Insight and Intelligence on (Re)insurance Convergence with the Capital Markets

19 May 2012

Hurricane traders await CHI updates

4 March 2011

The CME has seen its first hurricane derivative trade of 2011 despite uncertainty over upcoming model changes to the CME Hurricane Index (CHI).

Five hundred lots - representing $5mn notional volume - of the Eastern (Texas-Maine) seasonal aggregate options were traded at a 16.85 percent rate on line.

The options trigger at a CHI value of 40. As a point of comparison, the CHI index value for the hurricanes that hit the eastern coast in 2004 was 38.2, while the...

You are currently viewing an incomplete version of this article. If you are a subscriber then please login now. If you are a non-subscriber but would like to be able to view this article, then please select from the purchasing options below.

Purchase


Share: This article was published as part of issue March 2011/1

Insider Publishing Limited - 2nd Floor Asia House, 31-33 Lime Street, London, EC3M 7HT, United Kingdom. The content of this website is copyright of Insider Publishing Limited 2012. All rights reserved Insider Publishing Limited actively monitors usage of our website and products and reserves the right to terminate accounts if abuse occurs.

Π