PROPEX EDUCATION SERIES GUY BOWER. A brief history and synopsis of the top futures markets

Transcription

1 PROPEX EDUCATION SERIES GUY BOWER A brief history and synopsis of the top futures markets

2 Contents Introduction: Futures Market Background Part 1: Index Futures Part 2: Grains Part 3: Meats Part 4: Metals Part 5: Energies Part 6: Softs commodities Introduction: Futures Market Background This lesson is about market knowledge. We are not going to talk trading strategies as such, but knowing about other markets can help you formulate an opinion, approach or strategy in certain conditions. It also gives you options in terms widening the markets you trade as you develop. This topic will not cover every tradable futures market, just a few key ones, but there is more than enough information here to give you a good idea of how the futures work. We will cover indices, metals, energies, grains, meats and soft commodities (we are leaving interest rates for another lesson entirely). Most of these markets trade out of the US. We ll stick to these since more information on them is readily available. There are dozens of other futures markets we will not cover. That s a research project for you to undertake on your own. No matter what you trade, you need to know about other markets - what can move them and how they can move other markets. These details we will cover here are a starting point. We ll talk about contract specifications and the way these markets can move. That s the starting point for any analysis.

3 PART 1: STOCK MARKET INDICES The US Markets The DJIA If you pick up an older book on trading, you ll most likely see more charts on the DJIA the Dow Jones Industrial Average than any other index. This is a price weighted index of the top 30 industrial stocks traded on the NYSE. There are not too many price weighted indices floating around these days. Essentially it is an index that measures the collective price movement of stocks, but disregards their actual size (i.e. the number of shares on issue). For that reason and the fact it covers only 30 stocks, the DJIA has fallen out of favor as a tradable instrument, as a benchmark for managed funds and a measure of the overall stock market (i.e. what they quote on the news).

4 On the, there are three DJIA contracts: The BIG Dow - $25 per point The (regular) DJIA - $10 per point Emini Dow - $5 per point. Naturally the emini contract is attractive to the smaller trader. It s a good entry level contract. However for the active trader, the nature of fixed commissions per contract for futures means you get more bang for your buck from contracts with a bigger tick size. As far as liquidity goes, most volume is in the mini, small volumes are traded in the $10 contract and the $25 contract trades next to nothing. The $10 contract is still traded on both the screen and on the Chicago floor. The emini is electronic only. The S&P500 From an equity trading point of view, the S&P500 is now the benchmark equity index in the US. It is a measure the top 500 listed stocks and it measures the size of each stock proportionately. That is, it is a market capitalization index far more accurate than a price weighted index. When we say benchmark, it means more than just what a bunch of traders watch. It is the index most commonly used by fund managers to rate their performance. You ll often hear funds saying things such as we beat the index by xx%. This has implications for liquidity. Benchmark indices have greater liquidity given, among other reasons, they are used by fund managers for trading and hedging purposes.

5 Back in the day, the S&P500 was a huge contract with a $500 per 1.0 point value. In an effort to bring in more retail trading interest, the halved the contract size to $250. The big S&P as it is now called is still a heavily traded contract, but favored more by fund managers than individual traders. The emini contract brought in a new level of retail interest for this market. Instead of $250 per point, it is $50 per point. The mini concept made it an affordable contract for the smaller trader and as such has attracted a lot of retail interest and liquidity. The $25 contract still traded on both the screen and on the Chicago floor. The emini is electronic only. The mini contract has more than 10 times the open interest of its big brother. The NASDAQ The NASD or National Association of Securities Dealers started out as a self-regulatory body for Over- The-Counter dealers. The Association dates back to In 1971, the group created a computerized trading system the called the National Association of Securities Dealers Automated Quotations (NASDAQ) stock market. Over time, the trading system grew and during the tech boom became the premier location for listing technology companies. In 2000, the NASDAQ split from the NASD entirely. The NASDAQ-100 index remains synonymous with the technology sector, although not all stocks listed on the exchange are technology stocks. For the futures contract, there is a big contract at $100 per point and an emini contract worth $20 per point. As with the other indices, the emini is more popular and liquid. So Who is Russell? The Russell indices measure a larger number of stocks than the S&P500. The futures are traded through The ICE.

