On April 21, 2010, Evolution Markets Inc. conducted a Dutch auction for the sale of Eastern U.S. CME Hurricane Index options.
Under the auction, which was conducted using Evolution Markets' EvoAuction™ electronic auction platform, 250 lots of Seasonal Aggregate Binary call options were purchased for the premium of 19.95%. At a value of $10,000 per lot, the coverage limit of this transaction is $2,500,000.
The options have a strike of a cumulative CHI index value of 30. The CHI index provides a parametric measure of the strength of a hurricane, which incorporates a formula of wind speed and storm radius. Under the contract, the eastern U.S. includes storms that hit land between Brownsville, Texas and Eastport, Maine. The products were cleared on the Chicago Mercantile Exchange.
For more information on CME contracts and general information, please check out: CME contract listing and the CME Hurricane Index.
For more information on the auction or Catastrophe Derivative markets, please contact Nicholas Ernst at 914 323-0260 or firstname.lastname@example.org