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| Chicago City Gate Basis Swap Futures (NGI) |
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The Chicago natural gas market hub is a diversified market supplied by multiple pipelines originating on the Gulf Coast and in Canada and dominated by industrial and residential demand.
The residential market accounts or approximately 40% of regional demand and can have a significant impact on seasonal swings in consumption, particularly in winter.
The volatility of natural gas prices has given rise to a basis market that is quoted as a differential to the price of the New York Mercantile Exchange, Inc., Henry Hub natural gas futures contract. The Henry Hub futures contract is the benchmark for forward natural gas markets industry-wide because of its liquidity and transparency.
To better help market participants offset their price risk in this major market center, the Exchange provides a Chicago city gate basis swap futures contract. The final settlement is calculated as the Natural Gas Intelligence Chicago City Gate index price minus the NYMEX Division Henry Hub natural gas futures contract final settlement price for the corresponding contract month on the last trading day.
The lot size of 2,500 million Btus represents a commonly traded market unit and is one-quarter the size of the Henry Hub futures contract, giving market participants additional flexibility in managing price risk. The contract must be traded in a multiple of the number of calendar days in the month.
All positions will be aggregated and margined according to the value at risk as calculated by the SPAN® system. Cross margining of offsetting positions across markets can result in reduced margin obligations.
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