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also see: NYMEX Crude Oil MACI Index
The NYMEX Crude Oil Backwardation/Contango (MACI B/C) contract allows participants to trade the movement of the crude oil curve based upon backwardation and contango. Trading the MACI B/C will allow participants to hedge for movements in the shape of the 6 month current curve based upon their expectations for what it will reflect over the three year life of the contract.
The MACI B/C trades based upon market participants' expectations of the index value vs. the value at maturity. The contract is financially settled, based upon the actual Cumulative Roll Differential (CRD) value at maturity. It may trade at a market-determined price up until maturity.
The MACI B/C has a maturity of three years equal to the NYMEX Crude Oil MACI Index and is priced upon the final settlement value of the (CRD). The index has a starting value of $100. At the close of trading on the first business day of each month, the Index is adjusted by adding to it the first nearby contract settlement price minus the seventh nearby contract settlement price, divided by six. |
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