6 The key index here is the Russell 2000, a small cap stock index with 2000 component stocks. The mini futures contract trades at $100 times the index value with a tick size of 0.10 ($10) and has good liquidity. Other US Indices There are other contracts available such as sector specific contracts, tradable through the and other exchanges. They are not overly traded by smaller traders. See the site for more details. Name Code Contact Value Tick value Expiry Months Exchange DJIA Emini DJIA $10 Big DJIA YM ZD DD Index * $5 Index * $5 Index * $5 1.0 = $5 1.0 = $ = $25 Big S&P S&P Emini SP ES Index * $250 Index * $ = $ = $12.50 Nasdaq-100 Emini Nasdaq ND NQ Index * $100 Index * $ = $ = $5 Russell 2000 TF Index * $ = $5 The ICE All of these markets trade close to 24 hours per day. See the exchange website for exact trading hours.

7 Key International Index Futures Markets This section will not cover all tradable indices, just a few key markets. DAX The DAX measures the 30 largest and most actively traded German companies including BMW, Siemens VW and Deutsche Bank. DAX futures are extremely liquid and popular for trading from private traders, the wholesale market, algorithmic traders and fund managers. EuroSTOXX 50 This index covers the 50 top European stocks including those from Germany, France and Italy. It is a very liquid contract and one that is heavy in algorithmic trading. Spreading against the DAX is popular. The FTSE-100 The FTSE ( footise ) is a measure of the top 100 UK based stocks including Rolls Royce, Vodafone, HSBC and Xstrata. Given exchange regulations in the UK, it is not a popular futures contract for algorithmic traders and that makes it a popular day trading market for smaller click traders. Nikkei The Nikkei 225 Index is a measure of the top 225 stocks on the Tokyo Stock Exchange including Honda, Sony, Fujitsu, Nippon Steel and Bridgestone. As a futures contract, it is available for trade on the OSE, and SGX. The SGX (Singapore) contract is the most common. In the olden days the index had wide daily trading ranges making it a popular day trading market. This was back when the index was trading as high as 40,000. These days, the index is a quarter of that value and its popularity for day trading has waned. Hang Seng and H-Shares Indices The Hang Seng Index (HSI), the benchmark of the Hong Kong stock market, is one of the best known indices in Asia and widely used by fund managers as their performance benchmark. It includes companies such as HSBC, Ping An and Bank of China. The H-Shares Index measures companies incorporated in mainland China but listed in Hong Kong. Both markets are denominated in HK Dollars and both are known for its wild and sometimes unexplainable swings. Cowboys only! The Kospi 200 Index The Kospi is the world s largest futures contract in terms of daily volume traded and has a very high proportion of small traders actively trading the contract. The index is made up of the top 200 stocks trading on the KRX and includes companies such as Samsung, Hyundai, Kia and LG.

8 China Securities Index 300 (CSI300) The CSI 300 is a capitalization-weighted stock market index designed to replicate the performance of top 300 stocks traded in the Shanghai and Shenzhen stock exchanges. It includes Ping An Insurance Group, Citic Securities and China Merchants Bank. ASX S&P200 (the SPI) SPI futures are based on the ASX 200 Index, the index of the top 200 stocks traded on the Australian Securities Exchange. The index is heavily weighted towards financial and mining stocks and includes companies such as Rio Tinto, BHP Billiton, National Australia Bank, CBA and Westpac. In the olden days, the point value was $100 and therefore one that retail traders avoided. In 1994 the contract was quartered to $25 per point making it a viable day trading market for the smaller trader. Name Code Contact Value Tick value Expiry Months Exchange DAX EuroStoxx50 FTSE100 FDAX FESX Z Index * EUR25 Index * EUR5 Index * GBP = EUR = EUR = GBP5 Eurex Eurex LIFFE Nikkei 225 Nikkei 225 Nikkei 225 NK JNKC NK Index * USD5 Index * Y1000 Index * Y500 5pts = US25 10pts = Y10,000 5pts = Y2500 All 12 OSE SGX Hang Seng H-Shares HSI HKI Index * HKD50 Index * HKD50 1.0pt = HKD50 1.0pt = HKD50 All 12 All 12 HKFE HKFE Kospi CSI-300 ASX 200 SPI K200 CSI AP Index *KRW500,000 Index * RMB30 Index * $ * KRW pts = RMB = $25 All 12 KRX CFFEX ASX

9 Part 2: GRAINS Corn Corn is used in an incredibly wide range of food products including margarine, candy, soft drinks, whiskey and mayonnaise. In recent years the development of bio-fuels means corn is now a fuel product used in the production of ethanol. Corn is also used in production of cosmetics, lacquer, rubber and textiles. (Is there anything it cannot be used for?) Source: USDA Corn futures trade on the CBOT. There is both an electronic session and a floor traded session. The futures are quoted in cents and quarters thereof. Corn is very much a weather driven market, particularly around times of planting, germination and leading up to harvest. Key data releases come from the USDA the United States Department of Agriculture. The reports offer both supply and demand statistics and are closely watched by traders. Trading around these numbers can be volatile. There is an active spread market in corn. Trading calendar (e.g. new crop versus old crop) is popular as is trading spreads against other grains wheat and soybeans.

