European Climate Exchange (ECX) and ICE Futures Europe® today introduced the ICE ECX EUA and CER serial options contract, designed to attract more participation in the options market.
The first ECX EUA serial option was transacted between RNK Capital and Citigroup at 08.28hrs UK local time for 250 lots (equivalent to 250,000 tonnes of CO2) for the Sep09 option contract month. The deal was brokered by Evolution Markets.
The Quarterly Serial Options introduce additional option contract months for March, June and September, all of which expire into the December Futures contract of the equivalent year. For example, on expiry of the Sep09 option, the holder of an in-the-money position will acquire a Dec09 futures position.
ICE ECX Serial Options will allow users to benefit from the liquid underlying December futures contracts while taking advantage of a shorter time value of the option. All trades are cleared through ICE Clear Europe®.
Patrick Birley, Chief Executive of ECX, commented “As the carbon market continues to mature, participants require increasingly sophisticated products to optimise their trading strategies. The ECX serial options offer a significant trading tool that can help players hedge their risks in a cost-efficient manner.”
For more information, please find Expiry Schedule and Key Features in Appendix.
Appendix
1:
Expiry
Schedule ICE ECX EUA and CER Serial Options
Each
year, on expiry of the December Options contracts, further March, June and
September contracts will be listed. For example on expiry of the Dec 2009
option contract, Mar 2011, Jun 2011 and Sep 2011 option contracts will be
listed.
| Options
Delivery Month |
ICE ECX EUA and CER
Options Expiry |
Underlying Futures Contract Month |
ICE ECX EUA and CER
Futures Expiry |
| September
2009 |
23 Sep 2009 |
Dec 2009 |
28 Sep 2009 |
| December
2009 |
9 Dec 2009 |
Dec 2009 |
14 Dec 2009 |
| March
2010 |
17 Mar 2010 |
Dec 2010 |
22 Mar 2010 |
| June
2010 |
23 Jun 2010 |
Dec 2010 |
28 Jun 2010 |
| September
2010 |
22 Sep 2010 |
Dec 2010 |
27 Sep 2010 |
| December
2010 |
15 Dec 2010 |
Dec 2010 |
20 Dec 2010 |
| December
2011 |
14 Dec 2011 |
Dec 2011 |
19 Dec 2011 |
| December
2012 |
12 Dec 2012 |
Dec 2012 |
17 Dec 2012 |
Appendix 2:
Key features ICE ECX EUA and CER Serial Option contracts
| Underlying |
The
underlying contract is the December Future of the relevant year. For
example, the underlying contract for the March 10 option is the December
10 Future. |
| Unit
of Trading |
One ICE ECX EUA Options contract/ One ICE
ECX CER Options contract. |
| Minimum
trading size |
1
lot. |
| Quotation
|
Euro
(€) and Euro cent (c) per metric tonne. |
| Tick
size |
€0.01
per tonne. |
| Strike
price increments |
A
range of one-hundred and nine strike prices are automatically listed for
each contract month covering the price range from €1.00 - €55.00.
Strike price intervals are €0.50. |
| Contract
months |
Up
to 8 contract months are listed on a quarterly expiry (March, June,
September and December), with 4 new contract months listed on expiry of
the December contract. Additional December contracts are listed
out to Dec 12. |
| Last
Trading Day |
Three
Exchange Trading Days before the expiry of the corresponding March,
June, September or December contract month of the ICE ECX EUA Futures
Contract. |
| Option
premium |
As
this is a European-style option, premiums are paid at the time of the
transaction. |
| Trading
hours |
07:00
hours to 17:00 hours UK Local Time |
| Settlement
prices |
Trade
weighted average of trades executed during the daily designated
settlement period (16:50:00 – 16:59:99 UK Local Time) in accordance
with Trading Procedure 2.4.9. |
| Nature
of exercise |
ICE ECX EUA Serial Options will be
exercised into ICE ECX EUA Futures contracts and are of European-style
exercise, such that at expiry automatic exercise will occur of options
which are one or more ticks in the money. (At-the-money and out-of
the-money options will lapse). |
| Clearing |
ICE
Clear Europe Ltd will act as central counterparty to all trades |
| Margin |
Variation
and initial margin will be charged in the usual manner by ICE Clear
Europe Limited. |
