- Overview
- Contract Specifications
Overview
CME Group Petroleum Index Futures is the index futures contract tracking CME Group Petroleum Index, which reflects a weighted basket of 3 exchange traded energy futures contracts namely WTI futures (crude oil), RBOB futures (gasoline) and ULSD futures (heating oil) traded on New York Mercantile Exchange, the core market of CME Group.
Characteristics of the product
Highly correlated with WTI futures prices
WTI futures prices, a leading indicator of global crude oil prices, are the major component of CME Group Petroleum Index. The index moves close to the futures. From the beginning of August 2020 to the end of March 2022, the correlation coefficient between WTI futures prices and CME Group Petroleum Index is more than 0.99.
Yen-denominated Transaction
CME Group Petroleum Index Futures is traded in Japanese yen.
No physical delivery risk
Due to its cash settlement characteristics, there is no physical delivery risk.
CME Group Petroleum Index
Components
Components of CME Group Petroleum Index are as follows:
The percentage weight of each futures contract composing the Index is based on the respective average open interest volumes for the last quarter of calendar year, i.e. from October 1st to December 31st.
Changes to the weights will be advised to stakeholders in advance and applied on the first business day of the following year after April 1.
CME Group released the change in the weightings of each futures contract within CME Group Petroleum Index. The change is to be effective on April 1, 2022, and the weightings of each futures contract of the index will be set as follows.
| Futures Contract | Before
March 31, 2022 | After
April 1, 2022 |
| NYMEX WTI crude oil | 72% | 75% |
| NYMEX RBOB gasoline | 13% | 11% |
| NYMEX NY Harbor ULSD heating oil | 15% | 14% |
(note)
- ･There is no index weighting revision in April 2023.
Methodology
CME Group Petroleum Index is calculated based on the settlement price of the nearest contract month, except for the roll period.
The index value is calculated by the following formula:
(note)
- ･ Weighted Average Price=Σ（Settlement Prices for each futures in USD/bbl×weighting for each futures）
- ･ During the roll period, taking into account the trend in liquidity over several days prior to the last trading day, the settlement prices used to calculate the index are smoothed out for the first and second contracts. CME Group released the change in roll period for CME Group Petroleum Index. The change is to be effective on June 5, 2023 as follows:
| Roll Period weights (before June 4, 2023) | The 1st contract month | The 2nd contract month |
| ED (Expiry Day of each component futures contract)-6 | 100% | 0% |
| ED-5 | 80% | 20% |
| ED-4 | 60% | 40% |
| ED-3 | 40% | 60% |
| ED-2 | 20% | 80% |
| ED-1 | 0% | 100% |
| Roll Period weights (after June 5, 2023) | The 1st contract month | The 2nd contract month |
| ED (Expiry Day of each component futures contract)-7 | 100% | 0% |
| ED-6 | 80% | 20% |
| ED-5 | 60% | 40% |
| ED-4 | 40% | 60% |
| ED-3 | 20% | 80% |
| ED-2 | 0% | 100% |
| ED-1 | 0% | 100% |
Therefore, on the day before the last trading day of the first contract month, only the second contract month is used to calculate the index.
Please refer to CME website (external site) for the detail.
Trends in index values
It is highly correlated with WTI futures contract, the world's leading futures commodity for crude oil.
Please refer to CME website (external site) for the current value of the index.
* Please use other browsers such as Microsoft Edge or Google Chrome to check the index value, as it may not be displayed in Internet Explorer (IE).
DISCLAIMER
CME GROUP MARKET DATA IS USED UNDER LICENSE AS A SOURCE OF INFORMATION FOR CERTAIN OSAKA EXCHANGE, INC, AND ITS AFFILIATES PRODUCTS. CME GROUP HAS NO OTHER CONNECTION TO OSAKA EXCHANGE, INC, AND ITS AFFILIATES PRODUCTS AND SERVICES AND DOES NOT SPONSOR, ENDORSE, RECOMMEND OR PROMOTE ANY OSAKA EXCHANGE, INC, AND ITS AFFILIATES PRODUCTS OR SERVICES. CME GROUP HAS NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE OSAKA EXCHANGE, INC, AND ITS AFFILIATES PRODUCTS AND SERVICES. CME GROUP DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF ANY MARKET DATA LICENSED TO OSAKA EXCHANGE, INC, AND ITS AFFILIATES AND SHALL NOT HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME GROUP AND OSAKA EXCHANGE, INC, AND ITS AFFILIATES.
