Futures |
37 |
223 |
Argus Sour Crude Index ("ASCI") vs. WTI Diff Spread Calendar Month Swap Futures |
38 |
224 |
Argus WTI Formula Basis Calendar Month Swap Futures |
39 |
225 |
These contracts will be available for trading on the New York trading floor and for submission for clearing through CME ClearPort. These contracts are listed with NYMEX, and subject to the rules and regulations of NYMEX and Chicago Mercantile Exchange Inc. The first listed month for these contracts will be the January 2010 contract month. The contracts will be listed for 36 consecutive contract months.
Fee Schedule
The fees for the ASCI products will be waived until June 30, 2010.
Argus Sour Crude Index (ASCI) Trade Month Swap Futures contract (code 29) |
CME ClearPort Billing Rates |
NY Trading Floor Rates |
Financial Settlement Fee |
Member |
$0.85 |
Member |
$0.85 |
Member |
$0.85 |
Non-Member |
$1.35 |
Non-Member |
$1.35 |
Non-Member |
$1.35 |
|
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Blended Floor Rate |
$1.10 |
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Argus Sour Crude Index (ASCI) vs. WTI Diff Spread Trade Month Swap Futures contract (code 36) |
CME ClearPort Billing Rates |
NY Trading Floor Rates |
Financial Settlement Fee |
Member |
$2.20 |
Member |
$2.20 |
Member |
$2.20 |
Non-Member |
$2.70 |
Non-Member |
$2.70 |
Non-Member |
$2.70 |
|
|
Blended Floor Rate |
$2.45 |
|
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Argus Sour Crude Index (ASCI) Calendar Month Swap Futures contract (code 37) |
CME ClearPort Billing Rates |
NY Trading Floor Rates |
Financial Settlement Fee |
Member |
$0.85 |
Member |
$0.85 |
Member |
$0.85 |
Non-Member |
$1.35 |
Non-Member |
$1.35 |
Non-Member |
$1.35 |
|
|
Blended Floor Rate |
$1.10 |
|
|
Argus Sour Crude Index (ASCI) vs. WTI Diff Spread Calendar Month Swap Futures contract (code 38) |
CME ClearPort Billing Rates |
NY Trading Floor Rates |
Financial Settlement Fee |
Member |
$2.20 |
Member |
$2.20 |
Member |
$2.20 |
Non-Member |
$2.70 |
Non-Member |
$2.70 |
Non-Member |
$2.70 |
|
|
Blended Floor Rate |
$2.45 |
|
|
Argus WTI Formula Basis Calendar Month Swap Futures contract (code 39) |
CME ClearPort Billing Rates |
NY Trading Floor Rates |
Financial Settlement Fee |
Member |
$0.85 |
Member |
$0.85 |
Member |
$0.85 |
Non-Member |
$1.35 |
Non-Member |
$1.35 |
Non-Member |
$1.35 |
|
|
Blended Floor Rate |
$1.10 |
|
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Trading and Clearing hours
CME ClearPort: |
Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT). |
Open Outcry: |
Monday – Friday 9:00 a.m. – 2:30 p.m. (8:00 a.m. – 1:30 p.m. CT). |
For more information please contact Daniel Brusstar at (212) 299-2604.
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Beginning on Sunday, November 22, 2009 for trade date Monday, November 23, 2009, the Exchange will list for trading on the New York trading floor and for clearing through CME ClearPort a European Jet Kerosene (Platts) Cargoes CIF NWE Average Price Option. The option contract is listed with NYMEX, and subject to, the rules and regulations of NYMEX and Chicago Mercantile Exchange Inc.
Contract specifications:
Contract |
Commodity Code |
Chapter No. |
Underlying Calendar Swap |
European Jet Kerosene (Platts) Cargoes CIF NWE Average Price Option |
30 |
651A |
UJ |
Option Classification
European-style Option (Exercises on expiration day only)
Contract Size
1,000 metric tons
Expiration Date
The option expires on the last business day of the underlying calendar month.
Trading Unit
A long call option will be financially settled on expiration day by the settlement price for the underlying calendar swap less the strike price multiplied by 1,000 metric tons, or zero, whichever is greater. A long put option will be financially settled on expiration day by the strike price less the settlement price of the underlying calendar swap multiplied by 1,000 metric tons, or zero, whichever is greater.
Strike Price Intervals
Five strike prices in increments of $.50 per metric ton above and below the at-the-money strike price for a total of at least 11 strike prices. Strike price boundaries are adjusted according to futures price movements.
Minimum Price Fluctuation
$0.01 (1¢) per metric ton.
Trading Months
36 consecutive monthly contracts beginning with the December 2009 contract month.
Trading Hours
CME ClearPort: Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT).
Open Outcry: Monday – Friday 9:00 a.m. – 2:30 p.m. (8:00 a.m. – 1:30 p.m. CT).
Fee Schedule
European Jet Kerosene (Platts) Cargoes CIF NWE Average Price Option (½ Turn) |
Member |
Cross Division (Blended) |
Non-Member |
CME ClearPort |
$6.00 |
|
$9.00 |
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Open Outcry |
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Day Trade |
$3.20 |
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O/N Trade |
$6.00 |
$9.00 |
$9.00 |
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Cash Settlement |
$6.00 |
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$9.00 |
EFS, EFP, Spreads, Strips and ex Pit trades are available at standard member and nonmember rates – no surcharges apply. No block trades acceptable. |
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