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CX FUTURES EXCHANGE, L.P.

CHAPTER IX

CONTRACTS

... 

IX-3101. SEASONAL AGGREGATE SNOWFALL INDEX SWAPS

(a) Scope and Underlying 

(i) These Contract Rules govern the trading on CX Futures Exchange, L.P. (the 

“Exchange”) of the SEASONAL AGGREGATE SNOWFALL INDEX SWAPS CONTRACT

(“SASI Contract”) and are “Contract Specifications” under Rule IX-1 of the Rules of the 

Exchange. In general, the SASI Contract is a swap (having the characteristics of a cash-settled 

option on an underlying index) that will settle based upon the seasonal snowfall measurement for 

a given location as defined below and will pay a dollar amount per contract to each position

holder as calculated by applying a conversion factor (the “SASI Conversion Factor”) per Rule 

3101(e) below.

(ii) Clearing of the SASI Contract will be governed by the rules of the CX 

Clearinghouse, L.P. (the “Clearinghouse”). These Contract Rules constitute “Contract Rules” 

Under Rule I-7 of the Rules of the Clearinghouse. 

(iii) Capitalized terms used, but not defined herein, have the meanings ascribed to them 

in the Rules of the Exchange or the Rules of the Clearinghouse, as applicable.

(b) Calculation and Quotation of the Index

(i) The Seasonal Aggregate Snowfall Index (“SASI”) represents the total snowfall

measured, typically in tenths of inches, by specific measuring stations beginning September 1 

and ending on the subsequent May 31st unless an early settlement occurs as provided per Rule 

3101(g)(i) below.

(ii) Each index point shall be quoted to the nearest one-tenth of a point and each point 

represents one inch of reported snowfall at the specified location (e.g. a KNYC index value of 

5.5 indicates that station KNYC has reported 5.5 inches of snowfall).

(iii) For the avoidance of doubt, the SASI will be determined by using seasonal snow 

measurements and may be revised during the seasonal measurement period and may differ from 

alternative calculation methods (e.g. summing snow measurements of daily reports).

(iv) The SASI will be calculated by the Exchange relying primarily on data published 

by the National Weather Service (“NWS”) in its Climate Report (“CLI”). Other weather products 

reported by the NWS may be used as necessary to supplement or confirm data appearing in the 

CLI. The Exchange makes no warranties with respect to the accuracy of the data published by 

the NWS and the Exchange in its discretion may use other public and private weather reporting 

sources to determine the value of the Seasonal Aggregate Snowfall Index when doing so is in the 

best interest of the marketplace.
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(c) Placement of Bids

(i) Immediately after a SASI Contract is listed, Participants, through the Exchange,

will be able to bid for contracts by specifying the Ticker Symbol of the contract. All bids will be 

at the contract premium price per contract specified in Table 1 and require Original Margin to be 

deposited equal to the per-contract amount with the Clearinghouse.

Table 1

Trading Date

Contract Premium and

Original Margin

per Contract

Before December 1 $1.00 

December 1 through December 10 $1.25 

December 11 through December 20 $1.50 

December 21 through December 31 $1.75 

January 1 through January 10 $2.00 

January 11 through January 20 $2.25 

January 21 through January 31 $2.50 

(ii) Bids may not be cancelled once entered onto the CX Direct System; provided

however, the Strike Level of a bid that has been entered may be modified if (A) the modified bid

is for the same measurement station and Final Settlement Date as the original bid and (B) the 

price difference, if any, between the original bid and the contract premium price per contract in 

effect at the time that the bid is modified (as specified in Table 1) is deposited as Original 

Margin with the Clearinghouse.

(iii) Once a position is created by the CX Direct System the position may not be 

liquidated except by Final Settlement as provided under Rule IX-3101(e).

(d) [Reserved]

(e) Determination of Final Settlement Prices for each Strike Level

Each SASI position holder will receive a payout on his or her position equal to the 

number of contracts at each Strike Level times the respective Final Settlement Price for each 

contract. The Final Settlement Price for each contract at each Strike Level is calculated using the 

procedure in subparagraphs (i) to (iii) below. Using this procedure, the Final Settlement Price for 

any contract is at least $0.01 and no more than $249.99.

(i) After the SASI is determined for each measuring station for a given Final 

Settlement Date, then the Exchange will determine the SASI Conversion Factor applicable to 

each Strike Level for that measuring station on that date.