FAQs
CME Group is the world's leading derivatives marketplace, made up of four exchanges, CME, CBOT, NYMEX and COMEX. Each exchange offers a wide range of global benchmarks across all major asset classes.
Is CME a futures exchange? ›
The Chicago Mercantile Exchange (CME), colloquially known as the Chicago Merc, is an organized exchange for the trading of futures and options.
What is CME in oil and gas? ›
DEFINITION OF TERMS. a. “Coconut Methyl Ester or CME” – as defined by PNS 2020:2003, shall refer to fatty ester derived from coconut oil whose alkyl groups range in varying percentage from C8 to C18 suitable for compression ignition engines and other similar types of engines.
Is the CME Group legit? ›
CME Group Inc. is a financial services company. Headquartered in Chicago, the company operates financial derivatives exchanges including the Chicago Mercantile Exchange, Chicago Board of Trade, New York Mercantile Exchange, and The Commodity Exchange. The company also owns 27% of S&P Dow Jones Indices.
Who owns CME exchange? ›
The chairman and chief executive officer of CME Group is Terrence A. Duffy, Bryan Durkin is president. On August 18, 2008, shareholders approved a merger with the New York Mercantile Exchange (NYMEX) and COMEX. CME, CBOT, NYMEX, and COMEX are now markets owned by CME Group.
Can you trade directly with CME Group? ›
Access CME Group markets directly via CME Direct, Trade on our Central Limit Order Book (CLOB) and our OTC Cleared Markets through our own front-end trading platform. Connect directly to our API for both production and test environments. Your Clearing Member may provide you a way to connect and trade.
What is the difference between CME and CME Group? ›
The Chicago Board of Trade (CBOT) and the Chicago Mercantile Exchange (CME) are both futures exchanges that were founded in 19th-Century Chicago. The two focused on different types of investments and operated under different formats until they merged in 2006, becoming CME Group.
What are the 4 CME exchanges? ›
CME Group comprises of four independent exchanges – Chicago Mercantile Exchange (CME), The Chicago Board of Trade (CBOT), the New York Mercantile Exchange (NYMEX), and the Commodity Exchange (COMEX).
How much is a tick of crude oil worth? ›
Tick sizes are set by the exchange and vary by contract instrument. The tick size of the NYMEX WTI Crude Oil contract is equal to 1 cent and the WTI contract size is 1,000 barrels. Therefore, the value of a one tick move is $10.
Is crude oil bullish or bearish? ›
Crude Oil Price Analysis Expected Scenario Crude oil price keeps its stability above 83.90$ level, keeping the bullish trend scenario valid and active for today. Supported by moving above ...
| WTI Crude | 83.48 | -0.09 |
|---|
| Brent Crude | 88.90 | -0.11 |
| Murban Crude | 89.08 | 0.00 |
| Natural Gas | 1.623 | -0.015 |
| Gasoline •1 day | 2.750 | -0.009 |
3 more rowsCME GLOBEX TRADING PLATFORM
The CME is an electronic order-driven market (basically an auction market). In such a system, trading rules are set in such a way where buyers enter orders seeking the lowest price, while sellers enter orders seeking the highest price.
How do CME futures work? ›
A futures contract is a legally binding agreement to buy or sell a standardized asset on a specific date or during a specific month. Typically, futures contracts are traded electronically on exchanges such as the CME Group, the largest futures exchange in the United States.
What is the point of CME? ›
CME is the abbreviation for Continuing Medical Education and consists of educational activities which serve to maintain, develop, or increase the knowledge, skills, and professional performance and relationships that a physician uses to provide services for patients, the public, or the profession.
What is the difference between CME and CBOE? ›
The CME contracts are based on the Bitcoin Reference Rate (BRR) index, which aggregates bitcoin trading activity across four bitcoin exchanges - itBit, Kraken, BitStamp, and GDAX - between 3pm and 4pm GMT. On the other hand, CBOE will price contracts with a single auction at 4 pm on the final settlement date.
Does CME have a trading platform? ›
Access CME Group markets directly via CME Direct, Trade on our Central Limit Order Book (CLOB) and our OTC Cleared Markets through our own front-end trading platform.
Is Cboe under CME? ›
CME Group Inc. said it's not in talks to acquire Cboe Global Markets Inc., whose shares surged after the Financial Times said it was the target of a $16 billion takeover approach. “CME Group denies all rumors that is in conversations to acquire Cboe Global Markets,” the company said in an emailed statement Wednesday.
What commodities are traded on CME? ›
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