CME Group Wheat

From MarketsWiki
Jump to navigation Jump to search


Vela-Exegy.jpg


CME Group wheat futures and options trade both by open outcry and by electronic trading. During what are called "regular trading hours" (RTH), wheat futures trade side by side on Globex and on the trading floor, while options trade only on the trading floor. During electronic trading hours (ETH), both wheat futures and options are traded.

Background[edit]

What has been a staple food product of major civilizations in Europe, Western Asia and North Africa for 8000 years.[1]

Wheat futures and options migrated from the eCBOT trading platform to CME Globex on the evening of Jan. 13, 2008.

On August 5, 2010, CBOT wheat futures and options had record volume on futures listings of 354,169 contracts. The prior record was 294,345 on August 2, 2010.[2]

In July of 2013, the exchange announced the launch of Short-Dated New Crop Options on KC Hard Red Winter (HRW) Wheat futures, pending CFTC approval. The options will be available for trading on the Chicago trading floor and CME Globex on Monday, August 26, 2013, and will be subject to the rules and regulations of the KCBT.[3]

Commitments of Traders[edit]

The Commodity Futures Trading Commission regularly issues Commitments of Traders reports that show the distribution of open positions among different classes of traders. Information about wheat positions is available in this report.[4]

Delayed Quotes[edit]

Delayed quotes on CME Group wheat are available on the CBOT Web site.[5]

Controversy[edit]

There has been some debate regarding whether the exchange should take measures to change the specifications of the contract. Some traders and analysts believe the contract needs to be switched to a cash index settlement. Others think a complete change in the contract's physical delivery locations is needed. The problem is a lack of convergence between futures and cash prices at futures expiration.[6]

Contract Specifications[edit]

Wheat Futures
Contract Unit 5,000 bushels (~ 136 metric tons)
Price Quotation U.S. cents per bushel
Trading Hours CME Globex: Sunday – Friday: 7:00 p.m. – 7:45 a.m. CT and

Monday – Friday: 8:30 a.m. – 1:20 p.m. CT

TAS: Sunday - Friday 7:00 p.m. - 7:45 a.m. and ? Monday - Friday 8:30 a.m. - 1:15 p.m. CT

CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Minimum Price Fluctuation 1/4 of one cent (0.0025) per bushel = $12.50
Product Code CME Globex: ZW

CME ClearPort: W

Clearing: W

TAS: ZWT

Listed Contracts 15 monthly contracts of Mar, May, Jul, Sep, Dec listed annually following the termination of trading in the July contract of the current year.
Settlement Method Deliverable
Termination of Trading Trading terminates on the business day prior to the 15th day of the contract month.
Trade at Marker or Trade at Settlement Rules Trading at Settlement (TAS) is subject to the requirements of Rule 524.A. TAS trades off a "Base Price" of zero (equal to the daily settlement price) to create a differential versus the daily settlement price in the underlying futures contract month. The TAS clearing price equals the daily settlement price of the underlying futures contract month plus or minus the TAS transaction price.

TAS Table

Settlement Procedures Wheat Settlement Procedures
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 14
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Last Delivery Date Second business day following the last trading day of the delivery month.
Grade and Quaity #2 Soft Red Winter at contract price, #1 Soft Red Winter at a 3 cent premium, other deliverable grades listed in Rule 14104.
Wheat Options
Contract Unit 1 Chicago SRW Wheat Futures contract for 5,000 bushels
Minimum Price Fluctuation 1/8 of one cent (0.00125) per bushel = $6.25
Price Quotation U.S. cents per bushel
Trading Hours CME Globex: Sunday – Friday, 7:00 p.m. – 7:45 a.m. CT and

Monday – Friday, 8:30 a.m. – 1:20 p.m. CT

Open Outcry: Monday – Friday, 8:30 a.m. – 1:15 p.m. CT with post session until 1:20 p.m. CT immediately following the close
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Product Code CME Globex: OZW

CME ClearPort: W

Open Outcry: Put: WZ Call: WY

Clearing: W

Listed Contracts Monthly contracts listed for 3 consecutive months, 6 monthly contracts of Mar, May, Jul, Sep, Dec and an additional Jul contract month listed in July.
Termination of Trading Trading terminates on Friday which precedes, by at least 2 business days, the last business day of the month prior to the contract month.
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 14A
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Trading shall be conducted for put and call options with striking prices in integral multiples of five (5) cents and ten (10) cents per bushel. More details on strike price intervals are outlined in Rule 14A01.E.
Exercise Style The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to the Clearing House by 5:30 p.m. Chicago time. Option exercise results in an underlying futures market position. Options in-the-money on the last day of trading are automatically exercised.
Settlement Method Deliverable
Underlying Wheat Futures

Notes[edit]

Also See[edit]

CME Group commodity products

Resources[edit]

References[edit]