10 Source: CQG The Soy Complex Soybeans are produced in massive quantities in both the northern and southern hemisphere. There are several varieties of soybeans including black, brown, gray and yellow. In the US, the commercially produced variety is yellow. Source: USDA The process of refining Soybeans into usable products is called crushing. The products produced are soybean oil and soybean meal. Soybean oil is used in cooking and ethanol production. Soy is also used for tofu, soy milk and other foods. Soy has even been used in the production of plastic car parts. Soymeal is used primarily as cattle feed.

11 As with other grains, weather is a big factor in soybean direction and volatility. The USDA reports are closely watched for changes in planting progress, exports and other supply and demand statistics. Both intraday and longer term movement can be sharp, but mostly driven by fundamental news. The monthly chart below shows an interesting pattern of sharp rallies almost immediately being followed by sharp declines. This is because as each crop year comes and goes, fundamentals are essentially reset and the process starts over. Source: CQG All three soy products trade on the CBOT and are actively spread against themselves and other grains. Wheat Wheat remains one of the world s primary sources of dietary protein and is used in the production of breakfast cereals, pastas and bread. Different types of wheat are used for difference kinds of food. There are three wheat futures contracts in the US, each traded on a different exchange: the CBOT, the KCBT and the MGE. The MGE contract, trading in Minneapolis, is based on the hard red spring grain. It is a high protein grain that is used in the production of breads, bagels and hard rolls. It tends to trade at a premium to other wheat given the high protein levels and is favored by exporters. It is harvested in late summer. The KCBT contract, based in Kansas. is a hard red winter grain with slightly less protein levels than the spring equivalent. It is often blended with hard red spring wheat to produce bread flour. It is harvested in the summer.

12 Source: USDA The Chicago contract is based on a range of acceptable grains. It is the most widely traded contract in the US and as such is the one most commonly quoted. Given its lower protein content than that of other contracts, the CBOT wheat will often (but not always) trade at a discount. There is active trading in spreads including calendar spreads, butterflies and spreads between other grains. Other Grains Oats and rough rice are also contracts traded on the CBOT. They are not as active traded as corn, soy and wheat. Name Code Contact Value Tick value Expiry Months Exchange Corn ZC 5000 bushels 0.25 cents = $12.50 H, K, N, U, Z CBOT Soybeans Soy meal Soy oil ZS ZM ZL 5000 bushels 100 tons pounds 0.25 cents = $ = $ = $6 F, H, K, N, Q, U, X F, H, K, N, Q, U, V, Z F, H, K, N, Q, U, V, Z CBOT CBOT CBOT Wheat Wheat Wheat ZW KE MWE 5000 bushels 5000 bushels 5000 bushels 0.25 cents = $ cents = $ cents = $12.50 H, K, N, U, Z H, K, N, U, Z H, K, N, U, Z CBOT KCBT MGE

13 Part 3: MEATS There are three key meat contracts traded in the US and all are on the. Lean Hogs Pork products are an integral part of the food economies for around the globe, used as both a source of fresh meat and (more commonly) processed/preserved meats such as ham and salami. Pork Bellies was once a popular contract, but steadily declining trading volume forced the to delist the contract in Source: USDA Source: CQG

14 Feeder Cattle Cattle ready to be placed on a feedlot are referred to as feeder cattle. They weigh between 650 to 850 pounds. They are fed on a combination of grains and hay to produce maximum daily weight gain and ready for slaughter. Live Cattle Once feeder cattle mature to a certain weight, it comes under the definition of live cattle. The live cattle contract has more liquidity than feeders. Source: USDA The three meat contracts are actively spread. One feeder cattle contract plus the cost of feed (usually soy meal) equates to around two contracts in live cattle. The variability in these contracts can make for good spreading. Spreads between beef and pork are also traded. The markets are correlated but not perfectly which means spreads can move given factors unique to each market. Name Code Contact Value Tick value Expiry Months Exchange Lean Hogs HE pounds 0.025c = $10 G, J, K, M, N, Q, V, Z Feeder Cattle LE pounds 0.025c = $10 G, J, M, Q, V, Z Live Cattle GF 50000pounds 0.025c = $12.50 F, H, J, K, Q, U, V, X

