ICE Brent Crude Oil

From MarketsWiki
Jump to navigation Jump to search
ICE wiki logo.jpg

Brent Crude is a hybrid of multiple crude varieties produced from the North Sea and represents a major benchmark for light, sweet crude oil. In 2016, 210.5 million contracts were traded.[1]

Brent Crude Oil Futures
Trading Screen Product Name Brent Crude Futures
Trading Screen Hub Name North Sea
Contract Symbol B
Contract Size 1,000 barrels
Unit of Trading Any multiple of 1,000 barrels
Currency US Dollars and cents
Trading Price Quotation One cent ($0.01) per barrel
Settlement Price Quotation One cent ($0.01) per barrel
Minimum Price Fluctuation One cent ($0.01) per barrel
Expiration Date Trading shall cease at the end of the designated settlement period on the last Business Day of the second month preceding the relevant contract month (e.g. the March contract month will expire on the last Business Day of January).

If the day on which trading is due to cease would be either: (i) the Business Day preceding Christmas Day, or (ii) the Business Day preceding New Year’s Day, then trading shall cease on the next preceding Business Day

Contract Security ICE Clear Europe acts as the central counterparty for trades conducted on the London exchanges. This enables it to guarantee the financial performance of every contract registered with it by its members (the clearing members of the exchanges) up to and including delivery, exercise and/or settlement. ICE Clear Europe has no obligation or contractual relationship with its members' clients who are non-member users of the exchange markets, or non-clearing members of the exchanges.
Daily Settlement The weighted average price of trades during a two minute settlement period from 19:28:00, London time.
Daily Margin All open contracts are marked-to-market daily.
Position Limit The Brent crude future is a cash-settled contract. The Exchange's daily position management regime requires that all positions in any contract month must be reported to the exchange on a daily basis. The Exchange has powers to prevent the development of excessive positions or unwarranted speculation or any other undesirable situation and may take any steps necessary to resolve such situations including the ability to mandate members to limit the size of such positions or to reduce positions where appropriate
Expiry Limits The Exchange may impose limits on positions in this contract at its discretion in accordance with Exchange Rule P3.

Current expiry limit: 6,000 contracts in the last five business days, up to and including the expiry day in the spot month, inclusive of futures-equivalent position in Brent Options.

Exemptions from expiry limits may be granted at the Exchange’s discretion to participants who provide and document a commercial rationale for their requirement

Contract Series Up to 96 consecutive months
Trading Methods Electronic futures, Exchange of futures for physical (EFP), Exchange of futures for swap (EFS) and Block Trades are available for this contract.
Delivery/Settlement Terms The ICE Brent Crude futures contract is a deliverable contract based on EFP delivery with an option to cash settle against the ICE Brent Index price for the last trading day of the futures contract. The Exchange shall publish a cash settlement price (the ICE Brent Index price) on the next trading day following the last trading day for the contract month.
NCR, RL and IPL Levels NCR: 0.50;

RL: 0.75; IPL: 1.00, 3 second recalculation and 5 second hold periods.

To access NCR documentation click here.[2]

Markers TAS (Trade at Settlement)[3]MM (Minute Marker)[4]

Sing MM (Singapore Minute Marker)[5]

Business Days ICE Business Days
MIC Code IFEU
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 8:00 PM - 6:00 PM*

20:00 - 18:00

7:45 PM

19:45

LONDON 1:00 AM - 11:00 PM*

01:00 - 23:00

12:45 AM

00:45

SINGAPORE 9:00 AM - 7:00 AM*

09:00 - 07:00

8:45 AM

08:45

*Next Day
Codes Clearing Admin Name IPE e-Brent
Physical B
Logical BRN
GMI (FC) BC
ION A.C.N. 0952
Brent Crude American-style Options
Trading Screen Product Name Brent Crude Futures
Trading Screen Hub Name North Sea
Hedge Instrument The delta hedge for the American-Style Option is the Brent Crude Future (B)
Contract Symbol B
Contract Size 1,000 barrels
Unit of Trading Any multiple of 1,000 barrels
Currency US Dollars and cents
Settlement Price Quotation One cent ($0.01) per barrel
Trading Price Quotation One cent ($0.01) per barrel
Minimum Price Fluctuation One cent ($0.01) per barrel
Last Trading Day Trading shall cease at the end of the designated settlement period of the ICE Brent Crude Futures Contract three Business Days before the scheduled cessation of trading for the relevant contract month of the ICE Brent Crude Futures Contract.

