Wiadomosc od cmc markets o wycenie ropy cash
„ Given the unprecedented movements in the US crude oil market (Crude Oil West Texas), we have implemented a change to how we calculate our Crude Oil West Texas – Cash product.
How extreme volatility in the oil market impacts your trading
We usually calculate the price for this product using the front (near) month underlying futures price. Due to the disorderly market, and the extraordinary settlement of the underlying May 2020 futures contract, instead of using the June 2020 forward contract as the basis for calculating our Crude Oil West Texas – Cash product, we have decided to use the December 2020 forward contract. This is referred to as rebasing our Crude Oil West Texas – Cash product.
At the point this change was implemented, the difference in price between our Crude Oil West Texas – Cash product ($8.28) and the December 2020 forward contract ($30.38) was $22.10. This equates to a discount factor of approximately 0.2725 to the December price. As such, our Crude Oil West Texas – Cash product started tracking the December 2020 forward contract by a discount factor of 0.2725.
This means that although our Crude Oil West Texas – Cash product will not track the dollar for dollar price movement of the December 2020 forward contract, it will match the percentage change, plus an additional 0.61% of discount factor convergence over the full trading day. This means that the price of our Crude Oil West Texas – Cash product will increase by 0.61% per day to ‘catch up’ with the December 2020 forward contract by the time of expiry. This 0.61% daily move will be offset by the holding costs applied to open positions each day.
Should the underlying December 2020 futures contract become disorderly in the future, we may again seek to rebase our Crude Oil West Texas – Cash product, locking in a new discount factor to the chosen forward contract, and update our holding costs accordingly.”
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