Product specification
Futures
The future contracts are fixed for floating SWAPs with daily mark-to-market cash settlement. There is no physical delivery. The settlement is against the average of the ICIS Heren Day ahead and Weekend midpoints in the delivery period.
Options
NOS offers European style options with manual exercise and delivery of the underlying future at strike price on expiry day. The option premium is cash-settled at T+1.
Option expiry is normally the 5th to last day in the month before start of the Delivery Period of the Underlying Product. If that falls on a weekend or bank holiday it goes to the previous Trading Day.
For summary specifcation click on the relevant product or for full product specification click here.
| Underlying product | Futures | Options |
| Heren NBP | X | X |
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Underlying |
Index Provider |
Closing Price Provider |
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Price quotation |
Pence/therm |
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Minimum price fluctuation |
0.001 pence/term |
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Contract value |
# Lots x Lot size x Days x Price |
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Delivery Period
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Day-ahead:The first trading day following the trade date. The contract is not accepted for clearing after 17:25 CET Weekend: The first Saturday and Sunday following the trade date. If there is a UK public holiday on a Monday or a Friday, this extra days will also be included in the Weekend. BOW: Balance of the week (BOW) date to last trading day of the week WDNW: Working Days Next Week. First trading day to the last trading day of the coming week. BOM: Balance of the Month (BOM) date to last Calendar Day of the month. Month: First Calendar Day of the month to last Calendar Day of the month. Quarter: A Quarter Contract will be strips of 3 Month Contracts on the Trading Day and settled as Month Contracts. Season: A Season Contract will be strips of 6 Month Contracts on the Trading Day and settled as Month Contracts. |
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Final Settlement Day |
First UK banking day after last day of delivery period. |
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Settlement Price |
For each Delivery period, the average of the Heren NBP DA midpoint and the Heren NBP Weekend midpoint. |
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Minimum lots per contract |
Trading 5 lots |
Clearing 0.01 lots |
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A Company in the Imarex Group