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CX FUTURES EXCHANGE, L.P.

CHAPTER IX

CONTRACTS

... 

IX-3303. LOW EXTREME DAILY TEMPERATURE INDEX SWAPS

(a) Scope and Underlying 

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

“Exchange”) of the LOW EXTREME DAILY TEMPERATURE INDEX SWAPS (“LEDTI

Contract”) and are “Contract Specifications” under Rule IX-1 of the Rules of the Exchange. In 

general, the LEDTI Contract is a swap (having the characteristics of a cash-settled option on an 

underlying index) that will settle based upon the low temperature measurement on each calendar 

day (midnight to midnight local time of the given location) and will pay a dollar amount per 

contract to each position holder as calculated by applying a conversion factor (the “LEDTI 

Conversion Factor”) per Rule 3303(e) below.

(ii) Clearing of the LEDTI 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 Low Extreme Daily Temperature Index (“LEDTI”) represents the day’s

departure from the normal low temperature measured in degrees Fahrenheit by specific 

measuring stations during each station’s local calendar day (midnight to midnight, local time).

Normal low temperature values are published by the Exchange and available on the Exchange’s 

website and are generally consistent with the National Weather Service definition of average 

climatological temperatures for a given location and date averaged over a 30-year period. For the 

avoidance of doubt, the LEDTI normal low temperature is determined by the values published on 

the Exchange website and not by the National Weather Service or any similar metric published 

by the National Weather Service.

(ii) Each index point shall be quoted to the nearest one point and each point 

represents one-degree Fahrenheit of reported low temperature at the specified location below the 

normal low temperature (e.g. a KNYC index value of 10 indicates that station KNYC has 

reported a daily low temperature 10 degrees Fahrenheit below the normal low temperature).

(iii) For the avoidance of doubt, any report of a daily low temperature that is greater 

than or equal to the normal low temperature for the corresponding date and location will result in 

a LEDTI value of zero (“0”).

(iv) The daily low temperature used in the LEDTI will be calculated by the Exchange 

relying primarily on data published by the National Weather Service (“NWS”) in its Climate 
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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 Low

Extreme Daily Temperature Index when doing so is in the best interest of the marketplace.

(c) Placement of Bids

(i) Immediately after a LEDTI 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 

Days prior 

to Final 

Settlement

Contract Premium and

Original Margin

per Contract

7 or more $1.00 

6 $1.25 

5 $1.50 

4 $1.75 

3 $2.00 

2 $2.25 

1 $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 above) 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-3303(e).

(d) [Reserved]

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

Each LEDTI 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.
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(i) After the LEDTI is determined for each measuring station for a given Final

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

each Strike Level for that measuring station on that date. 

(A) For Strike Level “0”, if the LEDTI is zero (0), then the Conversion Factor 

will be 1.00, or for LEDTI values greater than zero, 0.01. 

(B) For all other Strike Levels, the LEDTI Conversion Factor is determined by 

Table 2 below.

Table 2

Subtract Strike Level

from LEDTI, 

then if this difference is:

LEDTI Conversion Factor

Less than zero 0.01

zero 1.00

1 0.50

2 0.33

3 0.25

4 0.20

5 0.16

6 0.14

7 0.12

8 0.11

9 0.10

10 0.09

11 0.08

12 or more 0.07

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

Strike Levels with open interest is 0.01, then the lowest Strike Level above zero (“0”) with open 

interest will be assigned a LEDTI 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 LEDTI 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

LEDTI 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
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Interest after application of the LEDTI 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 Low Extreme Daily Temperature 

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 and Quotation Style

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

of (A) station code (e.g. KNYC), (B) Final Settlement Date and (C) Strike Price. By way of 

example, for a contract with a Strike Level of 5 degrees below the normal low temperature in 

New York City on July 10, 2019, the Ticker Symbol would be 

WXLTEMP_KNYC20190710_0005.

For the avoidance of doubt, LEDTI Contract Strike Levels may be displayed to 

Participants either (a) in the native LEDTI format (i.e. degrees below the normal low 

temperature) or (b) as an absolute temperature value (i.e. the normal low temperature for the 

given station and date minus the degrees below the normal low temperature). For example, if the 

normal low temperature in New York City on July 10, 2019 is 68 degrees Fahrenheit and the 

selected Strike Level is 6, then the Strike Level may be displayed either as (a) 6 degrees below

the normal low temperature or (b) 62 degrees Fahrenheit.

(g) Final Settlement Date and Termination of Trading 

(i) The Final Settlement Date for each contract may be any calendar day that is not more 

than ninety-one (91) days and not less than one (1) day from the current Trading Day as made 

available to Participants on the CX Direct System.

(ii) Termination of Trading will occur at 5:00 PM ET on the Trading Day that precedes

the Final Settlement Date. For example, all contracts that have a July 10th Final Settlement Date 

will terminate trading at 5:00 PM ET on July 9th.

(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 Low Extreme Daily Temperature Index. The complete list of such 

locations may be found on the Exchange website.
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(j) Valid Strike Levels

The valid Strike Levels for LEDTI Contracts will be “0” indicating a daily low 

temperature that is at or above the normal low temperature, “1” indicating a daily low 

temperature that is 1 degree below the normal low temperature, “2” for 2 degrees below the 

normal low temperature, and 1 degree increments thereafter.

(k) Minimum Price Increment 

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

(l) Position Accountability Levels 

The position accountability level shall be 10,000 contracts for all LEDTI 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.