PART II: SPECIFIC STANDARD TERMS FOR SWAP FUTURES CONTRACTS: F. OPTIONS 20. Heating Oil Diff EU-Style Heating Oil vs Low Sulphur Gasoil Option... 2 24. Fuel Oil Outright Fuel Oil 1% FOB NWE Cargoes (Platts) Average Price Option... 4 ICE Futures Europe 2014 1
SECTION PART II F: OPTIONS 20. HEATING OIL DIFF EU-STYLE HEATING OIL VS LOW SULPHUR GASOIL OPTION Description Contract Symbol Hedge Instrument Contract Size Unit of Trading Currency Trading Price Quotation Settlement Price Quotation Minimum Price Fluctuation Last Trading Day Option Type Option Premium/Daily Margin Expiry A monthly cash settled option based on the difference between the ICE daily settlement price for Heating Oil Futures and the ICE daily settlement price for ICE Low Sulphur Gasoil Bullet Futures. EHL The delta hedge for the EU-Style Heating Oil vs Low Sulphur Gasoil Option is the Heating Oil vs Low Sulphur Gasoil Futures Spread 1,000 barrels (42,000 gallons) Any multiple of 1,000 barrels US Dollars and cents One cent ($0.01) per gallon One hundredth of one cent ($0.0001) per gallon One hundredth of one cent ($0.0001) per gallon Trading shall end one business day prior to the Expiration Date of the ICE Heating Oil Futures contract 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 than the Last Trading Day. No manual exercise is permitted. The EU-Style Heating Oil vs Low Sulphur Gasoil Option is a premiumpaid-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. 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. 2 ICE Futures Europe 2014
The reference price will be a price in USD and cents per gallon equal to the difference between the settlement prices as made public by ICE for the Heating Oil Futures contract and the ICE Low Sulphur Gasoil Bullet Futures contract on the Last Trading Day. When exercised against, the Clearing House, at its discretion, selects sellers against which to exercise on a pro-rata basis. conversion factor: 1 metric tonne = 312.9 gallons Strike Price Intervals A minimum of 10 strikes above and below at the money in $0.01 increments will be listed at launch. This contract will support Custom Option Strikes with strikes in increments of $0.001 within a range of -$1.00 to $1.00. These ranges may be revised from time to time according to future price movements. The at-the-money strike price is the closest interval nearest to the previous business day's settlement price of the underlying contract. Contract Series Final Payment Dates business days Up to 48 consecutive months Two Clearing House Business Days following the Last Trading Day Publication days for ICE ICE Futures Europe 2014 3
SECTION PART II F: OPTIONS 24. FUEL OIL OUTRIGHT FUEL OIL 1% FOB NWE CARGOES (PLATTS) AVERAGE PRICE OPTION Description Contract Symbol Hedge Instrument Contract Size Unit of Trading Currency Trading Price Quotation Settlement Price Quotation Minimum Price Fluctuation Last Trading Day Option Type Option Premium/Daily Margin Expiry The Fuel Oil 1% FOB NWE Cargoes (Platts) Average Price Option is based on the underlying Fuel Oil 1% FOB NWE Cargoes (Platts) Future (CAR) and will automatically exercise into the settlement price of the Future on the day of expiry of the options contract. CAR The delta hedge for the Fuel Oil 1% FOB NWE Cargoes (Platts) Average Price Option is the Fuel Oil 1% FOB NWE Cargoes (Platts) Mini Future (CAT). 1,000 metric tonnes Any multiple of 1,000 metric tonnes US Dollars and cents One cent ($0.01) per metric tonne One tenth of one cent ($0.001) per metric tonne One tenth of one cent ($0.001) per metric tonne Last Trading Day of the contract month Options are Asian-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 than the Last Trading Day. No manual exercise is permitted. The Fuel Oil 1% FOB NWE Cargoes (Platts) Average Price Options are premium-paid-upfront options. 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. 16:30 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. Members cannot override automatic exercise settings or manually enter exercise instructions for this contract. 4 ICE Futures Europe 2014
The reference price will be a price in USD and cents per metric tonne based on the average of the assessment prices of the Fuel Oil 1% FOB NWE Cargoes (Platts) Future for the contract month. When exercised against, the Clearing House, at its discretion, selects sellers against which to exercise on a pro-rata basis. Strike Price Intervals A minimum of 10 strikes above and below at the money in $1.00 increments will be listed at launch. This contract will support Custom Option Strikes with strikes in increments of $0.25 within a range of $200 to $1,200. These ranges may be revised from time to time according to future price movements. The at-the-money strike price is the closest interval nearest to the previous business day's settlement price of the underlying contract. Contract Series Final Payment Dates business days Up to 60 consecutive months Two Clearing House Business Days following the Last Trading Day Publication days for Platts European Marketscan ICE Futures Europe 2014 5