About CME Canadian Seasonal Strip Weather Heating Degree Day Futures

CME has added six Canadian cities (Calgary, Edmonton, Montreal, Toronto, Vancouver and Winnipeg) to enable customers the ability to hedge their weather risk in Canada.

Seasonal Strips

Enable customers to choose from two to six months in a customized "season." The months must be consecutive and within the same general season - November through April for winter, and May through October for summer.

How to Measure HDDs

A HDD (Heating Degree Days) value represents the number of degree the day's average temperature is lower than 65°. For example, an average daily temperature of 40° would generate a daily HDD value of 25 (65-40 = 25). (Note: If the temperature exceeded 65°, the value of the HDD would be zero, since theoretically, there would be no need for heating.)

Monthly HDD values are simply the sum of each daily HDD value recorded during a given month or season. For example if there were 10 HDD daily values recorded in November 2005 in Chicago, the November 2005 HDD index would be the sum of the 10 daily values. Thus, if the HDD values were 25, 15, 20, 25, 18, 22, 20 19, 21 and 23 the monthly HDD index value would be 208.

The value of a CME Weather futures contract is determined by multiplying the monthly HDD value by $20. Using the example above, the CME November Weather contract would settle at $4,160 ($20 x 208 = $4,160).

Calgary (WMO 71877)

Edmonton (WMO 71123)

Montreal (WMO 71627)

Toronto (WMO 71624)

Vancouver (WMO 71892)

Winnipeg (WMO 71852)

For information on CME Weather Block trading click here.