If the day on which trading in the relevant option is due to cease would be either: (i) the Business Day preceding Christmas Day, or (ii) the Business Day preceding New Year’s Day, then trading shall cease on the immediately preceding Business Day

Option Premium / Daily Margin The premium on the Brent Average Priced Option is paid/received on the business day following the day of trade. Net Liquidating Value (NLV) will be re calculated each business day based on the relevant daily settlement prices. For buyers of options the NLV credit will be used to off set their Original Margin (OM) requirement; for sellers of options, the NLV debit must be covered by cash or collateral in the same manner as OM requirement. OM for all options contracts is based on the option’s delta.
Exercise ICE Brent Options can be exercised into ICE Brent Futures contracts. ICE Futures Europe options contracts are of American-style exercise, allowing the buyer to exercise call and/or put options up to 17:00 (London time) hours on any Business Day (except on expiry day) during the life of the contracts, by giving an exercise notice to ICE Clear Europe in respect of such options.

On expiry day, the buyer has up to one hour after the end of the designated settlement period of the ICE Brent Futures contract 19:30 (London time) to exercise the option. At that time ICE Clear Europe will automatically exercise all options that are in-the-money on behalf of the Member unless instructed otherwise by the Member.

Strike Price Increments At launch multiples of $0.01 per barrel ranging from a strike of $1 to a strike of $240. Additional strike prices are added according to futures 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.

Position Reporting All positions are converted to futures equivalents by way of deltas and are aggregated with the futures position for daily position monitoring by the Exchange. The Exchange's daily position management regime requires that all positions in any contract month must be reported to the Exchange on a daily basis. The Exchange has powers to prevent the development of excessive positions or unwarranted speculation or any other undesirable situation and may take any steps necessary to resolve such situations including the ability to mandate members to limit the size of such positions or to reduce positions where appropriate.
Expiry Limits The Exchange may impose limits on positions in this contract at its discretion in accordance with Exchange Rule P3.

Current expiry limit: 6,000 contracts in the last five business days, up to and including the expiry day in the spot month, inclusive of futures-equivalent position in Brent Options.

Exemptions from expiry limits may be granted at the Exchange’s discretion to participants who provide and document a commercial rationale for their requirement

Contract Security ICE Clear Europe acts as the central counterparty for trades conducted on ICE Futures Europe and ICE OTC. This enables it to guarantee the financial performance of every contract registered with it by its members (the clearing members of the Exchange) up to and including delivery, exercise and/or settlement. ICE Clear Europe is able to provide margin offsets between the options and the underlying futures contract as well against options positions executed in other option styles.
Contract Series Up to 96 consecutive months
Business Days ICE Business Days
MIC Code IFEU
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 8:00 PM - 6:00 PM*

