CME Group Petroleum
Intraday Index Calculation Guide
CME Group Benchmark Administration Limited

Date: 29th February 2024

Version Control
VERSIONKEY CHANGESAPPROVAL DATE

1.0.0

CME Group Petroleum Index – Real Time Methodology

March 22nd, 2021

1.0.1

Minor updates and clarifications

June 15th, 2021

1.0.2

Minor updates and clarifications

June 16th, 2021

1.0.3

Minor updates and clarifications

August 16th, 2021

1.0.4

Added clarification to Boundaries Conditions rule

August 20th, 2021

1.0.5

Business calendar definition – Re-named “Intraday” instead of “Real Time”

August 25th, 2021

1.0.6

Future contracts re-balancing

April 1st, 2022

1.0.7

Calculation and publication frequency

June 6th, 2022

1.0.8

Updated roll period

June 5th, 2023

1.0.9

Upadated weights

February 29th, 2024

Contents
CME Group Petroleum Index

3

Input data

3

Boundaries condition

4

Insufficient Input Data

5

Weighting of Input Data

5

Petroleum Real Time Index Calculation

6

Roll Period

7

Weighted Input Price calculation during roll period

7

Calculation Agent and Publication82

CME Group Petroleum Index
CME Group Petroleum Intraday Index. is a Volume Weighted Average Price (VWAP) of the top five levels of
the CME Globex order book for each of the underlying components.
The Intraday Index is based on a starting value of 100.00 on launch date of the main CME Group Petroleum
Index (3rd August 2020) and, based on settlement prices of the underlying components on launch day,corresponds to a synthetic value of $43.968396.
The calculation is performed every 5 (five) minutes during CME Globex market hours, Sunday - Friday 6:00
p.m. - 5:00 p.m. ET (5:00 p.m. - 4:00 p.m. CT) with a 60-minute break each day beginning at 5:00 p.m. ET(4:00 p.m. CT).
The Intraday Index is calculated on CME Settlement business days, as per the following calendar
https://www.cmegroup.com/tools-information/holiday-calendar.html#settlementNotices.
This calendar includes Columbus Day and Veterans Day as additional holidays.
The Calculation Agent of the CME Group Petroleum Intraday Index is CME Group, in conjunction with Bantix1.

Input data
The CME Group Petroleum Intraday Index is a weighted basket of the following energy futures contracts
traded on CME Globex. The CME Globex order book is available on CME Direct.
•••

NYMEX WTI Crude Oil futures (CME Group Commodity code CL) 2
NYMEX RBOB Gasoline futures (CME Group Commodity code RB) 3
NYMEX NY Harbor ULSD futures (CME Group Commodity code HO)4

To ensure the consistency of calculation, the underlying components are represented in USD per barrel.
Therefore, RB and HO contracts are converted from “cents/gallon” to “USD/barrel” using a standard
conversion factor of 1 barrel = 42 US gallons.
Input data to the Index calculation is the mid price of the VWAPs (volume weighted average prices) separately
calculated for the bid and the offer sides, up to 5 (five) order-book levels.
Calculated mid-VWAPS are rounded to 4 decimal places for the three Futures constituents.
5

𝑇𝑜𝑡𝑎𝑙𝑉𝑜𝑙𝑢𝑚𝑒𝑂𝑓𝑓𝑒𝑟 = ∑ 𝑂𝑓𝑓𝑒𝑟𝑉𝑛𝑛=1
5

𝑇𝑜𝑡𝑎𝑙𝑉𝑜𝑙𝑢𝑚𝑒𝐵𝑖𝑑 = ∑ 𝐵𝑖𝑑𝑉𝑛
𝑛=1

5𝐵𝑖𝑑𝑉𝑛𝐵𝑖𝑑𝑉𝑊𝐴𝑃 = ∑𝐵𝑖𝑑𝑃𝑛
𝑇𝑜𝑡𝑎𝑙𝑉𝑜𝑙𝑢𝑚𝑒𝐵𝑖𝑑𝑛=11

http://www.bantix.com/
https://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_contractSpecs_futures.html
3
https://www.cmegroup.com/trading/energy/refined-products/rbob-gasoline.html
4https://www.cmegroup.com/trading/energy/refined-products/heating-oil.html
2

