Futures and Options Contracts on Oil

Transcription

1 Futures and Options Contracts on Oil TRADING GUIDE SEPTEMBER 2017 Version 4 w w w. r o f e x. c o m. a r

2 1. SUMMARY On June 15 th 2011, ROFEX launched the operation of the futures new contracts on crude oil. This document introduces the product while listing its main features and describing the basic aspects for its trading. The guide also contains information about how to prepare the frontoffice and back-office systems for incorporating this product. The contents of this document are informative and their purpose is to summarize the main points of interest related to the operation trading of futures contracts on crude oil. Although this document addresses the most important contract characteristics to date, they are subject to modifications according to changes in the market situation. The trading guide does not substitute nor complement the Internal Rulebook, the terms and conditions of the futures and options contracts, notices or any other provisions issued by the Board of Directors and other ROFEX S.A. and Argentina Clearing S.A. competent bodies. 2

3 2. OIL DERIVATIVES 2. a. Description In an attempt to provide investors with a high-liquidity product in the international market, ROFEX has developed an innovative product in the domestic financial market: the futures contract on crude oil. This new contract allows ROFEX to offer its agents the possibility of: - Hedging against the price of domestic oil-linked financial assets. - Offering price hedging opportunities to market participants (crude oil producers, refineries, distributors, crude oil buyers, etc.). - Providing retail investors with the access to a financial product of high international liquidity. - Providing leverage before oil price expectations. - Investing in crude oil by means of a financial asset traded, cleared and settled in the local market. 2. b. Contract specifications RULEBOOK OF THE FUTURES CONTRACT ON CRUDE OIL Underlying asset NYMEX WTI crude oil (Light Sweet Crude Oil). Contract size It shall be of ten (10) barrels. Trading and Each contract shall be called, quoted, traded, quotation registered, adjusted and cleared in American dollars currency (herein, USD). The quotation shall be made per barrel, with two decimals. The trading unit shall be one (1) futures contract on crude oil. Available series Series shall be listed with expiration in every month Expiration date and last trading day Minimum price variation Maximum price variation Settlement method of the year. It shall be the sixth (American) business day before the 25 th day of the contract month. If the 25 th day was a non-business day (in the USA), the contract shall expire on the sixth business day (in the USA) before the business day (in the USA) immediately before the 25 th day of the contract month. Once the expiration day is determined as per the previous item, if this was a non-business day in the local market, the contract shall expire on the immediately previous business day in both markets. The contract minimum price variation shall be USD 0.01 per barrel. A limit system of prices fluctuation up to a value equivalent to 150% of the margins demanded by the Clearing House shall be adopted. This maximum fluctuation shall not be applied on the first and last trading day, or when the respective contract has not been traded the previous day. There shall be no physical delivery of the crude oil product for the contracts which shall continue open at the end of the last trading day. They shall be 3

4 settled by price marking-to-market in cash. The final settlement price shall be determined based on the adjustment price for the first open position in the WTI futures contract on crude oil of the CME Group (Crude Oil Futures) for the contract expiration date. RULEBOOK OF THE OPTIONS CONTRACT ON CRUDE OIL Underlying asset Futures contract on crude oil, (WTI) (Light Sweet Crude Oil). Contract size It shall be one (1) futures contract on crude oil. Trading and quotation It shall be the same as that of the underlying futures currency contract. Available series Series shall be listed with expiration in every month of the year. Expiration date and It shall be the same as that of the underlying futures last trading day contract. Minimum price The contract minimum price variation shall be USD variation 0.01 per barrel. Exercise prices The exercise prices shall be expressed in terms of USD per barrel. The Board of Directors may modify the rules governing the establishment of the exercise prices at its discretion. Exercise The options contract shall be exercised in the following way: Exercise of the option by the buyer: the options contract holder may exercise it on any business day until the last trading day, and to do so, he must duly inform his will in that sense to the Clearing House. Automatic exercise: if there are no contrary instructions delivered to the Clearing House before the end of its trading, any options contract with intrinsic value shall be automatically exercised. Assignment: the exercise notices received by the Clearing House shall be randomly assigned to sellers. 4

5 3. TRADING-SPECIFIC QUESTIONS 3. a. Round times The futures and options contracts on oil shall be traded within the ROFEX RFX-OTHERS segment. The trading round shall be: Phase times Trading Post-trading 10 a.m. 5 p.m. 5 p.m p.m. 3. b. Trading modes MODE All or none Previous trading (block trade) MINIMUM AMOUNT PER ROW Futures: 100 contracts Options: N/A Futures: 200 contracts Options: 100 contracts 3. c. Margins Margins are established by Argentina Clearing S.A. clearing house which shall be responsible for informing them by notice. These amounts shall be periodically adjusted based on the volatility and other market conditions, and are updated in the following link. 3. d. Limits to open positions (LOP) LOPs are established by notice by Argentina Clearing S.A. These amounts may be periodically adjusted and may be checked in the following link. 3. e. Registration rights The product registration and clearing rights shall be defined by ROFEX and Argentina Clearing S.A. and informed by the due notices. The registration and clearing rights in force may be checked on the following link. 5

6 3. f. E-Trader acronyms In the trading screen (e-trader), the product shall be displayed on the central panel, with the following acronym: 4. CLEARING WTI Marking-to-Market, profits/losses and premiums shall be debited from or credited to the clearing member s clearing and settlement account in USD. 6