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Calculation of the Indices
The power indices are developed using the following formula:
I = Σ (P • V) / T
where:
I = Volumetric Weighted Average Index Price,
P = price or premium of individual transaction,
V = volume of individual transaction,
∑(P●V) = sum of each transaction's price multiplied by its volume,
T = total volume of all qualifying transactions.
In addition to the price filters on the Intercontinental trading platform in accordance with their Fair Trading initiative, the following types of trades are considered "non-qualifying", and are not included in the 10x indices:
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Trades done between two companies that are owned by the same parent company
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Price basis spread legs i.e. spread trades that are executed on a trading platform that subsequently are converted into two outright prices for trade reporting purposes
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Deals that have been consummated but then cancelled or altered by the counterparties before confirmation
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Trades where counterparties reverse a trade within two minutes of the previous transaction
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Option Trades Deals that fall outside of the given time period for each index
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The following data is published for each hub quoted:
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Location - as defined in the ICE Product Guide.
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High - the absolute high price for the period.
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Low - the absolute low price for the period.
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Index - weighted average price.
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Volume - total contracts traded for the period counting the sell side only.
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No. of Trades - number of trades confirmed through ICE and eConfirm that were used in the index calculation.
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No. of Companies - number of companies that participated in the index related transactions.
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