3

5

𝑂𝑓𝑓𝑒𝑟𝑉𝑊𝐴𝑃 = ∑𝑛=1

𝑉𝑊𝐴𝑃 =𝑂𝑓𝑓𝑒𝑟𝑉𝑛
𝑂𝑓𝑓𝑒𝑟𝑃𝑛
𝑇𝑜𝑡𝑎𝑙𝑉𝑜𝑙𝑢𝑚𝑒𝑂𝑓𝑓𝑒𝑟

𝐵𝑖𝑑𝑉𝑊𝐴𝑃 + 𝑂𝑓𝑓𝑒𝑟𝑉𝑊𝐴𝑃
2

where:𝑛
𝐵𝑖𝑑𝑉𝑛
𝑂𝑓𝑓𝑒𝑟𝑉𝑛
𝐵𝑖𝑑𝑃𝑛
𝑂𝑓𝑓𝑒𝑟𝑃𝑛= Order book level= Bid volume at level n= Offer volume at level n= Bid price at level n= Offer price at level n

Example:Figure 1 - CME Direct snapshot of WTI market

WTI order book
Quantity

BidOffer

Quantity

1052.81665.865.81

165.812763.184265.79

65.82

191250.58

1315.62065.7865.83

372435.71

1249.63

1965.77

65.84

231514.32

1578.24

24

65.76

65.85

362370.6ab

Bid VWAP (a / b)Offer VWAP (d / c)

cd7959.45

121

65.78057851

65.83637931

1167637.02

mid-price of VWAPs

65.80847891

rounded to 4 decimals

65.8085

Boundaries condition
The calculated mid-VWAP must be between the best Bid and the best Offer quotes at the moment ofcalculation; if such boundary condition is broken for the 5 (five) order book levels calculation, the mid-VWAP
will be re-calculated using 4 (four) order-book levels and, if still outside the bid-offer spread, 3 (three) orderbook levels.

4If the mid-VWAP remains outside the boundaries using 3 (three) order-book levels, the nearest best Bid orbest Offer quote will be used.
•••

If 𝑉𝑊𝐴𝑃3 < 𝐵𝑖𝑑𝑃1o 𝐵𝑖𝑑𝑃1 is used as the input price for the component.
If 𝑉𝑊𝐴𝑃3 > 𝑂𝑓𝑓𝑒𝑟𝑃1o 𝑂𝑓𝑓𝑒𝑟𝑃1 is used as the input price for the component.
Otherwise:o 𝑉𝑊𝐴𝑃3 is used as the input price for the component.

Where:
𝑉𝑊𝐴𝑃3𝐵𝑖𝑑𝑃1𝑂𝑓𝑓𝑒𝑟𝑃1= the mid-VWAP from the top 3 levels of the order book.
= the Bid price from level 1 of the order book.
= the Offer price from level 1 of the order book.

Example:WTI order bookBest Bid

Best Offer

Calculated VWAP

65.80

65.81

65.82

use offer = 65.81

65.80

65.81

65.79

use bid = 65.80

The boundary condition rule is applied to each contract used in the calculation, including additional contracts
used during the roll period.

Insufficient Input Data
In scenarios where there are fewer than 3 order book levels for either the bid or offer for one of thecomponents; the mid VWAP is set as the mid of the top of order book for that component. If there are either
no bids or offers, the last available calculated mid VWAP is used (e.g. if the Sunday 6pm orderbook isinsufficient for one of the components, the last available VWAP from the previous Friday/trading day is used
for that component).

Weighting of Input Data
The percentage weight of each futures contract within the Index is based on the respective average open
interest volumes for the last quarter of the calendar year, from October 1st to December 31st inclusive. Theweights of each component at the end of the calendar year are calculated by the Administrator andcommunicated to the Calculation Agent at least 14 days in advance of implementation date.
The weights history of each component are as follows:
Dates
3rd Aug 2020 – 31st Mar 2022
1st Apr 2022 – 31st Mar 2024
1st Apr 2024 onwards

CL Weight
72%
75%
72%

NYHO Weight
15%
14%
14%

5

RBOB Weight
13%
11%
14%

Petroleum Real Time Index Calculation
CME Group Petroleum Real Time Index is calculated and published every 5 (five) minutes, as per thefollowing formulae:

