Monthly Frost Days

View weather product codes 

This product is geared to temperatures in degrees Celsius at which frost can occur in a designated location during the months of November through March.  It provides a way to:

• Trade with minimum downside risk and maximum upside potential
• Protect revenues and manage risks related to frost
• Accept the risk of unfavorable or atypical weather in exchange for possible profit

Learn How to Electronically Submit CME Group Weather Blocks at www.cmegroup.com/pivot

You can trade Monthly Frost Day options on one city: Amsterdam-Schiphol, Netherlands

Things to know:

• Traded in euros
• Premium-quoted with European-style expiration
  • Exercisable only on the option’s expiration date
• You can trade contracts on 5 months: Nov, Dec, Jan, Feb, Mar
• Traded via:
  • Block trades
  • Open outcry on the CME Group trading floor
• CME Clearing clears and settles all trades and guarantees counterparty creditworthiness
  • Settlement is 2 business days following expiration
  • Cash-settled

About the Frost Day Index

Calculating frost days involves recording temperatures twice a day, early morning and mid-morning, during the work week, but not on Saturdays, Sundays or the winter holidays: December 25, 26 and 31. Temperatures are recorded from the beginning of November through the end of March in terms of their distance from Celsius within a range of -0.5 to -3.5 degrees Celsius. A Frost Days Index, compiled and maintained by Earth Satellite Corporation, is used for settling these contracts.

A "Frost Day" is defined as a day in which one or more of the following conditions is true during the period beginning the first Monday in November and ending the last Friday in March, excluding Saturdays, Sundays, December 25, December 26, and January 1. Temperatures are measured at the following times for each location, as reported by Earth Satellite Corporation: The temperature at 0700 local time (0600 UTC, except 0500 UTC beginning the last Sunday in March) is less than or equal to -3.5 degrees Celsius; The temperature at 1000 local time (0900 UTC, except 0800 UTC beginning the last Sunday in March) is less than or equal to -1.5 degrees Celsius; The temperature at 0700 local time (0600 UTC, except 0500 UTC beginning the last Sunday in March) is less than or equal to -0.5 degrees Celsius, and the temperature at 1000 local time (0900 UTC, except 0800 UTC beginning the last Sunday in March) is less than or equal to -0.5 degrees Celsius.