15 Part 4: Metals In the US, active futures contracts are traded against gold, silver, copper, palladium and platinum. Gold Gold is used primarily as a store of value and a hedge against inflation. As such the market is considered a measure of macroeconomic sentiment and conditions. In the 80s and 90s, gold traded either side of $300 and was a relatively conservative market to trade. In the 2000s, the strong and unstoppable advance towards $2000 has changed the personality of gold as both a day trading market and a position trading market. Volatility has increased remarkably with monthly ranges 10 times the level from the 90s. Gold is traded on several exchanges around the world but the benchmark is the COMEX contract in New York.

16 Source: World Gold Council For spreaders, there is not much of a calendar spread market as gold has no production cycles and is easily storable. For the most part it means forward prices traded very close to the cost of carry. Silver Like gold, silver is in the precious metal category, but most of the usage is industrial - dentistry, electronics, soldering, mirrors, nuclear reactors, chemical catalysts and medicine. The monthly chart shown here implies silver has hardly traded except for 1980 and the present, but the scale here is misleading. It has been a popular market for long term investors, commercial hedgers, options trading and of course day traders. Like gold, the recent advance has changed the nature of the silver market to one that is more volatile. The gold:silver ratio is an active spread market, but can also be quite volatile.

17 Copper Copper the most actively traded futures contract for non-precious metals. Copper is used for its thermal and electrical conductivity. Like the precious metals, the price of copper has key macroeconomic influence. Along with global economics, supply factors can influence the price of copper.

18 Other Metals Palladium and Platinum also trade in the US, but are not as active as the above metals. In Europe, the London Metal Exchange is the primary futures exchange for metals and includes trading in both precious and industrial products. Name Code Contact Value Tick value Expiry Months Exchange Gold Silver Copper GC SI HC 100oz 5000oz 25000pounds $0.10 = $10 $0.005 = $ c = $12.50 F, J, M, Q, V, Z Monthly Monthly /COMEX /COMEX /COMEX

19 Part 5: ENERGIES Around the world there many different types of energy contracts are traded. In the US, there are four key energy futures markets: 1. Light Sweet Crude Oil 2. Gasoline 3. Heating Oil 4. Natural Gas All four are traded re traded through the Globex system, but also traded open outcry. The acquired the NYMEX in 2008, but many still refer to the contracts as NYMEX. All markets have physical delivery and have monthly expiries. For the smaller trader or entry level scalper, all four of these can be too volatile to trade with anything close to a reasonable risk profile. There are however a range of exchange traded spreads and inter-market spreads that make these markets worth a good look. The chart below, although a couple of years old now, gives a good breakdown of the relative volume of each contract traded.

20 Light Sweet Crude Oil Oil comes is several colours and viscosities. Light Sweet Crude Oil is the key product traded in the US. It is the product that is pumped out of the Gulf of Mexico and is the preferred choice for refining into gasoline and diesel. The futures contract is of the Light Sweet variety. Without the United States, the oil markets would be a very different place. The US is the world s largest user, the largest importer and the third largest producer. Crude oil is a global benchmark for macroeconomic sentiment and is therefore correlated to movement in other key markets such as Treasury bonds, gold and stocks. It also has its own key influences such as middle-eastern issues and weather. Weather has a very interesting influence for Crude. Most US oil is pumped from the Gulf of Mexico where June through November sees hurricane season. It is not just damage to refineries from strong hurricanes that affect the market, but the threat of extreme weather causes temporary shut downs and therefore short term supply disruptions and price spikes. Volatility through this period can move from low to high and back again given threatening storm formations.

21 OPEC, the Organization of Petroleum Exporting Countries, is a self-regulating body made up of thirteen oil producing countries. Their mandate is to coordinate member production policies and maintain stable prices. Announcements and policy from OPEC is a key factor in the oil market and can cause big price swings. It should be remembered that OPEC is not a government body. It is an organisation that represents producers, not consumers. Gasoline and Heating Oil These two products are the by-products of oil. Cracking is the process of breaking down crude oil into these products at the refinery stage. From cracking comes gasoline and heating oil. The RBOB Gasoline contract is based on the largest refined product sold in the US - Gasoline. As with other energy products, there are a whole range of ways you can trade this product calendar spread options, average price options, crack spread options, European look alike options and swap futures. The heating oil contract is based on what is also known as No. 2 fuel oil, which accounts for about ¼ of the yield of a barrel of crude, the second largest cut after gasoline. Is used to hedge diesel fuel and jet fuel, both of which trade in the cash market at an often stable premium to heating oil futures. All in all, these three markets offer good calendar and inter-product spread trades.