20:00 - 18:00

7:45 PM

19:45

LONDON 1:00 AM - 11:00 PM*

01:00 - 23:00

12:45 AM

00:45

SINGAPORE 9:00 AM - 7:00 AM*

09:00 - 07:00

8:45 AM

08:45

*Next Day
Codes Clearing Admin Name IPE e-Brent
Physical B
Logical BRN
GMI (FC) BC
ION A.C.N. 0952
Crude Diff - Brent Physical 1- Month Calendar Spread Options
Trading Screen Product Name Crude Futures
Trading Screen Hub Name Brent CSO 1 Month (Physical)
Contract Symbol BS1
Hedge Instrument The delta hedge for the Brent Physical 1-Month Calendar Spread Option is the ICE Brent Crude Future (B).
Contract Size 1,000 barrels
Unit of Trading Any multiple of 1,000 barrels
Currency US Dollars and cents
Trading Price Quotation One cent ($0.01) per barrel
Settlement Price Quotation One tenth of one cent ($0.001) per barrel
Minimum Price Fluctuation One tenth of one cent ($0.001) per barrel
Last Trading Day Trading shall end at the end of the designated settlement period one business day prior to the Expiration Date of the nearby month ICE Brent Crude Futures contract.
Option Style Options are European style and will be automatically exercised on the expiry day if “in the money” and will result in positions in the underlying futures. If an option is “out of the money” it will expire automatically. No manual exercise is permitted.
Call Option Buyer of a CSO Call Option has the right to establish a spread position of long the first month in the spread pair and short the second month in the pair, at a price difference equal to the Strike Price of the CSO contract.
Put Option Buyer of a CSO Put Option has the right to establish a spread position of short the first month in the spread pair and long the second month in the pair, at a price difference equal to the Strike Price of the CSO contract.
Option Premium / Daily Margin Calendar Spread Options are equity-style and there is no daily Variation Margin payment. The premium on the Calendar Spread Option is paid/received on the business day following the day of trade. Net Liquidating Value (NLV) will be recalculated each business day based on the relevant daily settlement prices. For buyers of options the NLV credit will be used to off-set their Original Margin (OM) requirement; for sellers of options, the NLV debit must be covered by cash or collateral in the same manner as OM requirement. OM for all options contracts is based on the ICE® Risk Model
Expiry 19:30 London Time (14:30 EST).

The reference price will be a price in USD and cents per barrel equal to the difference between the settlement price of the first nearby ICE Brent Crude Futures contract and the settlement price of the next consecutive contract month of the ICE Brent Crude Futures contract series on the Last Trading Day.

Strike Price This contract will support Custom Option Strikes with strikes in increments of $0.05 within a range of -$5 to $5. This range 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 Up to 60 consecutive 1-month calendar spreads
Final Payment Date Two Clearing House Business Days following the Last Trading Day
Business Days Publication days for ICE
MIC Code IFEU
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 3:00 PM - 1:00 PM*

15:00 - 13:00

2:45 PM

14:45

LONDON 8:00 PM - 6:00 PM*

20:00 - 18:00

7:45 PM

19:45

SINGAPORE 4:00 AM - 2:00 AM*

04:00 - 02:00

3:45 AM

03:45

*Next Day
Codes Clearing Admin Name IPE e-Brent
Physical BS1
Logical BS1
GMI (FC) J=
ION A.C.N. None
Crude Diff - Daily Brent 1- Month Calendar Spread Options
Trading Screen Product Name Crude Futures
Trading Screen Hub Name Brent Daily CSO 1 Month
Contract Symbol DBO
Hedge Instrument The delta hedge for the Daily Brent 1-Month Calendar Spread Option is the ICE Brent Crude Future.
Contract Size 1,000 barrels
Unit of Trading Any multiple of 1,000 barrels
Currency US Dollars and cents
Trading Price Quotation One cent ($0.01) per barrel
Settlement Price Quotation One tenth of one cent ($0.001) per barrel
Minimum Price Fluctuation One tenth of one cent ($0.001) per barrel
Last Trading Day The contract expires at 14:30 EST of the business day equal to the contract period.
Option Style 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. No manual exercise is permitted.
Expiry 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.

The reference price will be a price in USD and cents per barrel equal to the difference between the settlement price of the nearby ICE Brent Crude Futures contract and the settlement price of the next consecutive contract month of the ICE Brent Crude Futures contract series on the Last Trading Day. For these purposes “settlement price” means the official settlement value of the ICE Brent Crude Futures contract month for the active day of the option.

All “in the money” options will be exercised into an equivalent cash value of the underlying calendar spread.

Roll Adjust Provision In order to use the most liquid calendar spread, the underlying spread will be defined as the front month minus the second month in ICE Brent Futures, except for the expiration date of the ICE Brent Futures delivery month. On such a date, the underlying calendar spread will be rolled into the difference of the second and third months. In the event the listed option is set to expire on ICE Brent Futures expiration, the underlying spread will be referred to as the second month minus the third month, until the front month is fully expired
Strike Price Intervals This contract will support Custom Option Strikes with strikes in increments of $0.05 within a range of -$5 to $5. This range 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 Up to 6 consecutive business days
Final Payment Date Two Clearing House Business Days following the Last Trading Day
Business Days Publication days for ICE
MIC Code IFEU
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 7:50 PM - 6:00 PM

