Market Specs Example
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CSI's internal database design (not displayed for the user) presents all prices as integers. To capture and understand the unique price of a given market, one must convert CSI's integer facts about the given market into a useful form by applying the CSI assigned conversion factor to the integer prices.

Consider, for example, the live hog market, CSI #004. The facts obtained from the CSI fact sheet for this market is the price conversion factor of +2, a contract size of 40,000 pounds, a point value of $4.00, and a minimum tick value of 2.5. The conversion factor of +2 must be applied to both the product price (of 4527, for example) and the minimum tick value of 2.5 when assessing value. This is required because these two values directly affect product pricing. Since the hog market trades in price increments of 2.5 hundredths of a cent, a stated market price of 45.27, would actually be represented as 45.275 cents per pound for the 40,000 pound contract. A movement up of one full cent to 46.275 cents per pound from 45.275 would represent a change in contract price of one cent ($0.01) per pound times 40,000 pounds. Such a price move would represent a $400 movement in contract price.

To assess total contract value for live hogs, a contract priced at 47.275 cents per pound would represent a product value of 40,000 pounds times $0.47275 per pound or $18,910.

Another example might involve the CME's E-mini S&P 500 index contract. The CSI facts display shows this market to hold a conversion factor (price format) of +2, and a point value of $50.00. The facts display shows the minimum tick value for this market to be 5. A typical CSI database integer price representation for the S&P 500, as we go to press with this discussion, is 130000.

After applying the conversion factor to the integer market price (130000) and the minimum tick value (5.0), these two values would be represented as 1300.00 and .05, respectively. If the S&P mini moves up from 1300.05 to 1300.10 for example, this 5 point move would represent a price increase in contract value of .05 times $50.00 or $2.50. The CME website demonstrates that the minimum tick is not .05, but is .25 which when multiplied by $50 becomes $12.50. The apparent discrepancy here has to do with the exchange's settlement mechanism which CSI is compelled to accept. Actual trading is done in .25 point increments, but because of the settlement process, the S&P mini can settle in multiples of .05.