𝐶𝑃𝑅𝑇 𝑡 =𝑊𝐴𝑃𝑡∗ 100
𝑊𝐴𝑃0

whereCPRTt =WAPt =WAP0 =CME Group Petroleum Real-Time Index
Volume Weighted Average Price as calculated in Input data
Weighted Average of settlement prices at rebase date (3rd August 2020)

3rd August 2020, the CME Group Petroleum Index was launched at the base value of 100, for the following
settlement prices:
NYMEX WTI Crude Oil
NYMEX NY Harbor ULSDNYMEX RBOB Gasoline$41.01$1.2409$1.2131Weighted Average Prices calculation:
WAPt = 𝐶𝐿𝑤 ∗ 𝐶𝐿𝑡 + 𝑈𝐿𝑆𝐷 𝑤 ∗ 42𝑔𝑎𝑙𝑏𝑏𝑙∗ 𝑈𝐿𝑆𝐷 𝑡 + 𝑅𝐵𝑂𝐵𝑤 ∗ 42

Weightings:
CLw=
ULSDw =RBOBw =NYMEX WTI Crude Oil weighting
NYMEX NY Harbor ULSD weighting
NYMEX RBOB Gasoline weighting

Input Prices (more details in section Input data):
CLt=
ULSDt =
RBOBt =NYMEX WTI Crude Oil mid-VWAPs in USD/bbl
NYMEX NY Harbor ULSD mid-VWAPs in USD/gal
NYMEX RBOB Gasoline mid-VWAPs in USD/gal

6𝑔𝑎𝑙𝑏𝑏𝑙∗ 𝑅𝐵𝑂𝐵𝑡Roll Period
Trading liquidity of futures contracts tends to transfer from the front month to the second month starting
around 6 days prior to the expiry of the front month contract. During those roll periods, the VWAP used for theIndex calculation, is the weighted sum of the respective VWAPs of the front month contract and the second
month contract, smoothed according to the following weights.
Roll Period weights
Expiry Day -7
Expiry Day -6
Expiry Day -5
Expiry Day -4
Expiry Day -3
Expiry Day -2
Expiry Day -1
Expiry Day

1st month
100%
80%60%
40%20%0%0%0%

2nd month
0%
20%
40%
60%
80%
100%
100%
100%

Hence, two days before expiry of the front month contract, only the second month contract is used in thecalculation and so thereafter, until the next roll period.
•NYMEX WTI Crude Oil futures (CME Group Commodity code CL) expires on the 25th calendar day ofthe month.

•NYMEX RBOB Gasoline futures (CME Group Commodity code RB) and NYMEX NY Harbor ULSDfutures (CME Group Commodity code HO) expire on the last business day of the month.

The rolling weights are applied by trading day, remaining constant from market opening to market close of theday. As stated above, CME Globex market hours are Sunday - Friday 6:00 p.m. - 5:00 p.m. ET (5:00 p.m. 4:00 p.m. CT) with a 60-minute break each day beginning at 5:00 p.m. ET (4:00 p.m. CT).
For additional clarity, business days are defined as follows:
Trading dayBusiness day

Sunday 6:00pm – Monday 5:00pm ET
Monday 6:00pm – Tuesday 5:00pm ET
Tuesday 6:00pm – Wednesday 5:00pm ET
Wednesday 6:00pm – Thursday 5:00pm ET
Thursday 6:00pm – Friday 5:00pm ET

MondayTuesday
WednesdayThursdayFridayWeighted Input Price calculation during roll period
During roll periods the Petroleum Real Time Index is calculated applying input data determined as follows:
CLt or ULSDt or RBOBt = (mth1 * Dr * 0.20) + mth2 * (1 – (Dr * 0.20))
where
mth1
mth2
exp1
Dr

=
=
=
=

month 1 mid-VWAP
month 2 mid-VWAP
expiry date of month1(exp1 -2) – today

7The input: (exp1 -2), accounts for the day-count adjustment needed to reflect front month contract roll two days
before its expiry.

Calculation Agent and Publication
Calculation agent of the CME Group Petroleum Intraday Index is Bantix.
The Index is calculated and published every 5 minutes during each CME Group trading day as per the official
schedule available on the CME Globex Trading Schedule. This includes days where there is an early close or
unusual trading hours.
If an error is reported in the input data or in the calculation, the Index is not re-calculated.

89