(A) For Strike Level “0.0”, if the SASI is zero (“0.0”), then the Conversion Factor 

will be 1.00, or for SASI values greater than zero, 0.01. 
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(B) The SASI Conversion Factor for all other Strike Levels will be determined by 

Table 2 below.

Table 2

Subtract Strike Level 

from SASI

(Add 0.1 for Strike 0.1),

then if this difference is:

SASI Conversion Factor

Less than zero 0.01

0.0" to 0.9" 1.00

1.0" to 1.9" 0.50

2.0" to 2.9" 0.33

3.0" to 3.9" 0.25

4.0" to 4.9" 0.20

5.0" to 5.9" 0.16

6.0" to 6.9" 0.14

7.0" to 7.9" 0.12

8.0" to 8.9" 0.11

9.0" to 9.9" 0.10

10.0" to 10.9" 0.09

11.0" to 11.9" 0.08

12" or more 0.01

(C) If, after applying (A) and (B) above, the SASI Conversion Factor for all Strike 

Levels with open interest is 0.01, then the lowest Strike Level above zero (“0.0”) with open 

interest will be assigned a SASI Conversion Factor of 1.00 and all other Strike Levels will 

remain unchanged.

(ii) The Exchange will multiply the number of contracts bid at each Strike Level by 

the SASI Conversion Factor and sum these values across all Strike Levels to obtain the contract's 

total Residual Bid Interest.

(iii) The Final Settlement Price for each Strike Level will equal that Strike Level’s

SASI Conversion Factor times the total Original Margin applicable to the contract divided by the 

total Residual Bid Interest then rounded down to the nearest one cent ($0.01).

(iv) After determination of the Final Settlement Price for each contract as provided 

above, the Exchange will post for each Strike Level (A) the bid interest; (B) the Residual Bid

Interest after application of the SASI Conversion Factor; and (C) the Final Settlement Price for 

each Strike Level.

(v) Final Settlement of open positions in each contract will occur as soon as practical 

after the Exchange’s calculation and verification of each day’s Seasonal Aggregate Snowfall
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Index; for the avoidance of doubt, such time is generally not later than noon of the first Business 

Day following the Final Settlement Date.

(f) Ticker Symbols 

Each SASI Contract will be uniquely identified by a “Ticker Symbol” that is composed 

of (A) station code (e.g. KNYC), (B) a two-digit year code reflecting the settlement year, and (C) 

Strike Level. By way of example, for a contract on at least 15 inches of snowfall in New York 

City for the 2019/2020 season, the Ticker Symbol would be WXSASI_KNYC20_0150.

(g) Final Settlement Date and Termination of Trading 

(i) The Final Settlement Date for each contract will be May 31st of the settlement year

except that (A) any location that does not have a recorded snowfall during the period between 

March 1st and March 31st of the settlement year will have a Final Settlement Date of March 31st, 

or (B) alternatively, any location that does not have a recorded snowfall during the period 

between April 1st and April 30st of the settlement year will have a Final Settlement Date of April 

30th.

(ii) Termination of Trading will occur at the end of the Trading Day corresponding to 

January 31st of the settlement year.

(h) Trading Hours 

Trading Hours shall begin at 5:00 PM ET on the First Trading Day and be available 

continuously until the Termination of Trading except that The Exchange may permit 

modifications to these Trading Days and Trading Hours for the purposes of (A) scheduled 

technology maintenance, (B) abbreviated holiday trading schedules, and (C) as required by 

market or environmental considerations. All such changes shall be posted on the Exchange 

website.

(i) Contract Locations

The Exchange may list contracts for any location that has adequate weather reporting 

capabilities to calculate the Seasonal Aggregate Snowfall Index. The complete list of such 

locations may be found on the Exchange website.

(j) Valid Strike Levels

The valid Strike Levels for SASI Contracts will be 0.0”, 0.1” and whole 1.0” increments 

thereafter.

(k) Minimum Price Increment 

The minimum price increment of each SASI Contract is one cent ($0.01). 

(l) Position Accountability Levels 
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The position accountability level shall be 10,000 contracts for all SASI contracts 

combined. 

(m) Original Margin Requirements 

Original Margin shall be sufficient to cover the maximum possible loss a Participant 

could incur upon liquidation or expiration of a contract.