22 Gasoline: Heating Oil: You can see how both of these markets closely follow Crude Oil, but spreading opportunity does exit.

23 Natural Gas Natural Gas is quite a different market from Crude Oil and other energy products. According to the, the NG contract is the second highest volume futures contract in the world based on a physical commodity. You will sometimes hear this contract referred to as Henry Hub. This is the location in Louisiana on which delivery is based. Henry Hub is the nexus of 16 intra- and interstate natural gas pipeline systems that draw supplies from the region's prolific gas deposits. Interesting huh? As a trading market, gas futures can be quite volatile. Ironically, calendar spreads can be the exact opposite. The spread market is very deep and normally a slow mover. While other energy contracts are influenced by supply and demand, recent movement in NG is very much demand driven. As the time of writing, supplies are more than ample and has kept prices depressed for some time. Demand however fluctuates with the seasons and the weather week to week. Peak demand for NG comes in summer and winter, but particularly winter. In summer, Gas is used to power air conditioners in the southern states. In winter, it is used as the energy product behind heating the northern states. Overall, it accounts for about one quarter of energy usage in the US. The forward curve for Natural Gas is an interesting one. The small peaks along the curve show the premium that is added to the winter months. That is, the peak in demand over winter is already factored in to the market. Trading spreads between these peak month and so-called shoulder months is essentially a bet on weather deviating from the norm (something that does happen quite a lot). Timing is of course everything

24 Name Code Contact Value Tick value Expiry Months Exchange Crude Oil Heating Oil Gasoline Natural Gas CL HO RB NG 1000 barrels gal gal MMBtu $0.01 = $10 $ = $4.20 $ = $4.20 $0.001 = $10 Monthly Monthly Monthly Monthly /NYMEX /NYMEX /NYMEX /NYMEX

25 Part 6: SOFT COMMODITIES The key soft commodities traded out of the US are: cocoa, coffee, cotton, orange juice and export grade sugar. Cocoa This is one crazy market. There are only a handful of countries that produce cocoa and most production comes from the Ivory Coast. For years, political tensions and social unrest in the Ivory Coast has been a key driver in this market, taking it from low volatility to high and back down to low again depending on local issues. Source USDA Naturally weather, disease and other crop related factors affect this market, but take a backseat to politics.

26 Coffee There are two main types of coffee bean Arabica and Robusta. Robusta is the main ingredient in instant coffees. Arabica is used for espresso. Arabica is considered a higher quality bean than Robusta. It trades at a premium to Robusta most given greater difficulty in both growing and harvesting. ICE s coffee contract is the world s benchmark for Arabica. It is a volatile supply driven market that like many other crop commodities is affected by weather in key growing areas such as Brazil. International trade issues have also been an influence in the coffee market. Demand for fair trade coffee can also directly affect smaller farmers by guaranteeing them a minimum price per pound of coffee..

27 Cotton Cotton is not just used as a fabric, but parts of the seed are used as livestock feed and refined, the oil is used in foods, cosmetics, rubber, soaps, and explosives. The cotton crop lasts around 150 days and requires lots of sun, moderate rain and little or no frost. As such, weather is a big part of cotton volatility. Source USDA The futures contract calls for physical delivery and can be traded in New York, London and Singapore.

28 Sugar #11 Sugar is not so much a seasonal market such as corn or wheat but its relatively long production cycle and country based trade restrictions has been the trigger for volatility in this market. In the US, sugar is produced from both cane and beets. Sugar prices are naturally affected by demand for the raw product, but also for its use in ethanol and methanol.