19:50 - 18:00

7:40 PM

19:40

LONDON 12:50 AM - 11:00 PM

00:50 - 23:00

12:40 AM

00:40

SINGAPORE 8:50 AM - 7:00 AM

08:50 - 07:00

8:40 AM

08:40

*Next Day
Codes Clearing Admin Name Crude Diffs
Physical DBO
Logical DBO
GMI (FC) YB
ION A.C.N. None
Option on Brent Crude Futures Weekly
Trading Screen Product Name Brent Crude Weekly
Trading Screen Hub Name North Sea
Contract Symbol WAB
Hedge Instrument The delta hedge for the Brent Crude Weekly American-style Option is the ICE Brent Crude Future (B).
Contract Size 1,000 barrels
Unit of Trading Any multiple of 1,000 barrels
Currency US Dollars and cents
Trading Price Quotation One cent ($0.01) per barrel
Settlement Price Quotation One cent ($0.01) per barrel
Minimum Price Fluctuation One cent ($0.01) per barrel
Last Trading Day Trading shall cease at the end of the designated settlement period of the ICE Futures Brent Crude Futures Contract on Friday. If Friday is not a Business Day then trading shall cease on the first Business Day immediately preceding the Friday. However, if any weekly expiry coincides with the scheduled cessation of trading of the ICE Futures Brent Crude Oil Monthly American-style Option Contract then the Weekly Option will not be made available for trading.
Option Style The option is an American-style option which can be exercised on any business day prior to and until expiration day.
Expiry ICE Brent Crude Weekly American-style Options will be exercised into ICE Brent Crude Futures contracts. On expiry day, automatic exercise settings are pre-set to exercise contracts which are one minimum price fluctuation or more in-the-money with reference to the corresponding daily settlement price at the designated settlement time as determined by the Exchange.
Strike Price Intervals At launch multiples of .01 per barrel ranging from a strike of $1 to a strike of $240. Additional strike prices are added according to futures 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 Four consecutive weeks

If the scheduled cessation of trading of the ICE Futures Brent Crude Oil Monthly American-style Options contract is on a Monday, Tuesday, Wednesday or Thursday, then the Weekly Option expiring that same week will be exercisable into the second month ICE Brent Crude Oil Futures contract. If the scheduled cessation of trading of the ICE Futures Brent Crude Oil Monthly American-style Options contract is on a Friday, then the Weekly Option will not be made available for trading.

If Friday is not a Business Day then trading shall cease on the first business day immediately preceding the Friday. However, if the first business day immediately preceding the Friday coincides with the scheduled cessation of trading of the ICE Futures Brent Crude Oil Monthly American-style Option Contract then the Weekly Option will not be made available for trading.

If the day on which trading in the relevant option is due to cease would be either: (i) the Business Day preceding Christmas Day, or (ii) the Business Day preceding New Year’s Day, then the Weekly Option will not be made available for trading.

Final Payment Date Two Clearing House Business Days following the Last Trading Day
Business Days ICE Business Days
MIC Code IFEU
Clearing Venues ICEU
Trading Hours CITY TRADING PRE-OPEN
NEW YORK 8:00 PM - 6:00 PM*

20:00 - 18:00

7:45 PM

19:45

LONDON 1:00 AM - 11:00 PM*

01:00 - 23:00

12:45 AM

00:45

SINGAPORE 9:00 AM - 7:00 AM*

09:00 - 07:00

8:45 AM

08:45

*Next Day
Codes Clearing Admin Name IPE e-Brent
Physical WAB
Logical BRN
GMI (FC) H<
ION A.C.N. None

Contract Volume[edit]

In 2014, the volume of Brent crude futures traded ranked first among all energy futures and options contracts according to the FIA.

Year Total Annual Volume Percent Change
2014 160,425,461 0.8%
2013 159,102,103 --

Notes[edit]

The contract is a deliverable contract based on EFP delivery with an option to cash settle against the published settlement price.

See Also[edit]

References[edit]

  1. FIA 2016 Volume Survey. FIA.
  2. NCR Documentation. {{{org}}}.
  3. TAS. {{{org}}}.
  4. MM. {{{org}}}.
  5. Sing MM. {{{org}}}.

Resources[edit]

Brent Crude on www.theice.com

ICE Brent Crude Oil Product Spec

ICE Brent Crude Oil Options Product Spec