Reply To: Modelling CME CQA Quarterly Coal Options

Phil Walsh

Through looking at this further, in v12, I can see that there are a couple of averaging types that I’ve not seen previously (Cal Week-Month API and Cal Week-Month GCoal). It looks as though they have only been exposed for the ENGY-EXCH-AVG-FWD instrument type (not the ENGY-EXCH-AVG-FUT.

Whether they can be used to achieve the required reset structure, I’ve not yet confirmed, but – given the names of these averaging types – they were clearly enabled to support coal derivatives. Can you see if they are available in your version?

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