29 Orange Juice The frozen concentrated orange juice market was popularized in the movie Trading Places where the Windthorpe and Billy Ray used USDA crop information to trade at the NYBOT, then located in the World Trade Centre. In the real word, it s highly unlikely that a crop report would be delivered by train, particularly since Clarence Beeks fell in love with a gorilla (just see the movie). Back to reality this market is not as heavily traded as other markets in this lesson, but is still an interesting one. Brazil is the biggest grower of orange juice. As with coffee, weather in the region is a big factor in price movement. The US is the world s next biggest producer with Florida and California the key locations. The EU is a massive importer, followed by the US. Name Code Contact Value Tick value Expiry Months Exchange Cocoa Coffee Cotton FC Orange Juice Sugar #11 CC KC CT JO SB 10 tons 37500lbs 50000lbs 5000lbs lbs $0.10 = $10 $ = $ = $5 $ = $7.50 $ = $11.20 H, K, N, U, Z H, K, N, U, Z H, K, N, V, Z F, H, K, N, U, X H, K, N, V The ICE The ICE The ICE The ICE The ICE

30 Contract Specification Summary Indices Code Contact Value Tick value Expiry Months Exchange DJIA Emini DJIA $10 Big DJIA Big S&P S&P Emini Nasdaq-100 Emini Nasdaq Russell 2000 YM ZD DD SP ES ND NQ TF Index * $5 Index * $5 Index * $5 Index * $250 Index * $50 Index * $100 Index * $20 Index * $ = $5 1.0 = $ = $ = $ = $ = $ = $ = $5 The ICE International Code Contact Value Tick value Expiry Months Exchange DAX EuroStoxx50 FTSE100 Nikkei 225 Nikkei 225 Nikkei 225 Hang Seng H-Shares Kospi CSI-300 ASX 200 SPI FDAX FESX Z NK JNKC NK HSI HKI K200 CSI AP Index * EUR25 Index * EUR5 Index * GBP10 Index * USD5 Index * Y1000 Index * Y500 Index * HKD50 Index * HKD50 Index *KRW500,000 Index * RMB30 Index * $ = EUR = EUR = GBP5 5pts = US25 10pts = Y10,000 5pts = Y pt = HKD50 1.0pt = HKD * KRW pts = RMB = $25 All 12 All 12 All 12 All 12 Eurex Eurex LIFFE OSE SGX HKFE HKFE KRX CFFEX ASX Name Code Contact Value Tick value Expiry Months Exchange Corn Soybeans Soy meal Soy oil Wheat Wheat Wheat ZC ZS ZM ZL ZW KE MWE 5000 bushels 5000 bushels 100 tons pounds 5000 bushels 5000 bushels 5000 bushels 0.25 cents = $ cents = $ = $ = $ cents = $ cents = $ cents = $12.50 H, K, N, U, Z F, H, K, N, Q, U, X F, H, K, N, Q, U, V, Z F, H, K, N, Q, U, V, Z H, K, N, U, Z H, K, N, U, Z H, K, N, U, Z CBOT CBOT CBOT CBOT CBOT KCBT MGE Meats Code Contact Value Tick value Expiry Months Exchange Lean Hogs HE pounds 0.025c = $10 G, J, K, M, N, Q, V, Z Feeder Cattle LE pounds 0.025c = $10 G, J, M, Q, V, Z Live Cattle GF 50000pounds 0.025c = $12.50 F, H, J, K, Q, U, V, X Metals Code Contact Value Tick value Expiry Months Exchange Gold Silver Copper GC SI HC 100oz 5000oz 25000pounds $0.10 = $10 $0.005 = $ c = $12.50 F, J, M, Q, V, Z Monthly Monthly /COMEX /COMEX /COMEX Energies Code Contact Value Tick value Expiry Months Exchange Crude Oil Heating Oil Gasoline Natural Gas CL HO RB NG 1000 barrels gal gal MMBtu $0.01 = $10 $ = $4.20 $ = $4.20 $0.001 = $10 Monthly Monthly Monthly Monthly /NYMEX /NYMEX /NYMEX /NYMEX Softs Code Contact Value Tick value Expiry Months Exchange Cocoa Coffee Cotton FC Orange Juice Sugar #11 CC KC CT JO SB 10 tons 37500lbs 50000lbs 5000lbs lbs $0.10 = $10 $ = $ = $5 $ = $7.50 $ = $11.20 H, K, N, U, Z H, K, N, U, Z H, K, N, V, Z F, H, K, N, U, X H, K, N, V The ICE The ICE The ICE The ICE The ICE

31 Contact details: Guy Bower Head of Training and Development Online Training: In-house Trading: The information in this document and related documents and communication is intended for educational purposes only and does not constitute advice. Redistribution of the material without prior permission is prohibited. Propex Derivatives Pty Ltd Level 4, 299 Elizabeth Street. Sydney 2000.