Commodity Futures – A Comparison of CME E-mini Crude Oil & Crude Oil Futures Contracts

E-mini Crude Oil (CO1)

Crude Oil (CL1)

Underlying Light Sweet Crude Oil (WTI) Light Sweet Crude Oil (WTI)
Exchange CME Globex CME Globex
Trading Hours Mon-Sat 6.00am-5.15am Mon-Sat 6.00am-5.15am
Contract Unit 500 barrels 1000 barrels
Min Fluctuation US $0.025 per barrel US $0.01 per barrel
Listed Contracts Current year and 5 calendar years 9 years forward (consecutive months listed for the current year and the next 5 years)
Settlement Financial Physical
Delivery Made Free-On-Board at any pipeline in Oklahoma no earlier than first calendar day and no later than last calendar day of delivery month
Last Trading Day On the business day immediately preceding to the last day of trading in the current delivery month Third Business Day to the 25th calendar day
Margin Initial US $1595 US $3190
Maintenance US $1450 US $2900


Introduction

The energy futures contracts compared here are two of the most traded crude oil futures and the light sweet crude oil is the deepest and most liquid global energy benchmark. Both the light sweet crude oil futures help manage risk in the energy sector as the contracts have the most liquidity and appeal to traders who seek exposure in the energy and commodities sector.

Contract Size and Margins

The E-mini Crude Oil futures contract size is half that of the Crude Oil Futures, which may appeal to traders as the margin is lower.

Another incentive for traders is the settlement basis of the futures. The E-mini Crude Oil futures are financial/ cash settlement whilst the Crude Oil futures are favored by commercial participants looking to accept or deliver physical crude oil.

23 Jun’13-22 Jun’14

E-mini Crude Oil

Crude Oil

Average Daily Volume

174,926

218,659

Open Interest

204,930

226,510

Point Fluc.^ Day

1.52(1.4%*)

1.64(1.64%*)

Week

3.38(3.16%*)

3.95(3.99%*)

Month

6.79(6.47%*)

7.86(8.17%*)

*Percentage of point fluctuation from respective timeframe’s average price

^Average Trading Range (An average of the absolute dollar value of a given day’s difference in high and low prices for a given period)

Liquidity & Daily Volume Traded

The table provided shows that the E-mini Crude Oil Futures is actively traded following closely behind the volumes of Crude Oil Futures. The open interest of Crude Oil Futures is also marginally higher than that of E-mini Crude Oil.

Volatility

Both the futures contracts have an average daily index point fluctuation of 1.5%. In the larger time frame, the E-mini Crude Oil Futures are as volatile as the Crude Oil Futures where the weekly volatility is above 3% and monthly volatility above 6%.

This is attractive to traders since the E-mini Crude Oil Futures as has the liquidity and volatility traders seek.